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October 2025, Volume 29, Issue 4
- 933-979 Gamma hedging and rough paths
by John Armstrong & Andrei Ionescu - 981-1014 Primal and dual optimal stopping with signatures
by Christian Bayer & Luca Pelizzari & John Schoenmakers - 1015-1074 A multilevel stochastic approximation algorithm for value-at-risk and expected shortfall estimation
by Stéphane Crépey & Noufel Frikha & Azar Louzi - 1075-1107 Profit and loss decomposition in continuous time and approximations
by Gero Junike & Hauke Stier & Marcus Christiansen - 1109-1138 Volatility modelling in a Markov-switching environment: two Ornstein–Uhlenbeck-related approaches
by Anita Behme - 1139-1194 Graphon mean-field backward stochastic differential equations with jumps and associated dynamic risk measures
by Hamed Amini & Zhongyuan Cao & Agnès Sulem - 1195-1231 Kyle’s model with stochastic liquidity
by Ibrahim Ekren & Brad Mostowski & Gordan Žitković - 1233-1252 A general moment formula
by Vladimir Lucic
July 2025, Volume 29, Issue 3
- 609-664 CV@R-penalised portfolio optimisation with biased stochastic mirror descent
by Manon Costa & Sébastien Gadat & Lorick Huang - 665-706 Portfolio optimisation via strategy-specific eigenvector shrinkage
by Lisa R. Goldberg & Hubeyb Gurdogan & Alec Kercheval - 707-755 Measuring risk contagion in financial networks with CoVaR
by Bikramjit Das & Vicky Fasen-Hartmann - 757-789 Semimartingale properties of a generalised fractional Brownian motion and its mixtures with applications in asset pricing
by Tomoyuki Ichiba & Guodong Pang & Murad S. Taqqu - 791-846 Equilibrium with heterogeneous information flows
by Scott Robertson - 847-884 The law of one price in quadratic hedging and mean–variance portfolio selection
by Aleš Černý & Christoph Czichowsky - 885-932 Proper solutions for Epstein–Zin stochastic differential utility
by Martin Herdegen & David Hobson & Joseph Jerome
April 2025, Volume 29, Issue 2
- 289-342 Universal approximation theorems for continuous functions of càdlàg paths and Lévy-type signature models
by Christa Cuchiero & Francesca Primavera & Sara Svaluto-Ferro - 343-398 Optimal bubble riding: a mean field game with varying entry times
by Ludovic Tangpi & Shichun Wang - 399-442 Risk-constrained portfolio choice under rank-dependent utility
by Mario Ghossoub & Michael Boyuan Zhu - 443-468 Efficient evaluation of expectations of functions of a Lévy process and its extremum
by Svetlana Boyarchenko & Sergei Levendorskiĭ - 469-518 A framework of state-dependent utility optimisation with general benchmarks
by Zongxia Liang & Yang Liu & Litian Zhang - 519-551 Strategies with minimal norm are optimal for expected utility maximisation under high model ambiguity
by Laurence Carassus & Johannes Wiesel - 553-607 Fast and slow optimal trading with exogenous information
by Rama Cont & Alessandro Micheli & Eyal Neuman
January 2025, Volume 29, Issue 1
- 1-62 Convex ordering for stochastic Volterra equations and their Euler schemes
by Benjamin Jourdain & Gilles Pagès - 63-95 Polynomial approximation of discounted moments
by Chenyu Zhao & Misha Beek & Peter Spreij & Makhtar Ba - 97-141 Importance sampling for option pricing with feedforward neural networks
by Aleksandar Arandjelović & Thorsten Rheinländer & Pavel V. Shevchenko - 143-176 Gaussian agency problems with memory and linear contracts
by Eduardo Abi Jaber & Stéphane Villeneuve - 177-217 Pricing of contingent claims in large markets
by Oleksii Mostovyi & Pietro Siorpaes - 219-260 Quasi-sure essential supremum and applications to finance
by Laurence Carassus - 261-287 Lower semicontinuity of monotone functionals in the mixed topology on C b $C_{b}$
by Max Nendel
October 2024, Volume 28, Issue 4
- 911-964 Improved robust price bounds for multi-asset derivatives under market-implied dependence information
by Jonathan Ansari & Eva Lütkebohmert & Ariel Neufeld & Julian Sester - 965-997 Cost-efficient payoffs under model ambiguity
by Carole Bernard & Gero Junike & Thibaut Lux & Steven Vanduffel - 999-1033 Risk sharing under heterogeneous beliefs without convexity
by Felix-Benedikt Liebrich - 1035-1076 A Barndorff-Nielsen and Shephard model with leverage in Hilbert space for commodity forward markets
by Fred Espen Benth & Carlo Sgarra - 1077-1116 Stationary covariance regime for affine stochastic covariance models in Hilbert spaces
by Martin Friesen & Sven Karbach - 1117-1146 Robustness of Hilbert space-valued stochastic volatility models
by Fred Espen Benth & Heidar Eyjolfsson - 1147-1178 A reproducing kernel Hilbert space approach to singular local stochastic volatility McKean–Vlasov models
by Christian Bayer & Denis Belomestny & Oleg Butkovsky & John Schoenmakers - 1179-1202 Extreme ATM skew in a local volatility model with discontinuity: joint density approach
by Alexander Gairat & Vadim Shcherbakov - 1203-1223 On the Guyon–Lekeufack volatility model
by Marcel Nutz & Andrés Riveros Valdevenito
July 2024, Volume 28, Issue 3
- 615-661 Functional central limit theorems for rough volatility
by Blanka Horvath & Antoine Jacquier & Aitor Muguruza & Andreas Søjmark - 663-707 Speeding up the Euler scheme for killed diffusions
by Umut Çetin & Julien Hok - 709-758 Duality in optimal consumption–investment problems with alternative data
by Kexin Chen & Hoi Ying Wong - 759-812 Optimal trade execution under small market impact and portfolio liquidation with semimartingale strategies
by Ulrich Horst & Evgueni Kivman - 813-863 Reducing Obizhaeva–Wang-type trade execution problems to LQ stochastic control problems
by Julia Ackermann & Thomas Kruse & Mikhail Urusov - 865-910 Deep neural network expressivity for optimal stopping problems
by Lukas Gonon
April 2024, Volume 28, Issue 2
- 285-328 Hedging with physical or cash settlement under transient multiplicative price impact
by Dirk Becherer & Todor Bilarev - 329-361 Existence of an equilibrium with limited participation
by Kim Weston - 363-390 A framework for measures of risk under uncertainty
by Tolulope Fadina & Yang Liu & Ruodu Wang - 391-451 Optimal consumption and investment with welfare constraints
by Junkee Jeon & Minsuk Kwak - 453-495 Optimal reinsurance via BSDEs in a partially observable model with jump clusters
by Matteo Brachetta & Giorgia Callegaro & Claudia Ceci & Carlo Sgarra - 497-551 Optimal investment in a large population of competitive and heterogeneous agents
by Ludovic Tangpi & Xuchen Zhou - 553-613 Quadratic expansions in optimal investment with respect to perturbations of the semimartingale model
by Oleksii Mostovyi & Mihai Sîrbu
January 2024, Volume 28, Issue 1
- 1-26 Arbitrage problems with reflected geometric Brownian motion
by Dean Buckner & Kevin Dowd & Hardy Hulley - 27-79 Dispersion-constrained martingale Schrödinger problems and the exact joint S&P 500/VIX smile calibration puzzle
by Julien Guyon - 81-121 Pricing options on flow forwards by neural networks in a Hilbert space
by Fred Espen Benth & Nils Detering & Luca Galimberti - 123-159 Optimal investment and consumption for financial markets with jumps under transaction costs
by Sergei Egorov & Serguei Pergamenchtchikov - 161-214 Investment–consumption–insurance optimisation problem with multiple habit formation and non-exponential discounting
by Yike Wang & Jingzhen Liu & Tak Kuen Siu - 215-257 A càdlàg rough path foundation for robust finance
by Andrew L. Allan & Chong Liu & David J. Prömel - 259-284 Faking Brownian motion with continuous Markov martingales
by Mathias Beiglböck & George Lowther & Gudmund Pammer & Walter Schachermayer
October 2023, Volume 27, Issue 4
- 863-865 Editorial: Special Issue in memory of Tomas Björk
by Martin Schweizer - 867-885 In memoriam: Tomas Björk (1947–2021)
by Raquel M. Gaspar & Mariana Khapko - 887-902 Ruin probabilities for a Sparre Andersen model with investments: the case of annuity payments
by Yuri Kabanov & Platon Promyslov - 903-932 A stochastic control perspective on term structure models with roll-over risk
by Claudio Fontana & Simone Pavarana & Wolfgang J. Runggaldier - 933-946 Discount models
by Damir Filipović - 947-984 Present-biased lobbyists in linear–quadratic stochastic differential games
by Ali Lazrak & Hanxiao Wang & Jiongmin Yong - 985-1015 Robust utility maximisation with intractable claims
by Yunhong Li & Zuo Quan Xu & Xun Yu Zhou - 1017-1046 Asset pricing with dynamically inconsistent agents
by Mariana Khapko - 1047-1048 Thank you, Tomas!
by Andrea Gombani
July 2023, Volume 27, Issue 3
- 539-603 Rogue traders
by Huayuan Dong & Paolo Guasoni & Eberhard Mayerhofer - 605-661 Continuous-time incentives in hierarchies
by Emma Hubert - 663-711 Contagious McKean–Vlasov systems with heterogeneous impact and exposure
by Zachary Feinstein & Andreas Søjmark - 713-768 Optimal execution with multiplicative price impact and incomplete information on the return
by Felix Dammann & Giorgio Ferrari - 769-829 A general approach for Parisian stopping times under Markov processes
by Gongqiu Zhang & Lingfei Li - 831-862 Fundamental theorem of asset pricing with acceptable risk in markets with frictions
by Maria Arduca & Cosimo Munari
April 2023, Volume 27, Issue 2
- 255-304 Entropy martingale optimal transport and nonlinear pricing–hedging duality
by Alessandro Doldi & Marco Frittelli - 305-340 Price impact in Nash equilibria
by Xiao Chen & Jin Hyuk Choi & Kasper Larsen & Duane J. Seppi - 341-400 Optimal dividends under a drawdown constraint and a curious square-root rule
by Hansjörg Albrecher & Pablo Azcue & Nora Muler - 401-434 Market-to-book ratio in stochastic portfolio theory
by Donghan Kim - 435-465 Optional projection under equivalent local martingale measures
by Francesca Biagini & Andrea Mazzon & Ari-Pekka Perkkiö - 467-501 Optimal insurance under maxmin expected utility
by Corina Birghila & Tim J. Boonen & Mario Ghossoub - 503-537 A continuous-time model of self-protection
by Sarah Bensalem & Nicolás Hernández-Santibáñez & Nabil Kazi-Tani
January 2023, Volume 27, Issue 1
- 1-47 Optimal execution with stochastic delay
by Álvaro Cartea & Leandro Sánchez-Betancourt - 49-96 Speculative trading, prospect theory and transaction costs
by Alex S. L. Tse & Harry Zheng - 97-126 Nonparametric estimation for i.i.d. paths of a martingale-driven model with application to non-autonomous financial models
by Nicolas Marie - 127-158 The infinite-horizon investment–consumption problem for Epstein–Zin stochastic differential utility. I: Foundations
by Martin Herdegen & David Hobson & Joseph Jerome - 159-188 The infinite-horizon investment–consumption problem for Epstein–Zin stochastic differential utility. II: Existence, uniqueness and verification for ϑ ∈ ( 0 , 1 ) $\vartheta \in (0,1)$
by Martin Herdegen & David Hobson & Joseph Jerome - 189-231 Mean field portfolio games
by Guanxing Fu & Chao Zhou - 233-254 Martingale Schrödinger bridges and optimal semistatic portfolios
by Marcel Nutz & Johannes Wiesel & Long Zhao
October 2022, Volume 26, Issue 4
- 671-732 Simulation of the drawdown and its duration in Lévy models via stick-breaking Gaussian approximation
by Jorge González Cázares & Aleksandar Mijatović - 733-769 The characteristic function of Gaussian stochastic volatility models: an analytic expression
by Eduardo Abi Jaber - 771-823 Jacobi stochastic volatility factor for the LIBOR market model
by Pierre-Edouard Arrouy & Alexandre Boumezoued & Bernard Lapeyre & Sophian Mehalla - 825-875 A concept of copula robustness and its applications in quantitative risk management
by Henryk Zähle - 877-897 On ruin probabilities with investments in a risky asset with a regime-switching price
by Yuri Kabanov & Sergey Pergamenshchikov - 899-925 Bubbles in discrete-time models
by Martin Herdegen & Dörte Kreher - 927-982 Semimartingale price systems in models with transaction costs beyond efficient friction
by Christoph Kühn & Alexander Molitor
July 2022, Volume 26, Issue 3
- 383-416 On the role of skewness and kurtosis in tempered stable (CGMY) Lévy models in finance
by Søren Asmussen - 417-459 A least-squares Monte Carlo approach to the estimation of enterprise risk
by Hongjun Ha & Daniel Bauer - 461-503 Solving optimal stopping problems under model uncertainty via empirical dual optimisation
by Denis Belomestny & Tobias Hübner & Volker Krätschmer - 505-533 Set-valued dynamic risk measures for processes and for vectors
by Yanhong Chen & Zachary Feinstein - 535-585 Log-optimal and numéraire portfolios for market models stopped at a random time
by Tahir Choulli & Sina Yansori - 587-630 A continuous-time asset market game with short-lived assets
by Mikhail Zhitlukhin - 631-669 A class of short-term models for the oil industry that accounts for speculative oil storage
by Yves Achdou & Charles Bertucci & Jean-Michel Lasry & Pierre-Louis Lions & Antoine Rostand & José A. Scheinkman
April 2022, Volume 26, Issue 2
- 131-172 Machine learning with kernels for portfolio valuation and risk management
by Lotfi Boudabsa & Damir Filipović - 173-216 An analytical study of participating policies with minimum rate guarantee and surrender option
by Maria B. Chiarolla & Tiziano Angelis & Gabriele Stabile - 217-266 Optimal consumption with reference to past spending maximum
by Shuoqing Deng & Xun Li & Huyên Pham & Xiang Yu - 267-300 Dynamic mean–variance problem with frictions
by Alain Bensoussan & Guiyuan Ma & Chi Chung Siu & Sheung Chi Phillip Yam - 301-334 A time-inconsistent Dynkin game: from intra-personal to inter-personal equilibria
by Yu-Jui Huang & Zhou Zhou - 335-358 A scaling limit for utility indifference prices in the discretised Bachelier model
by Asaf Cohen & Yan Dolinsky - 359-382 Scaled insurance cash flows: representation and computation via change of measure techniques
by Christian Furrer
January 2022, Volume 26, Issue 1
- 1-3 Editorial: 25th anniversary of Finance and Stochastics
by Martin Schweizer - 5-31 An Italian perspective on the development of financial mathematics from 1992 to 2008
by Wolfgang J. Runggaldier - 33-58 My journey through finance and stochastics
by Marek Musiela - 59-84 From Bachelier to Dupire via optimal transport
by Mathias Beiglböck & Gudmund Pammer & Walter Schachermayer - 85-101 The influence of economic research on financial mathematics: Evidence from the last 25 years
by René Carmona - 103-129 Reinforcement learning and stochastic optimisation
by Sebastian Jaimungal
October 2021, Volume 25, Issue 4
- 615-657 Deep ReLU network expression rates for option prices in high-dimensional, exponential Lévy models
by Lukas Gonon & Christoph Schwab - 659-688 Complete and competitive financial markets in a complex world
by Gianluca Cassese - 689-724 Additive logistic processes in option pricing
by Peter Carr & Lorenzo Torricelli - 725-756 Scenario-based risk evaluation
by Ruodu Wang & Johanna F. Ziegel - 757-810 Càdlàg semimartingale strategies for optimal trade execution in stochastic order book models
by Julia Ackermann & Thomas Kruse & Mikhail Urusov
July 2021, Volume 25, Issue 3
- 427-468 A unified framework for robust modelling of financial markets in discrete time
by Jan Obłój & Johannes Wiesel - 469-503 Duality theory for robust utility maximisation
by Daniel Bartl & Michael Kupper & Ariel Neufeld - 505-528 A quasi-sure optional decomposition and super-hedging result on the Skorokhod space
by Bruno Bouchard & Xiaolu Tan - 529-561 Robust state-dependent mean–variance portfolio selection: a closed-loop approach
by Bingyan Han & Chi Seng Pun & Hoi Ying Wong - 563-596 Time-dynamic evaluations under non-monotone information generated by marked point processes
by Marcus C. Christiansen - 597-614 Commonotonicity and time-consistency for Lebesgue-continuous monetary utility functions
by Freddy Delbaen
April 2021, Volume 25, Issue 2
- 189-229 Markov decision processes with quasi-hyperbolic discounting
by Anna Jaśkiewicz & Andrzej S. Nowak - 231-275 Equilibrium asset pricing with transaction costs
by Martin Herdegen & Johannes Muhle-Karbe & Dylan Possamaï - 277-310 High-frequency trading with fractional Brownian motion
by Paolo Guasoni & Yuliya Mishura & Miklós Rásonyi - 311-330 Concavity, stochastic utility, and risk aversion
by Robert Jarrow & Siguang Li - 331-358 Evolution of the Arrow–Pratt measure of risk-tolerance for predictable forward utility processes
by Moris S. Strub & Xun Yu Zhou - 359-381 Change of drift in one-dimensional diffusions
by Sascha Desmettre & Gunther Leobacher & L. C. G. Rogers - 383-426 Infinite-dimensional polynomial processes
by Christa Cuchiero & Sara Svaluto-Ferro
January 2021, Volume 25, Issue 1
- 1-3 Editorial
by Andreas H. Hamel & Martin Schweizer - 5-41 Nonlinear expectations of random sets
by Ilya Molchanov & Anja Mühlemann - 43-76 Set-valued risk measures as backward stochastic difference inclusions and equations
by Çağın Ararat & Zachary Feinstein - 77-99 Multi-utility representations of incomplete preferences induced by set-valued risk measures
by Cosimo Munari - 101-132 Risk arbitrage and hedging to acceptability under transaction costs
by Emmanuel Lépinette & Ilya Molchanov - 133-165 Elicitability and identifiability of set-valued measures of systemic risk
by Tobias Fissler & Jana Hlavinová & Birgit Rudloff - 167-187 On a multi-asset version of the Kusuoka limit theorem of option superreplication under transaction costs
by Julien Grépat & Yuri Kabanov
October 2020, Volume 24, Issue 4
- 827-870 The Riesz representation theorem and weak∗ compactness of semimartingales
by Matti Kiiski - 871-901 Filtration shrinkage, the structure of deflators, and failure of market completeness
by Constantinos Kardaras & Johannes Ruf - 903-937 Optimal insurance with background risk: An analysis of general dependence structures
by Yichun Chi & Wei Wei - 939-980 Asset prices in segmented and integrated markets
by Paolo Guasoni & Kwok Chuen Wong - 981-1011 Construction of a class of forward performance processes in stochastic factor models, and an extension of Widder’s theorem
by Levon Avanesyan & Mykhaylo Shkolnikov & Ronnie Sircar - 1013-1034 Extended weak convergence and utility maximisation with proportional transaction costs
by Erhan Bayraktar & Leonid Dolinskyi & Yan Dolinsky - 1035-1082 The Leland–Toft optimal capital structure model under Poisson observations
by Zbigniew Palmowski & José Luis Pérez & Budhi Arta Surya & Kazutoshi Yamazaki - 1083-1132 Optimal reduction of public debt under partial observation of the economic growth
by Giorgia Callegaro & Claudia Ceci & Giorgio Ferrari
July 2020, Volume 24, Issue 3
- 565-599 Conditional Davis pricing
by Kasper Larsen & Halil Mete Soner & Gordan Žitković - 601-632 Adapted Wasserstein distances and stability in mathematical finance
by Julio Backhoff-Veraguas & Daniel Bartl & Mathias Beiglböck & Manu Eder - 633-675 Option valuation and hedging using an asymmetric risk function: asymptotic optimality through fully nonlinear partial differential equations
by Emmanuel Gobet & Isaque Pimentel & Xavier Warin - 677-722 A splitting strategy for the calibration of jump-diffusion models
by Vinicius V. L. Albani & Jorge P. Zubelli - 723-755 Realised volatility and parametric estimation of Heston SDEs
by Robert Azencott & Peng Ren & Ilya Timofeyev - 757-794 Fast mean-reversion asymptotics for large portfolios of stochastic volatility models
by Ben Hambly & Nikolaos Kolliopoulos - 795-825 Time reversal and last passage time of diffusions with applications to credit risk management
by Masahiko Egami & Rusudan Kevkhishvili
April 2020, Volume 24, Issue 2
- 277-307 The value of informational arbitrage
by Huy N. Chau & Andrea Cosso & Claudio Fontana - 309-333 Regime switching affine processes with applications to finance
by Misha Beek & Michel Mandjes & Peter Spreij & Erik Winands - 335-357 Partial liquidation under reference-dependent preferences
by Vicky Henderson & Jonathan Muscat - 359-382 An incomplete equilibrium with a stochastic annuity
by Kim Weston & Gordan Žitković - 383-422 Consumption in incomplete markets
by Paolo Guasoni & Gu Wang - 423-463 Trading strategies generated pathwise by functions of market weights
by Ioannis Karatzas & Donghan Kim - 465-511 Term structure modelling for multiple curves with stochastic discontinuities
by Claudio Fontana & Zorana Grbac & Sandrine Gümbel & Thorsten Schmidt - 513-564 On fairness of systemic risk measures
by Francesca Biagini & Jean-Pierre Fouque & Marco Frittelli & Thilo Meyer-Brandis
January 2020, Volume 24, Issue 1
- 1-38 A Black–Scholes inequality: applications and generalisations
by Michael R. Tehranchi - 39-69 Ruin probabilities for a Lévy-driven generalised Ornstein–Uhlenbeck process
by Yuri Kabanov & Serguei Pergamenshchikov - 71-123 Optimal dividends with partial information and stopping of a degenerate reflecting diffusion
by Tiziano Angelis - 125-167 The value of a liability cash flow in discrete time subject to capital requirements
by Hampus Engsner & Kristoffer Lindensjö & Filip Lindskog - 169-214 Linear credit risk models
by Damien Ackerer & Damir Filipović - 215-248 Pathwise superhedging on prediction sets
by Daniel Bartl & Michael Kupper & Ariel Neufeld - 249-275 On the quasi-sure superhedging duality with frictions
by Erhan Bayraktar & Matteo Burzoni
October 2019, Volume 23, Issue 4
- 795-826 Financial risk measures for a network of individual agents holding portfolios of light-tailed objects
by Claudia Klüppelberg & Miriam Isabel Seifert - 827-859 Extreme at-the-money skew in a local volatility model
by Paolo Pigato - 861-888 Finite-horizon optimal investment with transaction costs: construction of the optimal strategies
by Christoph Belak & Jörn Sass - 889-923 Multi-dimensional optimal trade execution under stochastic resilience
by Ulrich Horst & Xiaonyu Xia - 925-973 Risk sharing for capital requirements with multidimensional security markets
by Felix-Benedikt Liebrich & Gregor Svindland - 975-999 Forward transition rates
by Kristian Buchardt & Christian Furrer & Mogens Steffensen - 1001-1024 An application of fractional differential equations to risk theory
by Corina D. Constantinescu & Jorge M. Ramirez & Wei R. Zhu - 1025-1048 Dual utilities on risk aggregation under dependence uncertainty
by Ruodu Wang & Zuo Quan Xu & Xun Yu Zhou - 1049-1077 Prospective strict no-arbitrage and the fundamental theorem of asset pricing under transaction costs
by Christoph Kühn & Alexander Molitor
July 2019, Volume 23, Issue 3
- 451-500 Laws of large numbers for Hayashi–Yoshida-type functionals
by Ole Martin & Mathias Vetter - 501-533 Affine forward variance models
by Jim Gatheral & Martin Keller-Ressel - 535-594 An SPDE model for systemic risk with endogenous contagion
by Ben Hambly & Andreas Søjmark - 595-640 Sensitivity analysis of the utility maximisation problem with respect to model perturbations
by Oleksii Mostovyi & Mihai Sîrbu - 641-676 A multi-asset investment and consumption problem with transaction costs
by David Hobson & Alex S. L. Tse & Yeqi Zhu - 677-696 Robust utility maximisation in markets with transaction costs
by Huy N. Chau & Miklós Rásonyi - 697-728 Duality for pathwise superhedging in continuous time
by Daniel Bartl & Michael Kupper & David J. Prömel & Ludovic Tangpi - 729-759 The self-financing equation in limit order book markets
by René Carmona & Kevin Webster - 761-794 Distributional compatibility for change of measures
by Jie Shen & Yi Shen & Bin Wang & Ruodu Wang
April 2019, Volume 23, Issue 2
- 275-311 Incorporating signals into optimal trading
by Charles-Albert Lehalle & Eyal Neuman - 313-358 Consumption, investment and healthcare with aging
by Paolo Guasoni & Yu-Jui Huang - 359-395 Robust bounds for the American put
by David Hobson & Dominykas Norgilas - 397-421 Some no-arbitrage rules under short-sales constraints, and applications to converging asset prices
by Delia Coculescu & Monique Jeanblanc - 423-447 Estimating the Hurst parameter from short term volatility swaps: a Malliavin calculus approach
by Elisa Alòs & Kenichiro Shiraya
January 2019, Volume 23, Issue 1
- 1-28 A two-dimensional control problem arising from dynamic contracting theory
by Jean-Paul Décamps & Stéphane Villeneuve - 29-96 Utility maximisation in a factor model with constant and proportional transaction costs
by Christoph Belak & Sören Christensen - 97-137 On the free boundary of an annuity purchase
by Tiziano Angelis & Gabriele Stabile - 139-172 On arbitrarily slow convergence rates for strong numerical approximations of Cox–Ingersoll–Ross processes and squared Bessel processes
by Mario Hefter & Arnulf Jentzen - 173-207 A paradox in time-consistency in the mean–variance problem?
by Alain Bensoussan & Kwok Chuen Wong & Sheung Chi Phillip Yam - 209-238 Minimax theorems for American options without time-consistency
by Denis Belomestny & Tobias Hübner & Volker Krätschmer & Sascha Nolte - 239-273 An ergodic BSDE approach to forward entropic risk measures: representation and large-maturity behavior
by Wing Fung Chong & Ying Hu & Gechun Liang & Thaleia Zariphopoulou