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July 2017, Volume 21, Issue 3
- 753-787 Trading strategies generated by Lyapunov functions
by Ioannis Karatzas & Johannes Ruf - 789-813 Alpha-CIR model with branching processes in sovereign interest rate modeling
by Ying Jiao & Chunhua Ma & Simone Scotti - 815-865 Equilibrium in risk-sharing games
by Michail Anthropelos & Constantinos Kardaras - 867-872 Erratum to: Utility maximization in incomplete markets with random endowment
by Jaksa Cvitanić & Walter Schachermayer & Hui Wang
April 2017, Volume 21, Issue 2
- 331-360 On time-inconsistent stochastic control in continuous time
by Tomas Björk & Mariana Khapko & Agatha Murgoci - 361-396 Hedging under multiple risk constraints
by Ying Jiao & Olivier Klopfenstein & Peter Tankov - 397-425 Risk- and ambiguity-averse portfolio optimization with quasiconcave utility functionals
by Sigrid Källblad - 427-469 Jump-robust estimation of volatility with simultaneous presence of microstructure noise and multiple observations
by Zhi Liu - 471-486 Change of numeraire in the two-marginals martingale transport problem
by Luciano Campi & Ismail Laachir & Claude Martini - 487-508 The scaling limit of superreplication prices with small transaction costs in the multivariate case
by Peter Bank & Yan Dolinsky & Ari-Pekka Perkkiö - 509-549 Computing deltas without derivatives
by D. Baños & T. Meyer-Brandis & F. Proske & S. Duedahl - 551-592 Local risk-minimization for Barndorff-Nielsen and Shephard models
by Takuji Arai & Yuto Imai & Ryoichi Suzuki
January 2017, Volume 21, Issue 1
- 1-64 Hedging with small uncertainty aversion
by Sebastian Herrmann & Johannes Muhle-Karbe & Frank Thomas Seifried - 65-110 Continuous-time perpetuities and time reversal of diffusions
by Constantinos Kardaras & Scott Robertson - 111-155 Arbitrage-free pricing of multi-person game claims in discrete time
by Ivan Guo & Marek Rutkowski - 157-186 Watermark options
by Neofytos Rodosthenous & Mihail Zervos - 187-226 Optimal consumption and investment with Epstein–Zin recursive utility
by Holger Kraft & Thomas Seiferling & Frank Thomas Seifried - 227-262 Consumption–investment optimization with Epstein–Zin utility in incomplete markets
by Hao Xing - 263-284 Market completion with derivative securities
by Daniel C. Schwarz - 285-329 Model uncertainty and the pricing of American options
by David Hobson & Anthony Neuberger
October 2016, Volume 20, Issue 4
- 807-808 Editorial: 20th anniversary of Finance and Stochastics
by Martin Schweizer & Dieter Sondermann - 809-854 Liquidity management with decreasing returns to scale and secured credit line
by Erwan Pierre & Stéphane Villeneuve & Xavier Warin - 855-900 A BSDE approach to fair bilateral pricing under endogenous collateralization
by Tianyang Nie & Marek Rutkowski - 901-930 Counterparty risk and funding: immersion and beyond
by Stéphane Crépey & Shiqi Song - 931-972 Polynomial diffusions and applications in finance
by Damir Filipović & Martin Larsson - 973-1020 Short-term asymptotics for the implied volatility skew under a stochastic volatility model with Lévy jumps
by José E. Figueroa-López & Sveinn Ólafsson - 1021-1059 A Feynman–Kac-type formula for Lévy processes with discontinuous killing rates
by Kathrin Glau - 1061-1096 Another look at the integral of exponential Brownian motion and the pricing of Asian options
by Andrew Lyasoff - 1097-1108 No arbitrage of the first kind and local martingale numéraires
by Yuri Kabanov & Constantinos Kardaras & Shiqi Song
July 2016, Volume 20, Issue 3
- 543-588 Second order multiscale stochastic volatility asymptotics: stochastic terminal layer analysis and calibration
by Jean-Pierre Fouque & Matthew Lorig & Ronnie Sircar - 589-634 Additive subordination and its applications in finance
by Jing Li & Lingfei Li & Rafael Mendoza-Arriaga - 635-668 An explicit martingale version of the one-dimensional Brenier theorem
by Pierre Henry-Labordère & Nizar Touzi - 705-740 Consumption-investment problem with transaction costs for Lévy-driven price processes
by Dimitri Vallière & Yuri Kabanov & Emmanuel Lépinette - 773-804 The joint distribution of Parisian and hitting times of Brownian motion with application to Parisian option pricing
by Angelos Dassios & You You Zhang - 805-805 Retraction Note to: The distribution of the maximum of a variance gamma process and path-dependent option pricing
by Roman V. Ivanov
April 2016, Volume 20, Issue 2
- 267-320 A general HJM framework for multiple yield curve modelling
by Christa Cuchiero & Claudio Fontana & Alessandro Gnoatto - 321-354 Adapting extreme value statistics to financial time series: dealing with bias and serial dependence
by Laurens Haan & Cécile Mercadier & Chen Zhou - 381-431 Asymptotic replication with modified volatility under small transaction costs
by Jiatu Cai & Masaaki Fukasawa - 495-509 Optimal portfolio liquidation in target zone models and catalytic superprocesses
by Eyal Neuman & Alexander Schied - 511-541 Stability of utility maximization in nonequivalent markets
by Kim Weston
January 2016, Volume 20, Issue 1
- 1-50 Universal arbitrage aggregator in discrete-time markets under uncertainty
by Matteo Burzoni & Marco Frittelli & Marco Maggis - 1-50 Universal arbitrage aggregator in discrete-time markets under uncertainty
by Matteo Burzoni & Marco Frittelli & Marco Maggis - 51-81 Model-independent superhedging under portfolio constraints
by Arash Fahim & Yu-Jui Huang - 51-81 Model-independent superhedging under portfolio constraints
by Arash Fahim & Yu-Jui Huang - 83-98 Consistent price systems under model uncertainty
by Bruno Bouchard & Marcel Nutz - 83-98 Consistent price systems under model uncertainty
by Bruno Bouchard & Marcel Nutz - 99-121 Facelifting in utility maximization
by Kasper Larsen & Halil Soner & Gordan Žitković - 123-151 Weakly time consistent concave valuations and their dual representations
by Berend Roorda & Johannes Schumacher - 123-151 Weakly time consistent concave valuations and their dual representations
by Berend Roorda & Johannes M. Schumacher - 153-182 Superreplication when trading at market indifference prices
by Peter Bank & Selim Gökay - 183-218 Dynamic optimal execution in a mixed-market-impact Hawkes price model
by Aurélien Alfonsi & Pierre Blanc - 183-218 Dynamic optimal execution in a mixed-market-impact Hawkes price model
by Aurélien Alfonsi & Pierre Blanc - 219-265 Short-time expansions for close-to-the-money options under a Lévy jump model with stochastic volatility
by José Figueroa-López & Sveinn Ólafsson - 219-265 Short-time expansions for close-to-the-money options under a Lévy jump model with stochastic volatility
by José E. Figueroa-López & Sveinn Ólafsson
October 2015, Volume 19, Issue 4
- 685-717 The existence of dominating local martingale measures
by Peter Imkeller & Nicolas Perkowski - 719-741 How non-arbitrage, viability and numéraire portfolio are related
by Tahir Choulli & Jun Deng & Junfeng Ma - 743-761 A convergence result for the Emery topology and a variant of the proof of the fundamental theorem of asset pricing
by Christa Cuchiero & Josef Teichmann - 763-790 Aggregation-robustness and model uncertainty of regulatory risk measures
by Paul Embrechts & Bin Wang & Ruodu Wang - 791-847 An optimal consumption problem in finite time with a constraint on the ruin probability
by Peter Grandits - 849-889 Pricing and hedging Asian-style options on energy
by Fred Benth & Nils Detering - 891-939 Dynamic credit investment in partially observed markets
by Agostino Capponi & José Figueroa-López & Andrea Pascucci - 941-977 Discretely monitored first passage problems and barrier options: an eigenfunction expansion approach
by Lingfei Li & Vadim Linetsky - 979-993 The distribution of the maximum of a variance gamma process and path-dependent option pricing
by Roman Ivanov
July 2015, Volume 19, Issue 3
- 473-507 Hedge and mutual funds’ fees and the separation of private investments
by Paolo Guasoni & Gu Wang - 509-539 Static hedging under maturity mismatch
by Philipp Mayer & Natalie Packham & Wolfgang Schmidt - 541-581 Approximate hedging for nonlinear transaction costs on the volume of traded assets
by Romuald Elie & Emmanuel Lépinette - 583-615 On a Heath–Jarrow–Morton approach for stock options
by Jan Kallsen & Paul Krühner - 617-651 Forward equations for option prices in semimartingale models
by Amel Bentata & Rama Cont - 653-679 Taylor approximation of incomplete Radner equilibrium models
by Jin Choi & Kasper Larsen - 681-684 Addendum to: Multilevel dual approach for pricing American style derivatives
by Denis Belomestny & Mark Joshi & John Schoenmakers
April 2015, Volume 19, Issue 2
- 215-231 Fragility of arbitrage and bubbles in local martingale diffusion models
by Paolo Guasoni & Miklós Rásonyi - 233-259 When do creditors with heterogeneous beliefs agree to run?
by Andrey Krishenik & Andreea Minca & Johannes Wissel - 261-293 Spot volatility estimation using delta sequences
by Cecilia Mancini & Vanessa Mattiussi & Roberto Renò - 295-327 On the forward rate concept in multi-state life insurance
by Marcus Christiansen & Andreas Niemeyer - 329-362 When terminal facelift enforces delta constraints
by Jean-François Chassagneux & Romuald Elie & Idris Kharroubi - 363-414 Asymptotics for fixed transaction costs
by Albert Altarovici & Johannes Muhle-Karbe & Halil Soner - 415-448 Utility maximization with current utility on the wealth: regularity of solutions to the HJB equation
by Salvatore Federico & Paul Gassiat & Fausto Gozzi - 449-472 A model for a large investor trading at market indifference prices. I: Single-period case
by Peter Bank & Dmitry Kramkov
January 2015, Volume 19, Issue 1
- 1-22 Existence of an endogenously complete equilibrium driven by a diffusion
by Dmitry Kramkov - 23-66 Risk measures for processes and BSDEs
by Irina Penner & Anthony Réveillac - 67-107 Multi-portfolio time consistency for set-valued convex and coherent risk measures
by Zachary Feinstein & Birgit Rudloff - 109-134 Portfolio optimization with insider’s initial information and counterparty risk
by Caroline Hillairet & Ying Jiao - 135-159 Necessary and sufficient conditions in the problem of optimal investment with intermediate consumption
by Oleksii Mostovyi - 161-187 Optimal investment and price dependence in a semi-static market
by Pietro Siorpaes - 189-214 Robust price bounds for the forward starting straddle
by David Hobson & Martin Klimmek
October 2014, Volume 18, Issue 4
- 733-754 Optimal investment and contingent claim valuation in illiquid markets
by Teemu Pennanen - 755-789 Pricing vulnerable claims in a Lévy-driven model
by Agostino Capponi & Stefano Pagliarani & Tiziano Vargiolu - 791-803 Superreplication under model uncertainty in discrete time
by Marcel Nutz - 805-823 FTAP in finite discrete time with transaction costs by utility maximization
by Jörn Sass & Martin Smaga - 825-844 Asian options and meromorphic Lévy processes
by D. Hackmann & A. Kuznetsov - 845-872 Bottleneck options
by Curdin Ott - 873-915 Portfolio optimization under convex incentive schemes
by Maxim Bichuch & Stephan Sturm - 917-939 Asymptotic arbitrage with small transaction costs
by Irene Klein & Emmanuel Lépinette & Lavinia Perez-Ostafe
July 2014, Volume 18, Issue 3
- 487-514 Fundamental theorems of asset pricing for piecewise semimartingales of stochastic dimension
by Winslow Strong - 515-543 On arbitrages arising with honest times
by Claudio Fontana & Monique Jeanblanc & Shiqi Song - 545-592 A theory of Markovian time-inconsistent stochastic control in discrete time
by Tomas Björk & Agatha Murgoci - 593-615 Pseudo linear pricing rule for utility indifference valuation
by Vicky Henderson & Gechun Liang - 617-649 Confidence sets in nonparametric calibration of exponential Lévy models
by Jakob Söhl - 651-694 Pricing a contingent claim liability with transaction costs using asymptotic analysis for optimal investment
by Maxim Bichuch - 695-732 An optimal execution problem with market impact
by Takashi Kato
April 2014, Volume 18, Issue 2
- 271-295 Comparative and qualitative robustness for law-invariant risk measures
by Volker Krätschmer & Alexander Schied & Henryk Zähle - 297-326 Shifting martingale measures and the birth of a bubble as a submartingale
by Francesca Biagini & Hans Föllmer & Sorin Nedelcu - 327-347 Robust hedging with proportional transaction costs
by Yan Dolinsky & H. Soner - 349-392 Asymptotics of implied volatility to arbitrary order
by Kun Gao & Roger Lee - 393-405 A note on the condition of no unbounded profit with bounded risk
by Koichiro Takaoka & Martin Schweizer - 407-430 Optimal portfolios in commodity futures markets
by Fred Benth & Jukka Lempa - 431-482 Bilateral credit valuation adjustment for large credit derivatives portfolios
by Lijun Bo & Agostino Capponi - 483-485 A correction note to “Discrete time hedging errors for options with irregular payoffs”
by Emmanuel Gobet
January 2014, Volume 18, Issue 1
- 1-37 Transaction costs, trading volume, and the liquidity premium
by Stefan Gerhold & Paolo Guasoni & Johannes Muhle-Karbe & Walter Schachermayer - 39-73 A mathematical treatment of bank monitoring incentives
by Henri Pages & Dylan Possamaï - 75-114 Abstract, classic, and explicit turnpikes
by Paolo Guasoni & Constantinos Kardaras & Scott Robertson & Hao Xing - 115-144 On the hedging of options on exploding exchange rates
by Peter Carr & Travis Fisher & Johannes Ruf - 145-173 Beyond cash-additive risk measures: when changing the numéraire fails
by Walter Farkas & Pablo Koch-Medina & Cosimo Munari - 175-208 Efficient discretization of stochastic integrals
by Masaaki Fukasawa - 209-248 Stochastic mortality models: an infinite-dimensional approach
by Stefan Tappe & Stefan Weber - 249-269 Comonotone Pareto optimal allocations for law invariant robust utilities on L 1
by Claudia Ravanelli & Gregor Svindland
October 2013, Volume 17, Issue 4
- 641-683 Mean-variance hedging with oil futures
by Liao Wang & Johannes Wissel - 685-716 Variation and share-weighted variation swaps on time-changed Lévy processes
by Peter Carr & Roger Lee - 717-742 Multilevel dual approach for pricing American style derivatives
by Denis Belomestny & John Schoenmakers & Fabian Dickmann - 743-770 Drift dependence of optimal trade execution strategies under transient price impact
by Christopher Lorenz & Alexander Schied - 771-800 Portfolio optimisation under non-linear drawdown constraints in a semimartingale financial model
by Vladimir Cherny & Jan Obłój - 801-818 On the existence of shadow prices
by Giuseppe Benedetti & Luciano Campi & Jan Kallsen & Johannes Muhle-Karbe - 819-838 On the game interpretation of a shadow price process in utility maximization problems under transaction costs
by Dmitry Rokhlin - 839-870 Outperformance portfolio optimization via the equivalence of pure and randomized hypothesis testing
by Tim Leung & Qingshuo Song & Jie Yang
July 2013, Volume 17, Issue 3
- 447-475 Duality and convergence for binomial markets with friction
by Yan Dolinsky & Halil Soner - 477-501 Model-independent bounds for option prices—a mass transport approach
by Mathias Beiglböck & Pierre Henry-Labordère & Friedrich Penkner - 503-534 Quantitative error estimates for a least-squares Monte Carlo algorithm for American option pricing
by Daniel Zanger - 535-563 Robust utility maximization for a diffusion market model with misspecified coefficients
by Revaz Tevzadze & Teimuraz Toronjadze & Tamaz Uzunashvili - 565-585 Equilibrium model with default and dynamic insider information
by Luciano Campi & Umut Çetin & Albina Danilova - 587-613 Dynamic no-good-deal pricing measures and extension theorems for linear operators on L ∞
by Jocelyne Bion-Nadal & Giulia Nunno - 615-640 A reading guide for last passage times with financial applications in view
by Ashkan Nikeghbali & Eckhard Platen
April 2013, Volume 17, Issue 2
- 227-271 Time-consistent mean-variance portfolio selection in discrete and continuous time
by Christoph Czichowsky - 273-304 Market selection with learning and catching up with the Joneses
by Roman Muraviev - 305-324 Discretely sampled variance and volatility swaps versus their continuous approximations
by Robert Jarrow & Younes Kchia & Martin Larsson & Philip Protter - 325-354 The dual optimizer for the growth-optimal portfolio under transaction costs
by S. Gerhold & J. Muhle-Karbe & W. Schachermayer - 355-394 Exercise boundary of the American put near maturity in an exponential Lévy model
by Damien Lamberton & Mohammed Mikou - 395-417 Bounds for the sum of dependent risks and worst Value-at-Risk with monotone marginal densities
by Ruodu Wang & Liang Peng & Jingping Yang - 419-446 Optimal consumption and investment for markets with random coefficients
by Belkacem Berdjane & Serguei Pergamenshchikov
January 2013, Volume 17, Issue 1
- 1-30 Bubbles and crashes in a Black–Scholes model with delay
by John Appleby & Markus Riedle & Catherine Swords - 31-72 Generalized stochastic target problems for pricing and partial hedging under loss constraints—application in optimal book liquidation
by Bruno Bouchard & Ngoc-Minh Dang - 73-106 Optimal dividend policies with transaction costs for a class of jump-diffusion processes
by Martin Hunting & Jostein Paulsen - 107-133 Asymptotic and exact pricing of options on variance
by Martin Keller-Ressel & Johannes Muhle-Karbe - 135-160 The optimal-drift model: an accelerated binomial scheme
by Ralf Korn & Stefanie Müller - 161-196 Consumption-portfolio optimization with recursive utility in incomplete markets
by Holger Kraft & Frank Seifried & Mogens Steffensen - 197-222 Optimal hedging of demographic risk in life insurance
by Ragnar Norberg - 223-224 Correction note for ‘The large-maturity smile for the Heston model’
by Carole Bernard & Zhenyu Cui & Martin Forde & Antoine Jacquier & Don McLeish & Aleksandar Mijatović - 225-226 Erratum to: Asset price bubbles from heterogeneous beliefs about mean reversion rates
by Xi Chen & Robert Kohn
October 2012, Volume 16, Issue 4
- 561-609 Continuous-time trading and the emergence of probability
by Vladimir Vovk - 611-649 Model-independent hedging strategies for variance swaps
by David Hobson & Martin Klimmek - 651-667 Market viability via absence of arbitrage of the first kind
by Constantinos Kardaras - 669-709 Risk assessment for uncertain cash flows: model ambiguity, discounting ambiguity, and the role of bubbles
by Beatrice Acciaio & Hans Föllmer & Irina Penner - 711-740 Polynomial processes and their applications to mathematical finance
by Christa Cuchiero & Martin Keller-Ressel & Josef Teichmann - 741-777 The fundamental theorem of asset pricing under transaction costs
by Paolo Guasoni & Emmanuel Lépinette & Miklós Rásonyi - 779-801 Horizon dependence of utility optimizers in incomplete models
by Kasper Larsen & Hang Yu
July 2012, Volume 16, Issue 3
- 357-368 Small transaction costs, absence of arbitrage and consistent price systems
by Julien Grépat & Yuri Kabanov - 369-401 Long-term optimal portfolios with floor
by Jun Sekine - 403-422 A decomposition formula for option prices in the Heston model and applications to option pricing approximation
by Elisa Alòs - 423-448 An optimal stopping problem with a reward constraint
by Jérôme Detemple & Weidong Tian & Jie Xiong - 449-476 Optimal dividend distribution under Markov regime switching
by Zhengjun Jiang & Martijn Pistorius - 477-511 Optimal dividend policies for a class of growth-restricted diffusion processes under transaction costs and solvency constraints
by Lihua Bai & Martin Hunting & Jostein Paulsen - 513-535 Default times, no-arbitrage conditions and changes of probability measures
by Delia Coculescu & Monique Jeanblanc & Ashkan Nikeghbali - 537-560 Forward rate models with linear volatilities
by Michał Barski & Jerzy Zabczyk
April 2012, Volume 16, Issue 2
- 177-206 An example of a stochastic equilibrium with incomplete markets
by Gordan Žitković - 207-224 Irreversible investment in oligopoly
by Jan-Henrik Steg - 225-247 Deterministic criteria for the absence of arbitrage in one-dimensional diffusion models
by Aleksandar Mijatović & Mikhail Urusov - 249-274 Singular risk-neutral valuation equations
by Cristina Costantini & Marco Papi & Fernanda D’Ippoliti - 275-291 Strict local martingale deflators and valuing American call-type options
by Erhan Bayraktar & Constantinos Kardaras & Hao Xing - 293-318 Maximum entropy distributions inferred from option portfolios on an asset
by Cassio Neri & Lorenz Schneider - 319-334 A pure martingale dual for multiple stopping
by John Schoenmakers - 335-355 Variance swaps on time-changed Lévy processes
by Peter Carr & Roger Lee & Liuren Wu
January 2012, Volume 16, Issue 1
- 1-15 Pricing growth-rate risk
by Lars Hansen & José Scheinkman - 17-43 Cross hedging with stochastic correlation
by Stefan Ankirchner & Gregor Heyne - 45-62 Financial inverse problem and reconstruction of infinitely divisible distributions with Gaussian component
by S. Kaji & S. Kotani - 63-104 Tangent Lévy market models
by René Carmona & Sergey Nadtochiy - 105-133 Pricing and hedging of credit derivatives via the innovations approach to nonlinear filtering
by Rüdiger Frey & Thorsten Schmidt - 135-154 Consistent price systems and arbitrage opportunities of the second kind in models with transaction costs
by Emmanuel Denis & Yuri Kabanov - 155-175 Worst case portfolio vectors and diversification effects
by Ludger Rüschendorf
December 2011, Volume 15, Issue 4
- 607-633 On irreversible investment
by Frank Riedel & Xia Su - 635-654 Asymptotic analysis for stochastic volatility: martingale expansion
by Masaaki Fukasawa - 655-683 Pricing Bermudan options by nonparametric regression: optimal rates of convergence for lower estimates
by Denis Belomestny - 685-724 On the calibration of local jump-diffusion asset price models
by S. Kindermann & P. Mayer - 725-753 Optimal investment with counterparty risk: a default-density model approach
by Ying Jiao & Huyên Pham - 755-780 The large-maturity smile for the Heston model
by Martin Forde & Antoine Jacquier - 781-784 A note on essential smoothness in the Heston model
by Martin Forde & Antoine Jacquier & Aleksandar Mijatović - 785-818 Proving regularity of the minimal probability of ruin via a game of stopping and control
by Erhan Bayraktar & Virginia Young
September 2011, Volume 15, Issue 3
- 399-419 Liquidity risk, price impacts and the replication problem
by Alexandre Roch - 421-459 A stochastic control problem with delay arising in a pension fund model
by Salvatore Federico - 461-499 Multivariate utility maximization with proportional transaction costs
by Luciano Campi & Mark Owen - 501-512 Minimal sufficient conditions for a primal optimizer in nonsmooth utility maximization
by Nicholas Westray & Harry Zheng - 513-540 Pricing equity default swaps under the jump-to-default extended CEV model
by Rafael Mendoza-Arriaga & Vadim Linetsky - 541-572 Hedging of a credit default swaption in the CIR default intensity model
by Tomasz Bielecki & Monique Jeanblanc & Marek Rutkowski - 573-605 Robust pricing and hedging of double no-touch options
by Alexander Cox & Jan Obłój
June 2011, Volume 15, Issue 2
- 191-219 Option pricing with quadratic volatility: a revisit
by Leif Andersen - 221-241 Asset price bubbles from heterogeneous beliefs about mean reversion rates
by Xi Chen & Robert Kohn - 243-265 Ruin probabilities under general investments and heavy-tailed claims
by Henrik Hult & Filip Lindskog - 267-296 Gamma expansion of the Heston stochastic volatility model
by Paul Glasserman & Kyoung-Kuk Kim - 297-342 Pension funds with a minimum guarantee: a stochastic control approach
by Marina Di Giacinto & Salvatore Federico & Fausto Gozzi - 343-363 On a class of law invariant convex risk measures
by Gilles Angelsberg & Freddy Delbaen & Ivo Kaelin & Michael Kupper & Joachim Näf