Finance and Stochastics: Back issues
 Cartea, A. and SanchezBetancourt, L. Optimal execution with stochastic delay
 Tse, A. and Zheng, H. Speculative trading, prospect theory and transaction costs
 Marie, N. Nonparametric estimation for i.i.d. paths of a martingaledriven model with application to nonautonomous financial models
 Herdegen, M., Hobson, D. and Jerome, J. The infinitehorizon investmentconsumption problem for EpsteinZin stochastic differential utility. I: Foundations
 Herdegen, M., Hobson, D. and Jerome, J. The infinitehorizon investmentconsumption problem for EpsteinZin stochastic differential utility. II: Existence, uniqueness and verification for ϑ ∈ (0,1)
 Fu, G. and Zhou, C. Mean field portfolio games
 Nutz, M., Wiesel, J. and Zhao, L. Martingale Schrödinger bridges and optimal semistatic portfolios
 González Cázares, J. and Mijatović, A. Simulation of the drawdown and its duration in Lévy models via stickbreaking Gaussian approximation
 Abi Jaber, E. The characteristic function of Gaussian stochastic volatility models: an analytic expression
 Arrouy, P.E., Boumezoued, A., Lapeyre, B. and Mehalla, S. Jacobi stochastic volatility factor for the LIBOR market model
 Zähle, H. A concept of copula robustness and its applications in quantitative risk management
 Kabanov, Y. and Pergamenshchikov, S. On ruin probabilities with investments in a risky asset with a regimeswitching price
 Herdegen, M. and Kreher, D. Bubbles in discrete time models
 Kühn, C. and Molitor, A. Semimartingale price systems in models with transaction costs beyond efficient friction
 Asmussen, S. On the role of skewness and kurtosis in tempered stable (CGMY) Lévy models in finance
 Ha, H. and Bauer, D. A leastsquares Monte Carlo approach to the estimation of enterprise risk
 Belomestny, D., Hübner, T. and Krätschmer, V. Solving optimal stopping problems under model uncertainty via empirical dual optimisation
 Chen, Y. and Feinstein, Z. Setvalued dynamic risk measures for processes and for vectors
 Choulli, T. and Yansori, S. Logoptimal and numéraire portfolios for market models stopped at a random time
 Zhitlukhin, M. A continuoustime asset market game with shortlived assets
 Achdou, Y., Bertucci, C., Lasry, J.M., Lions, P.L., Rostand. A. and Scheinkman, J. A class of shortterm models for the oil industry addressing speculative oil storage
 Boudabsa, L. and Filipovic, D. Machine learning with kernels for portfolio valuation and risk management
 Chiarolla, M.B., De Angelis, T. and Stabile, G. An analytical study of participating policies with minimum rate guarantee and surrender option
 Deng, S., Li, X., Pham, H. and Yu, X. Optimal consumption with reference to past spending maximum
 Bensoussan, A., Ma, G., Siu, C.C. and Yam, P. Dynamic meanvariance problem with frictions
 Huang, Y.J. and Zhou, Z. A timeinconsistent Dynkin game: from intrapersonal to interpersonal equilibria
 Cohen, A. and Dolinsky, Y. A scaling limit for utility indifference prices in the discretised Bachelier model
 Furrer, C. Scaled insurance cash flows: representation and computation via change of measure techniques
Special Issue on the 25th Anniversary of Finance and Stochastics
 Gonon, L. and Schwab, C. Deep ReLU network expression rates for option prices in highdimensional, exponential Lévy models
 Cassese, G. Complete and competitive financial markets in a complex world
 Carr, P. and Torricelli, L. Additive logistic processes in option pricing
 Wang, R. and Ziegel, J.F. Scenariobased risk evaluation
 Ackermann, J., Kruse, T. and Urusov, M. Càdlàg semimartingale strategies for optimal trade execution in stochastic order book models
 Obloj, J. and Wiesel, J. A unified framework for robust modelling of financial markets in discrete time
 Bartl, D., Kupper, M. and Neufeld, A. Duality theory for robust utility maximisation
 Bouchard, B. and Tan, X. A quasisure optional decomposition and superhedging result on the Skorokhod space
 Han, B., Pun, C.S. and Wong, H.Y. Robust statedependent meanvariance portfolio selection: a closedloop approach
 Christiansen, M.C. Timedynamic evaluations under nonmonotone information generated by marked point processes
 Delbaen, F. Commonotonicity and time consistency for Lebesguecontinuous monetary utility functions
 Jaśkiewicz, A. and Nowak, A. Markov decision processes with quasihyperbolic discounting
 Herdegen, M., MuhleKarbe, J. and Possamaï, D. Equilibrium asset pricing with transaction costs
 Guasoni, P., Mishura, Y. and Rásonyi, M. Highfrequency trading with fractional Brownian motion
 Jarrow, R. and Li, S. Concavity, stochastic utility, and risk aversion
 Strub, M.S. and Zhou, X.Y. Evolution of the ArrowPratt measure of risktolerance for predictable forward utility processes
 Desmettre, S., Leobacher, G. and Rogers, L.C.G. Change of drift in onedimensional diffusions
 Cuchiero, C. and SvalutoFerro, S. Infinitedimensional polynomial processes
Special Issue on Vector and SetValued Methods in Stochastic Finance and Related Areas
 Hamel, A.H. and Schweizer, M. Editorial
 Molchanov, I. and Mühlemann, A. Nonlinear expectations of random sets
 Ararat, C. and Feinstein, Z. Setvalued risk measures as backward stochastic difference inclusions and equations
 Munari, C. Multiutility representations of incomplete preferences induced by setvalued risk measures
 Lépinette, E. and Molchanov, I. Risk arbitrage and hedging to acceptability under transaction costs
 Fissler, T., Hlavinová, J. and Rudloff, B. Elicitability and identifiability of setvalued measures of systemic risk
 Grépat, J. and Kabanov, Y. On a multiasset version of the Kusuoka limit theorem of option superreplication under transaction costs
 Kiiski, M. The Riesz representation theorem and weak* compactness of semimartingales
 Kardaras, K. and Ruf, J. Filtration shrinkage, the structure of deflators, and failure of market completeness
 Chi, Y. and Wei, W. Optimal insurance with background risk: An analysis of general dependence structures
 Guasoni, P. and Wong, K.C. Asset prices in segmented and integrated markets
 Avanesyan, L., Shkolnikov, M. and Sircar, R. Construction of a class of forward performance processes in stochastic factor models, and an extension of Widder's theorem
 Bayraktar, E., Dolinskyi, L. and Dolinsky, Y. Extended weak convergence and utility maximization with proportional transaction costs
 Palmowski, Z., Pérez, J.L., Surya, B.A. and Yamazaki, K. The LelandToft optimal capital structure model under Poisson observations
 Callegaro, G., Ceci, C. and Ferrari, G. Optimal reduction of public debt under partial observation of the economic growth
 Larsen, K., Soner, H.M. and Zitkovic, G. Conditional Davis pricing
 BackhoffVeraguas, J., Beiglböck, M., Bartl, D. and Eder, M. Adapted Wasserstein distances and stability in mathematical finance
 Gobet, E., Pimentel, I. and Warin, X. Option valuation and hedging using an asymmetric risk function: asymptotic optimality through fully nonlinear partial differential equations
 Albani, V. and Zubelli, J.P. A splitting strategy for the calibration of jumpdiffusion models
 Azencott, R., Ren, P. and Timofeyev, I. Realised volatility and parametric estimation of Heston SDEs
 Hambly, B. and Kolliopoulos, N. Fast meanreversion asymptotics for large portfolios of stochastic volatility models
 Egami, M. and Kevkhishvili, R. Time reversal and last passage time of diffusions with applications to credit risk management
 Chau, H.N., Cosso, A. and Fontana, C. The value of informational arbitrage
 van Beek, M., Mandjes, M.R.H., Spreij, P. and Winands, E.M.M. Regime switching affine processes with applications to finance
 Henderson, V. and Muscat, J. Partial liquidation under referencedependent preferences
 Weston, K. and Zitković, G. An incomplete equilibrium with a stochastic annuity
 Guasoni, P. and Wang, G. Consumption in incomplete markets
 Karatzas, I. and Kim, D. Trading strategies generated pathwise by functions of market weights
 Fontana, C., Grbac, Z., Gümbel S. and and Schmidt, T. Term structure modelling for multiple curves with stochastic discontinuities
 Biagini, F., Fouque, J.P., Frittelli, M. and MeyerBrandis, T. On fairness of systemic risk measures
 Tehranchi, M. A BlackScholes inequality: applications and generalisations
 Kabanov, Y. and Pergamenshchikov, S. Ruin probabilities for a Lévydriven generalised OrnsteinUhlenbeck process
 De Angelis, T. Optimal dividends with partial information and stopping of a degenerate reflecting diffusion
 Engsner, H., Lindensjö, K. and Lindskog, F. The value of a liability cash flow in discrete time subject to capital requirements
 Ackerer, D. and Filipovic, D. Linear credit risk models
 Bartl, D., Kupper, M. and Neufeld, A. Pathwise superhedging on prediction sets
 Bayraktar, E. and Burzoni, M. On the quasisure superhedging duality with frictions
 Klüppelberg, C. and Seifert, M.I. Financial risk measures for a network of individual agents holding portfolios of lighttailed objects
 Pigato, P. Extreme atthemoney skew in a local volatility model
 Belak, C. and Sass, J. Finitehorizon optimal investment with transaction costs: Construction of the optimal strategies
 Horst, U. and Xia, X. Multidimensional optimal trade execution under stochastic resilience
 Liebrich, F.B. and Svindland, G. Risk sharing for capital requirements with multidimensional security markets
 Buchardt, K., Furrer, C. and Steffensen, M. Forward transition rates
 Constantinescu, C., Ramirez, J. and Zhu, W. An application of fractional differential equations to risk theory
 Wang, R., Xu, Z.Q. and Zhou, X.Y. Dual utilities on risk aggregation under dependence uncertainty
 Kühn, C. and Molitor, A. Prospective strict noarbitrage and the fundamental theorem of asset pricing under transaction costs
 Announcement: Call for papers for a special issue of Finance and Stochastics on "Vector and setvalued methods in stochastic finance and related areas"
 Martin, O. and Vetter, M. Laws of large numbers for HayashiYoshidatype functionals
 Gatheral, J. and KellerRessel, M. Affine forward variance models
 Hambly, B. and Sojmark, A. An SPDE model for systemic risk with endogenous contagion
 Mostovyi, O. and Sîrbu, M. Sensitivity analysis of the utility maximisation problem with respect to model perturbations
 Hobson, D., Tse, A. and Zhu, Y. A multiasset investment and consumption problem with transaction costs
 Chau, H.N. and Rásonyi, M. Robust utility maximisation in markets with transaction costs
 Bartl, D., Kupper, M., Prömel D.J. and Tangpi, L. Duality for pathwise superhedging in continuous time
 Carmona, R. and Webster, K. The selffinancing equation in limit order book markets
 Shen, J., Shen, Y., Wang, B. and Wang, R. Distributional compatibility for change of measures
 Lehalle, C.A. and Neuman, E. Incorporating signals into optimal trading
 Guasoni, P. and Huang, Y.J. Consumption, investment and healthcare with aging
 Hobson, D. and Norgilas, D. Robust bounds for the American put
 Coculescu, D. and Jeanblanc, M. Some noarbitrage rules under shortsales constraints, and applications to converging asset prices
 Alòs, E. and Shiraya, K. Estimating the Hurst parameter from short term volatility swaps: a Malliavin calculus approach
 Announcement: Call for papers for a special issue of Finance and Stochastics on "Vector and setvalued methods in stochastic finance and related areas"
 Décamps, J.P. and Villeneuve, S. A twodimensional control problem arising from dynamic contracting theory
 Belak, C. and Christensen, S. Utility maximisation in a factor model with constant and proportional transaction costs
 de Angelis, T. and Stabile, G. On the free boundary of an annuity purchase
 Hefter, M. and Jentzen, A. On arbitrarily slow convergence rates for strong numerical approximations of CoxIngersollRoss processes and squared Bessel processes
 Bensoussan, A., Wong, K.C. and Yam, S. A paradox in timeconsistency in the meanvariance problem?
 Belomestny, D., Hübner, T., Krätschmer, V. and Nolte, S. Minimax theorems for American options without timeconsistency
 Chong, W.F., Hu, Y., Liang, G. and Zariphopoulou, T. An ergodic BSDE approach to forward entropic risk measures: representation and largematurity behavior
 Pennanen, T. and A. P. Perkkiö Convex duality in optimal investment and contingent claim valuation in illiquid markets
 Park, H. Sensitivity analysis on longterm cash flows
 Horst, U. and Kreher, D. Second order approximations for limit order books
 Källblad, S., Obloj, J. and Zariphopoulou, T. Dynamically consistent investment under model uncertainty: the robust forward criteria
 Gerhold, S. and Eisenberg, P. Dynamic trading under integer constraints
 Brzezniak, Z. and Kok, T. Stochastic evolution equations in Banach spaces and applications to HeathJarrowMortonMusiela equations
 Marinacci, M. and Severino, F. Weak timederivatives and noarbitrage pricing
 Hou, Z. and Obloj, J. Robust pricinghedging dualities in continuous time
 Bouchard, B., Fukasawa, M., Herdegen, M. and MuhleKarbe, J. Equilibrium returns with transaction costs
 Riedel, F. and Beissner, P. Nonimplementability of ArrowDebreu equilibria by continuous trading under volatility uncertainty
 Qin, L. and Linetsky, V. Longterm factorization in HeathJarrowMorton models
 Pirjol, D. and Zhu, L. Explosion in the quasiGaussian HJM model
 Ackerer, D., Filipović, D. and Pulido, S. The Jacobi stochastic volatility model
 Gass, M., Glau, K., Mahlstedt, M. and Mair, M. Chebyshev interpolation for parametric option pricing
 El Euch, O., Fukasawa, M. and Rosenbaum, M. The microstructural foundations of leverage effect and rough volatility
 MuhleKarbe, J. and Nutz, M. A riskneutral equilibrium leading to uncertain volatility pricing
 Larsen, K., Mostovyi, O. and Zitkovic, G. An expansion in the model space in the context of utility maximization
 Benth, F.E. and Krühner, P. Approximation of forward curve models in commodity markets with arbitragefree
finitedimensional models
 Mao, T. and Cai, J. Risk measures based on behavioural economics theory
 Gao, N., Leung, D., Munari, C. and Xanthos, F. Fatou property, representations, and extensions of lawinvariant risk measures on general Orlicz spaces
 Fukasawa, M. and Stadje, M. Perfect hedging under endogenous permanent market impacts
 Herdegen, M. and MuhleKarbe, J. Stability of Radner equilibria with respect to small frictions
 KellerRessel, M. Correction to: Yield curve shapes and the asymptotic short rate distribution in affine onefactor models
 Cvitanic, J., Possamai, D. and Touzi, N. Dynamic programming approach to principalagent problems
 Becherer, D., Bilarev, T. and Frentrup, P. Optimal liquidation under stochastic liquidity
 Huang, Y.J. and NguyenHuu, A. Timeconsistent stopping under decreasing impatience
 Çetin, U. Financial equilibrium with asymmetric information and random horizon
 Aksamit, A., Choulli, T., Deng, J. and Jeanblanc, M. Noarbitrage under a class of honest times
 Czichowsky, C., Peyre, R., Schachermayer, W. and Yang, J. Shadow prices, fractional Brownian motion and portfolio optimisation under transaction costs
 Cambou, M. and Filipovic, D. Replicating portfolio approach to capital calculation
 Jeanblanc, M., Song, S. and Li, L. An enlargement of filtration formula with applications to multiple nonordered default times
 Herrmann, S. and MuhleKarbe, J. Model uncertainty, recalibration, and the emergence of deltavega hedging
 Bennedsen, M., Lunde, A. and Pakkanen, M.S. Hybrid scheme for Brownian semistationary processes
 Egami, M. and Oryu, T. A direct solution method for pricing options involving maximum process
 Giles, M. and Xia, Y. Multilevel Monte Carlo for exponential Lévy models
 Cheng, Z. and Robertson, S. Endogenous current coupons
 Madan, D., Pistorius, M. and Stadje, M. On dynamic spectral risk measures, a limit theorem and optimal portfolio allocation
 Aksamit, A., Choulli, T., Deng, J. and Jeanblanc, M. Noarbitrage up to random horizon for quasileftcontinuous models
 Beiglböck, M., Cox, A.M.G., Huesmann, M., Perkowski, N., and Prömel, D. Pathwise superreplication via Vovk's outer measure
 Guyon, J., Menegaux, R. and Nutz, M. Bounds for VIX futures given S&P 500 smiles
 Bernard, C., Rüschendorf L., Vanduffel, S. and Wang, R. Risk bounds for factor models
 Pagliarani, S. and Pascucci, A. The exact Taylor formula of the implied volatility
 Vovk, V. The role of measurability in gametheoretic probability
 Acciaio, B., Larsson, M. and Schachermayer, W. The space of outcomes of semistatic trading strategies need not be closed
 Karatzas, I. and Ruf, J. Trading strategies generated by Lyapunov functions
 Jiao, Y., Ma, C. and Scotti, S. AlphaCIR model with branching processes in sovereign interest rate modeling
 Anthropelos, M. and Kardaras, C. Equilibrium in risksharing games
 Cvitanic, J., Schachermayer, W. and Wang, H. Erratum to: Utility maximization in incomplete markets with random endowment
 Björk, T., Khapko, M. and Murgoci, A. On timeinconsistent stochastic control in continuous time
 Jiao, Y., Klopfenstein, O. and Tankov, P. Hedging under multiple risk constraints
 Källblad, S. Risk and ambiguityaverse portfolio optimization with quasiconcave utility functionals
 Liu, Z. Jumprobust estimation of volatility with simultaneous presence of microstructure noise and multiple observations
 Campi, L., Laachir, I. and Martini, C. Change of numeraire in the twomarginals martingale transport problem
 Bank, P., Dolinsky, Y. and Perkkiö, A.P. The scaling limit of superreplication prices with small transaction costs in the multivariate case
 Baños, D., MeyerBrandis, T., Proske, F. and Duedahl, S. Computing deltas without derivatives
 Arai, T., Imai, Y. and Suzuki, R. Local riskminimization for BarndorffNielsen and Shephard models
 Herrmann, S., MuhleKarbe J. and Seifried F.T. Hedging with small uncertainty aversion
 Kardaras, C. and Robertson, S. Continuoustime perpetuities and time reversal of diffusions
 Guo, I. and Rutkowski, M. Arbitragefree pricing of multiperson game claims in discrete time
 Rodosthenous, N. and Zervos, M. Watermark options
 Kraft, H., Seiferling, T. and Seifried, F.T. Optimal consumption and investment with EpsteinZin recursive utility
 Xing, H. Consumptioninvestment optimization with EpsteinZin utility in incomplete markets
 Schwarz, D. Market completion with derivative securities
 Hobson, D. and Neuberger, A. Model uncertainty and the pricing of American options
 Schweizer, M. and Sondermann, D. Editorial: 20th anniversary of Finance and Stochastics
 Pierre, E., Villeneuve, S. and Warin, X. Liquidity management with decreasing returns to scale and secured credit line
 Rutkowski, M. and Nie, T. A BSDE approach to fair bilateral pricing under endegenous collateralization
 Crépey, S. and Song, S. Counterparty risk and funding: immersion and beyond
 Filipovic, D. and Larsson, M. Polynomial diffusions and applications in finance
 FigueroaLópez, J.E. and Olafsson, S. Shortterm asymptotics for the implied volatility skew under a stochastic volatility model with Lévy jumps
 Glau, K. A FeynmanKactype formula for Lévy processes with discontinuous killing rates
 Lyasoff, A. Another look at the integral of exponential Brownian motion and the pricing of Asian options
 Kabanov, Y., Kardaras, C. and Song, S. No arbitrage of the first kind and local martingale numéraires
 Fouque, JP., Lorig, M. and Sircar, R. Second order multiscale stochastic volatility asymptotics: stochastic terminal layer analysis and calibration
 Li, J., Li, L. and MendozaArriaga, R. Additive subordination and its applications in finance
 HenryLabordère, P. and Touzi, N. An explicit martingale version of the onedimensional Brenier theorem
 Cox, A.M.G., Hou Z. and Oblój, J. Robust pricing and hedging under trading restrictions and the emergence of local martingale models
 De Vallière D., Kabanov, Y. and Lépinette, E. Consumptioninvestment problem with transaction costs for Lévydriven price processes
 Bouchard, B., Loeper, G. and Zou, Y. Almostsure hedging with permanent price impact
 Dassios, A. and Zhang, Y.Y. The joint distribution of Parisian and hitting times of the Brownian motion with application to Parisian option pricing
 Ivanov, R.V. Retraction Note to: The distribution of the maximum of a variance gamma process and pathdependent option pricing
 Cuchiero, C., Fontana, C. and Gnoatto, A. A general HJM framework for multiple yield curve modeling
 de Haan, L., Mercadier, C. and Zhou, C. Adapting extreme value statistics to financial time series: dealing with bias and serial dependence
 Kabanov, Y. and Pergamenshchikov, S. In the insurance business risky investments are dangerous: the case of negative risk sums
 Cai, J. and Fukasawa, M. Asymptotic replication with modified volatility under small transaction costs
 Delbaen, F., Bellini, F., Bignozzi, V. and Ziegel, J.F. Risk measures with the CxLS property
 Schöneborn, T. Adaptive basket liquidation
 Neuman, E. and Schied, A. Optimal portfolio liquidation in target zone models and catalytic superprocesses
 Weston, K. Stability of utility maximization in nonequivalent markets
 Burzoni, M., Frittelli, M. and Maggis, M. Universal arbitrage aggregator in discretetime markets under uncertainty
 Fahim, A. and Huang, Y.J. Modelindependent superhedging under portfolio constraints
 Bouchard, B. and Nutz, M. Consistent price systems under model uncertainty
 Larsen, K., Soner, H.M. and Zitkovic, G. Facelifting in utility maximization
 Roorda, B. and Schumacher, J.M. Weakly time consistent concave valuations and their dual representations
 Bank, P. and Gökay, S. Superreplication when trading at market indifference prices
 Alfonsi, A. and Blanc, P. Dynamic optimal execution in a mixedmarketimpact Hawkes price model
 FigueroaLópez, J.E. and Olafsson, S. Shorttime expansions for closetothemoney options under a Lévy jump model with stochastic volatility
 Imkeller, P. and Perkowski, N. The existence of dominating local martingale measures
 Choulli, T., Deng, J. and Ma, J. How nonarbitrage, viability and numéraire portfolio are related
 Cuchiero, C. and Teichmann, J. A convergence result for the Emery topology and a variant of the proof of the fundamental theorem of asset pricing
 Embrechts, P., Wang, B. and Wang, R. Aggregationrobustness and model uncertainty of regulatory risk measures
 Grandits, P. An optimal consumption problem in finite time with a constraint on the ruin probability
 Benth, F.E. and Detering, N. Pricing and hedging Asianstyle options on energy
 Capponi, A., FigueroaLópez, J.E. and Pascuzzi, A. Dynamic credit investment in partially observed markets
 Li, L. and Linetsky, V. Discretely monitored first passage problems and barrier options: an eigenfunction expansion approach
 Ivanov, R.V. The distribution of the maximum of a variance gamma process and pathdependent option pricing
 Guasoni, P. and Wang, G. Hedge and mutual funds' fees and the separation of private investments
 Mayer, Ph. A., Packham, N. and Schmidt, W. M. Static hedging under maturity mismatch
 Elie, R., Lépinette, E. Approximate hedging for nonlinear transaction costs on the volume of traded assets
 Kallsen, J. and Krühner, P. On a HeathJarrowMorton approach for stock options
 Bentata, A. and Cont, R. Forward equations for option prices in semimartingale models
 Choi, J.H. and Larsen, K. Taylor approximation of incomplete Radner equilibrium models
 Belomestny, D., Joshi, M., and Schoenmakers, J. Addendum to: Multilevel dual approach for pricing American style derivatives
 Guasoni, P. and Rásonyi M. Fragility of arbitrage and bubbles in local martingale diffusion models
 Krishenik, A., Minca, A. and Wissel, J. When do creditors with heterogeneous beliefs agree to run?
 Mancini, C., Mattiussi, V. and Renò, R. Spot volatility estimation using delta sequences
 Christiansen, M.C. and Niemeyer, A. On the forward rate concept in multistate life insurance
 Chassagneux, J.F., Elie, R. and Kharroubi, I. When terminal facelift enforces delta constraints
 Altarovici, A., MuhleKarbe, J. and Soner, H. M. Asymptotics for fixed transaction costs
 Federico, S., Gassiat, P. and Gozzi F. Utility maximization with current utility on the wealth: regularity of solutions to the HJB equation
 Bank, P. and Kramkov, D. A model for a large investor trading at market indifference prices. I: Singleperiod case
 Kramkov, D. Existence of an endogenously complete equilibrium driven by a diffusion
 Penner, I. and Réveillac, A. Risk measures for processes and BSDEs
 Feinstein, Z. and Rudloff, B. Multiportfolio time consistency for setvalued convex and coherent risk measures
 Hillairet, C. and Jiao, Y. Portfolio optimization with insider's initial information and counterparty risk
 Mostovyi, O. Necessary and sufficient conditions in the problem of optimal investment with intermediate consumption
 Siorpaes, P. Optimal investment and price dependence in a semistatic market
 Hobson, D., and Klimmek, M. Robust price bounds for the forward starting straddle
 Ott, C. Bottleneck option
 Bichuch, M. and Sturm, S. Portfolio optimization under convex incentive schemes
 Capponi, A., Pagliarani, S. and Vargiolu, T. Pricing vulnerable claims in a Lévy driven model
 Pennanen, T. Optimal investment and contingent claim valuation in illiquid markets
 Nutz, M. Superreplication under model uncertainty in discrete time
 Hackmann, D. and Kuznetsov, A. Asian options and meromorphic Lévy processes
 Sass, J. and Smaga, M. FTAP in finite discrete time with transaction costs by utility maximization
 Klein, I., Lepinette, E. and Ostafe, L. Asymptotic arbitrage with small transaction costs
 Strong W. Fundamental theorems of asset pricing for piecewise semimartingales of stochastic dimension
 Fontana, C., Jeanblanc, M. and Song, S. On arbitrages arising with honest times
 Björk, T. and Murgoci, A. A theory of Markovian time inconsistent stochastic control in discrete time
 Söhl, J. Confidence sets in nonparametric calibration of exponential Lévy models
 Henderson, V. and Liang, G. Pseudo linear pricing rule for utility indifference valuation
 Bichuch, M. Pricing a contingent claim liability with transaction costs using asymptotic analysis for optimal investment
 Kato, T. An optimal execution problem with market impact
 Krätschmer, V., Schied, A. and Zähle, H. Comparative and qualitative robustness for lawinvariant risk measures
 Biagini, F., Föllmer, H. and Nedelcu, S. Shifting martingale measures and the birth of a bubble as a submartingale
 Dolinsky, Y. and Soner, H.M. Robust hedging with proportional transaction costs
 Gao, K. and Lee, R. Asymptotics of implied volatility to arbitrary order
 Takaoka, K. and Schweizer, M. A note on the condition of no unbounded profit with bounded risk
 Benth, F. E. and Lempa, J. Optimal portfolios in commodity futures markets
 Bo, L. and Capponi, A. Bilateral credit valuation adjustment for large credit derivatives portfolios
 Emmanuel Gobet A correction note to "Discrete time hedging errors for options with irregular payoffs"
 Gerhold, S., Guasoni, P., MuhleKarbe, J. and Schachermayer, W. Transaction costs, trading volume, and the liquidity premium
 Pagès, H. and Possamaï, D. A mathematical treatment of bank monitoring incentives
 Guasoni, P., Kardaras, K., Robertson, S. and Xing, H. Abstract, classic and explicit turnpikes
 Carr, P., Fisher, T. and Ruf, J. On the hedging of options on exploding exchange rates
 Farkas, W., KochMedina, P. and Munari, C. Beyond cashadditive risk measures: when changing the numeraire fails
 Fukasawa, M. Efficient discretization of stochastic integrals
 Tappe, S. and Weber, S. Stochastic mortality models: An infinitedimensional approach
 Ravanelli, C. and Svindland, G. Comonotone Pareto allocations for law invariant robust utilities on L^1
 Wang, L. and Wissel, J. Meanvariance hedging with oil futures
 Carr, P. and Lee, R. Variation and shareweighted variation swaps on timechanged Lévy processes
 Belomestny, D., Schoenmakers, J. and Dickmann, F. Multilevel dual approach for pricing American style derivatives
 Lorenz, Ch. and Schied, A. Drift dependence of optimal order execution strategies under transient price impact
 Cherny, V. and Oblój, J. Portfolio optimisation under nonlinear drawdown constraints in a semimartingale financial model
 Benedetti, G., Campi, L., Kallsen, J. and MuhleKarbe, J. On the existence of shadow prices
 Rokhlin, D. On the game interpretation of a shadow price process in utility maximization problems under transaction costs
 Leung, T., Song, S. and Yang, J. Outperformance portfolio optimization via the equivalence of pure and randomized hypothesis testing
 Dolinsky, Y. and Soner, M. Duality and convergence for binomial markets with friction
 Beiglböck, M., HenryLabordére, P. and Penkner, F. Modelindependent bounds for option prices  A mass transport approach
 Zanger, D. Quantitative error estimates for a leastsquares Monte Carlo algorithms for American option pricing
 Tevzadze, R., Toronjadze, T. and Uzunashvili, T. Robust utility maximization for a diffusion market model with misspecifed coefficients
 Campi, L, Çetin, U. and Danilova, A. Equilibrium model with default and insider's dynamic information
 BionNadal, J. and Di Nunno, G. Dynamic nogooddeal pricing measures and extension theorems for linear operators on L∞
 Nikeghbali, A. and Platen, E. A reading guide for last passage times with financial applications in view
 Czichowsky, Ch. Timeconsistent meanvariance portfolio selection in discrete and continuous time
 Muraviev R. Market selection with learning and catching up with the Joneses
 Jarrow, R., Kchia, Y., Larsson, M. and Protter, P. Discretely sampled variance and volatility swaps versus their continuous approximations
 Gerhold, S., MuhleKarbe, J. and Schachermayer, W. The dual optimizer for the growthoptimal portfolio under transaction costs
 Lamberton, D. and Mikou, M. Exercise boundary of the American put near maturity in an exponential Lévy mode
 Wang, R., Peng, L. and Yang, J. Bounds for the sum of dependent risks and worst ValueatRisk with monotone marginal densities
 Berdjane, B. and Pergamenshchikov, S. Optimal consumption and investment for markets with random coefficients
 Appleby, J., Riedle, M. and Swords, C. Bubbles and crashes in a Black–Scholes model with delay
 Bouchard, B. and Dang, N. M. Generalized stochastic target problems for the pricing and partial hedging under loss constraints  Application in optimal book liquidation
 Hunting, M. and Paulsen, J. Optimal dividend policies with transaction costs for a class of jumpdiffusion processes
 KellerRessel, M. and MuhleKarbe, J. Asymptotic and exact pricing of options on variance
 Korn, R. and Müller, S. The optimaldrift model – An accelerated binomial scheme
 Kraft, H., Seifried F. T. and Steffensen, M. Consumptionportfolio optimization with recursive utility in incomplete markets
 Norberg, R. Optimal hedging of demographic risk in life insurance and pensions
 Bernard, C., Cui, Z., Forde, M., Jacquier, A., McLeish, D. and Mijatovic Correction note for "The largematurity smile for the Heston model"
 Chen, X. and Kohn, R. Erratum to "Asset price bubbles from heterogeneous beliefs about mean reversion rates"
 Vovk, V. Continuoustime trading and the emergence of probability
 Hobson, D. and Klimmek, M. Model independent hedging strategies for variance swaps
 Kardaras, K. Market viability via absence of arbitrage of the first kind
 Acciaio, B., Föllmer, H. and Penner, I. Risk assessment for uncertain cash flows: Model ambiguity, discounting ambiguity, and the role of bubbles
 Cuchiero, Ch., KellerRessel, M. and Teichmann, J. Polynomial processes and their applications to mathematical finance
 Guasoni, P., Lépinette, E. and Rasonyi, M. The fundamental theorem of asset pricing under transaction costs
 Larsen, K. and Yu, H. Horizon dependence of utility optimizers in incomplete models
 Grépat, J. and Kabanov, Y. Small transaction costs, absence of arbitrage and consistent price systems
 Sekine, J. Longterm optimal portfolios with floor
 Alòs, E. A decomposition formula for option prices in the Heston model and applications to option pricing approximation
 Detemple, J., Tian, W. and Xiong, J. An stopping problem with a reward contraint
 Jiang, Z. and Pistorius, M. Optimal dividend distribution under Markov regime switching
 Bai, L., Hunting, M. and Paulsen, J. Optimal dividend policies for a class of growthrestricted diffusion processes under transaction costs and solvency constraints
 Coculescu, D., Jeanblanc, M. and Nikeghbali, A. Default times, noarbitrage conditions and changes of probability measures
 Barski, M. and Zabczyk, J. Forward rate models with linear volatilities
 Zitkovic, G. An example of a stochastic equilibrium with incomplete markets
 Steg, J.H. Irreversible investment in oligopoly
 Mijatovic, A. and Urusov, M. Deterministic criteria for the absence of arbitrage in onedimensional diffusion models
 Papi, M., Constantini, C. and D'Ippoliti, F. Singular riskneutral valuation equations
 Bayraktar, E., Kardaras, C. and Xing, H. Strict local martingale deflators and valuing American calltype options
 Neri, C. and Schneider, L. Maximum entropy distributions inferred from option portfolios on an asset
 Schoenmakers, J. A pure martingale dual for multiple stopping
 Carr, P., Lee, R. and Wu, L. Variance swaps on timechanged Lévy processes
 Hansen, L.P. and Scheinkman, J. Pricing growthrate risk
 Ankirchner, S. and Heyne, G. Cross hedging with stochastic correlation
 Kaji, S. and Kotani, S. Financial inverse problem and reconstruction of infinitely divisible distributions with Gaussian component
 Carmona, R. and Nadtochiy, S. Tangent Lévy market models
 Frey, R. and Schmidt, T. Pricing and hedging of credit derivatives via the innovations approach to nonlinear filtering
 Denis, E. and Kabanov, Y. Consistent price systems and arbitrage opportunities of the second kind in models with transaction costs
 Rüschendorf, L. Worst case portfolio vectors and diversification effects
 Riedel, F. and Su, X. On irreversible investment
 Fukasawa, M. Asymptotic analysis for stochastic volatility: Martingale expansion
 Belomestny, D. Pricing Bermudan options by nonparametric regression: Optimal rates of convergence for lower estimates
 Kindermann, S. and Mayer, P.A. On the calibration of local jumpdiffusion asset price models
 Jiao, Y. and Pham, H. Optimal investment with counterparty risk: A defaultdensity model approach

Forde, M. and Jacquier, A. The largematurity smile for the Heston model
 Forde, M., Jacquier A. and Mijatovic, A. A note on essential smoothness in the Heston model
 Bayraktar, E. and Young, V.R. Proving regularity of the minimal probability of ruin via a game of stopping and control
 Roch, A.F. Liquidity risk, price impacts and the replication problem
 Federico, S. A stochastic control problem with delay arising in a pension fund model
 Campi, L. and Owen, M.P. Multivariate utility maximization with proportional
transaction costs
 Westray, N. and Zheng, H. Minimal sufficient conditions for a primal optimizer in nonsmooth utility maximization
 MendozaArriaga, R. and Linetsky, V. Pricing equity default swaps under the jumptodefault extended CEV model
 Bielecki, T.R., Jeanblanc, M. and Rutkowski, M. Hedging of a credit default swaption in the CIR default intensity model
 Cox, A.M.G. and Oblój, J. Robust pricing and hedging of double notouch options
 Andersen, L. Option pricing with quadratic volatility: A revisit
 Chen, X. and Kohn, R.V. Asset price bubbles from heterogeneous beliefs about mean reversion rates
 Hult, H. and Lindskog, F. Ruin probabilities under general investments and heavytailed claims
 Glasserman, P. and Kim, K. Gamma expansion of the Heston stochastic volatility model
 Di Giacinto, M., Federico, S. and Gozzi, F. Pension funds with a minimum guarantee: a stochastic control approach
 Angelsberg, G., Delbaen, F., Kaelin, I., Kupper, M. and Näf, J. On a class of law invariant convex risk measures
 Mulinacci, S. The efficient hedging problem for American options
 Bender, Ch. Dual pricing of multiexercise options under volume constraints
 Rieger, M.O. Comonotonicity of optimal investments and the design of structured financial products
 Pennanen, T. Arbitrage and deflators in illiquid markets
 Cretarola, A., Gozzi, F., Pham, H. and Tankov, P. Optimal consumption policies in illiquid markets
 Kassberger, S. and Liebmann, T. Minimal qEntropy Martingale measures for exponential
timechanged Lévy processes
 Lyuu, Y.D. and Teng, H.W. Unbiased and efficient Greeks of financial options
 Larsen, K. A note on the existence of the power investor's optimizer
 Frey, R. and Runggaldier, W. Pricing credit derivatives under incomplete information: A nonlinearFiltering Approach
 Reich, N., Schwab, C. and Winter, C. On Kolmogorov equations for anisotropic multivariate Lévy processes
 Grandits, P. and Temnov, G. A global consistency result for the twodimensional Pareto distribution in the presence of misspecified inflation
 Mainik, G and Rüschendorf, L. On optimal portfolio diversification with respect to extreme risks
 Denis, E. and Kabanov, Y. Mean square error for the Leland–Lott hedging strategy: Convex payoffs
 Çetin, U., Soner, M. and Touzi, N. Option hedging for small investors under liquidity costs
 Diesinger, P., Kraft, H. and Seifried, F. Asset allocation and liquidity breakdowns: what if your broker does not answer the phone?
 Cherny, A., Douady, R. and Molchanov, S. On measuring nonlinear risk with scarce observations
 Pflug, G. and Wozabal, N. Asymptotic distribution of lawinvariant risk functionals
 Mania M. and Santacroce, M. Exponential utility maximization under partial information
 Delbaen, F., Peng, S. and Gianin, E. Representation of the penalty term of dynamic concave utilities
 Dassios, A. and Wu, S. Perturbed Brownian motion and its application to Parisian option pricing
 Durrleman, V. From implied to spot volatilities
 Carr, P. and Lee, R. Hedging variance options on continuous semimartingales
 Fukasawa, M. Central limit theorem for the realized volatility based on tick time sampling
 Rogers, L.C.G. and Tehranchi, M.R. Can the implied volatility surface move by parallel shifts?
 Gatheral, J. and Oomen, R.C.A. Zerointelligence realized variance estimation
 Jacod, J. and Protter, P. Risk neutral compatibility with option prices
 Klössner, S. A highlowbased omnibus test for symmetry, the Lévy property, and other hypotheses on intraday returns
 Mijatovic, A. Local time and the pricing of timedependent barrier options
 Comte, F., GenonCatalot, V. and Rosenholc, Y. Nonparametric estimation for a stochastic volatility model
 Gerhold, S., Schmock, U. and Warnung, R. A generalization of Panjer's recursion and numerically stable risk aggregation
 Hobson, D. Comparison results for stochastic volatility models via coupling
 Coculescu, D. , Geman, H. and Jeanblanc, M. Valuation of defaultsensitive claims under imperfect
information (Publisher's Erratum)
Special Issue on Computational Methods in Finance (Part II)
 Hilber, N., Reich, N., Schwab, C. and Winter, C. Numerical methods for Lévy processes
 Feng, L. and Linetsky, V. Computing exponential moments of the discrete maximum of a Lévy process and lookback options
 Kudryatsev, O. and Levendorskii Fast and accurate pricing of barrier options under Lévy processes
 Benhamou, E., Gobet, E. and Miri, M. Smart expansion and fast calibration for jump diffusions
 Bäuerle, N. and Rieder, U. MDP algorithms for portfolio optimization problems in pure jump markets
 Carmona, R., Fouque, J.P. and Vestal, D. Interacting particle systems for the computation of rare credit portfolio losses
Special Issue on Computational Methods in Finance (Part I)
 Schweizer, M. and Korn, R. Editorial
 L'Ecuyer, P. QuasiMonte Carlo methods with applications in finance
 Kaebe, C., Maruhn, J.M. and Sachs, E.W. Adjointbased Monte Carlo calibration of financial market models
 Avikainen, R. On irregular functionals of SDEs and the Euler scheme
 Giles, M.B., Higham, D.J. and Mao, X. Analysing multilevel Monte Carlo for options with nonglobally Lipschitz payoff
 Ninomiya, M. and Ninomiya, S. A new higherorder weak approximation scheme for stochastic differential equations and the RungeKutta method
 Zheng, H. and Jiang, L. Basket CDS pricing with interacting intensities
 El Karoui, N. and Jiao, Y. Stein's method and zero bias transformation for CDO tranche pricing
 Schied, A. and Schöneborn Risk aversion and the dynamics of optimal liquidation strategies in illiquid markets
 Anderluh, J.H.M and van der Weide, J.A.M. Doublesided Parisian option pricing
 Christensen, K., Podolskij, M. and Vetter, M. Biascorrecting the realized rangebased variance in the presence of market microstructure noise
 Antonelli, F. and Scarlatti, S. Pricing options under stochastic volatility: a power series approach
 Carmona, R. and Nadtochiy, S. Local volatility dynamic models
 Schachermayer, W., Sîrbu, M. and Taflin, E. In which financial markets do mutual fund theorems hold true?
 Ehlers, P. and Schönbucher, P. Background filtrations and canonical loss processes for topdown models of portfolio credit risk
 De Vallière, D., Denis, E. and Kabanov, Y. Hedging of American options under transaction costs
 Morlais, M.A. Quadratic BSDEs driven by a continuous martingale and applications to the utility maximization problem
 Bender, C., Sottinen, T. and Valkeila, E. Pricing by hedging and noarbitrage beyond semimartingales
 Schweizer, M. and Wissel, J. Arbitragefree market models for option prices: The multistrike case
 Chen, Z. and Glasserman, P. Sensitivity estimates for portfolio credit derivatives using Monte Carlo
 Levendorskii, S. American and European options in multifactor jumpdiffusion models, near expiry
 Lamberton, D. and Mikou, M. The critical price for the American put in an exponential Lévy model
 Jacka, S., Berkaoui, A. and Warren, J. No arbitrage and closure results for trading cones with transaction costs
 Kabanov, Y. In discrete time a local martingale is a martingale under an equivalent probability measure
 Elie, R. and Touzi, N. Optimal lifetime consumption and investment under a drawdown constraint
 Jiang, Z. and Pistorius, M. On perpetual American put valuation and firstpassage in a regimeswitching model with jumps
 Fischer, T. Consumption processes and positively homogeneous projection properties
 Bender, Ch. and Niethammer, Ch. On qoptimal martingale measures in exponential Lévy models
 Malamud, S. Universal bounds for asset prices in heterogeneous economies
 Filipovic, D. and Svindland, G. Optimal capital and risk allocations for law and cashinvariant convex functions
 KellerRessel, M. and Steiner, T. Yield curve shapes and the asymptotic short rate distribution in affine onefactor models
 Rokhlin, D. Asymptotic arbitrage and numéraire portfolios in large financial markets
 Coculescu, D., Geman, H. and Jeanblanc, M. Valuation of defaultsensitive claims under imperfect information
Publisher's Erratum, vol. 14 (2009), issue 1
 BionNadal, J. Dynamic risk measures: Time consistency and risk measures from BMO martingales
 Malamud, S. Long run forward rates and long yields of bonds and options in heterogeneous equilibria
 Eberlein, E., Papantoleon, A. and Shiryaev, A.N. On the duality principle in option pricing: semimartingale setting
 Karatzas, I. and Kardaras, C. The numéraire portfolio in semimartingale financial models
 Gloter, A. Efficient estimation of drift parameters in stochastic volatility models
 Jourdain, B. Stochastic flows approach to Dupire's formula
 Cherny, A. Pricing and hedging European options with discretetime coherent risk
 Alós, E., León, J.A., and Vives, J. On the shorttime behavior of the implied volatility for jumpdiffusion models with stochastic volatility
 Campi, L. and Çetin, U. Insider trading in an equilibrium model with default: a passage from reducedform to structural modelling
 Call for Papers for a special issue of Finance and Stochastics on "Computational Methods in Finance"
 Collamore, J.F. and Hoeing, A. Smalltime ruin for a financial process modulated by a Harris recurrent Markov chain
 Chen, Y.T., Lee, C.F. and Sheu, Y.C. An ODE approach for the expected discounted penalty at ruin in a jumpdiffusion model
 Rogers, L.C.G. and Scheinkman, J. Optimal exercise of executive stock options
 Cascos, I. and Molchanov, I. Multivariate risks and depthtrimmed regions
 Choulli,T., Stricker, C. and Li, J. Minimal Hellinger martingale measures of order q
 Jakubowski, J. and Zabczyk, J. Exponential moment for HJM models with jumps
 Chen, N. and Glasserman, P. Additive and multiplicative duals for American option pricing
 Davis, M. H. A. and MataixPastor, V. Negative Libor rates in the swap market model
 Jarrow, R. A., Protter, P. and Sezer, D. Information reduction via level crossings in a credit risk model
 Bayraktar, E. and Young, V.R. Correspondence between lifetime minimum wealth and utility of consumption
 De Vallière, D. Kabanov, Y. and Stricker C. Noarbitrage properties for financial markets with transaction costs and incomplete information
 Sara Biagini and Marco Frittelli The supermartingale property of the optimal wealth process for general semimartingales
 Acciaio, B. Optimal risk sharing with nonmonotone monetary functions
 Cherny, A.S. and Grigoriev, P.G. Dilatation monotone risk measures are law invariant
 Schweizer, M. Editorial
 Décamps, J.P. and Villeneuve, S. Optimal dividend policy and growth option
 Andersen, L. and Piterbarg, V. Moment explosions in stochastic volatility models
 Ly Vath, V., Mnif, M. and Pham, H. A model of optimal portfolio selection under liquidity risk and price impact
 Chang, L.B. and Palmer, K. Smooth convergence in the binominal model
 Kyprianou, A. E. and Surya, B. A. Principles of smooth and continuous fit in the determination of endogenous bankruptcy levels
 Belomestny, D. and Reiss, M. Spectral calibration of Lévy models
 Chesney, M. and Gauthier, L. American Parisian options
 Pietersz, R. and van Regenmortel, M. Generic market models
 DmitrasinovicVidovic, G. and Ware, A. Asymptotic behaviour of meanquantile efficient portfolios
 Ringer, N. and Tehranchi, M. Optimal portfolio choice in the bond market
 Roux, A. and Zastawniak, T. A counterexample to the option pricing formula under transaction costs
 Campi, L. and Schachermayer, W.A superreplication theorem in Kabanov's model of transaction costs
 Carr, P. and Linetsky, V. A jump to default extended CEV model:
an application of Bessel processes
 Heath, D. and Ku, H. Consistency among trading desks
 Embrechts, P. and Puccetti, G. Bounds for functions of dependent risks
 Alòs, E. A generalization of the Hull and White formula with applications to option pricing approximation
 Cherny, A.S. Weighted V@R and its properties
 Hata, H. and Iida, Y. A risksensitive stochastic control approach to an optimal investment problem with partial
information
 Cheridito, P., Delbaen, F. and Kupper, M. Publisher's Erratum to: Coherent and convex monetary risk measures for unbounded càdlàg processes
 Fusai, G.; Abrahams, I.D. and Sgarra, C. An exact analytical solution for discrete barrier options
 Kolodko, A. and Schoenmakers, J. Iterative construction of the optimal Bermudan stopping time
 Rockafellar, R.T.; Uryasev, S. and Zabarankin, M. Generalized deviations in risk analysis
 Holm Nielsen, P. Utility maximization and risk minimization in life and pension insurance
 Zitkovic, G. Financial equilibria in the semimartingale setting: complete markets and markets with withdrawal constraints
 Matsumoto, K. Optimal portfolio of low liquid assets with a logutility function
 Cheridito, P. and Summer, C. Utility maximization under increasing risk aversion in oneperiod models
 Carr, P.; Geman, H.; Madan, D. and Yor, M. Pricing options on realized variance
 Cox, A.M.G. and Hobson, D.G. Local martingales, bubbles and option prices
 Biagini, S. and Frittelli, M. Utility maximization in incomplete markets for unbounded processes
 Norberg, R. Anomalous PDEs in Markov chains: Domains of validity and numerical solutions
 Detlefsen, K. and Scandolo, G. Conditional and dynamic convex risk measures
 Espen Benth, F. and MeyerBrandis, T. The density process of the minimal entropy martingale measure in a stochastic volatility model with jumps
 Schloegl, L. and O'Kane, D. The large homogeneous portfolio approximation with the Studentt copula
 Ilhan, A.; Jonsson, M. and Sircar, R. Optimal investment with derivative securities
 Krätschmer, V. Robust representation of convex risk measures by probability measures
 Cont, R. and Voltchkova, E. Integrodifferential equations for option prices in exponential Lévy models
 Eberlein, E. and Özkan, F. The Lévy LIBOR model
 Detemple, J.; Garcia, R. and Rindisbacher, M. Representation formulas for Malliavin derivatives of diffusion processes
 Cheridito, P.; Delbaen, P. and Kupper, M. Coherent and convex monetary risk measures for unbounded càdlàg processes
Publishers Erratum, vol. 10 (2006), issue 3
 Tehranchi, M. A note on invariant measures for HJM models
 Rheinländer, T. An entropy approach to the Stein and Stein model with correlation
 Muroi, Y. Pricing contingent claims with credit risk: Asymptotic expansion approach
 Taflin, E. Bond market completeness and attainable contingent claims
 Gundel, A. Robust utility maximization for complete and incomplete market models
 Larsen, K.; Pirvu, T.A.; Shreve, S.E. and Tütüncü, R. Satisfying convex risk limits by trading
 Björk, T. and Hult, H. A note on Wick products and the fractional BlackScholes model
 Chen, L. and Filipovic, D. A simple model for credit migration and spread curves
 Kruse, S. and Nögel, U. On the pricing of forward starting options in Heston's model on stochastic volatility
 Peskir, G. The Russian option: Finite horizon
 Barrieu, P. and El Karoui, N. Infconvolution of risk measures and optimal risk transfer
 Fernholz, R.; Karatzas, I. and Kardaras, C. Diversity and relative arbitrage in financial markets
 Brigo, D. and Alfonsi, A. Credit default swap calibration and derivatives pricing with the SSRD stochastic intensity model
 Hughston, L.P. and Rafailidis, A. A chaotic approach to interest rate modelling
 Eberlein, E.; Jacod, J. and Raible, S. Lévy term structure models: noarbitrage and completeness
 Szimayer, A. Valuation of American options in the presence of event risk
 Corcuera, J.M.; Nualart, D. and Schoutens, W. Completion of a Lévy market by powerjump assets
 Arai, T. An extension of meanvariance hedging to the discontinuous case
 Melnikov, A.V. and Petrachenko, Y.G. On option pricing in binomial market with transaction costs
 Fouque, J.P.; Papanicolaou, G.; Sircar, R. and Solna, K. Maturity cycles in implied volatility
 Møller, T. Stochastic orders in dynamic reinsurance markets
 Gao, Y.; Lim, K.G. and Ng, K.H. An approximation pricing algorithm in an incomplete market: a differential geometric approach
 Courtault, J.; Delbaen, F.; Kabanov, Y. and Stricker, C. On the law of one price
 Jouini, E.; Meddeb, M. and Touzi, N. Vectorvalued coherent risk measures
 Sass, J. and Haussmann, U.G. Optimizing the terminal wealth under partial information: the drift process as a continuous time markov chain
 Bouchard, B. and Pham, H. Wealthpath dependent utility maximization in incomplete markets
 Çetin, U.; Jarrow R.A. and Protter, P. Liquidity risk and arbitrage pricing theory
 Jamshidian, F. Valuation of credit default swaps and swaptions
 Linetsky, V. Lookback options and diffusion hitting times: A spectral expansion approach
 Musiela, M. and Zariphopoulou, T. A valuation algorithm for indifference prices in incomplete markets
 Baudoin, F. and NguyenNgoc, L. The financial value of a weak information on a financial market
 Corcuera, J.; Imkeller, P.; KohatsuHiga, A. and Nualart, D. Additional utility of insiders with imperfect dynamical information
 ElKhatib, Y. and Privault, N. Computations of Greeks in a market with jumps via the Malliavin calculus
 Janecek, K. and Shreve, S. Asymptotic analysis for optimal investment and consumption with transaction costs
 Kabanov, Y. and Klüppelberg, C. A geometric approach to portfolio optimization in models with transaction costs
 Musiela, M. and Zariphopoulou, T. An example of indifference prices under exponential preferences
 Xia, J. Multiagent investment in incomplete markets
 Kallsen, J. and Kühn, C. Pricing derivatives of American and game type in incomplete markets
 Lasserre, G. Asymmetric information and imperfect competition in a continuous time multivariate security model
 Dembo, A.; Deuschel, J.D. and Duffie, D. Large portfolio losses
 Emmer, S. and Klüppelberg, C. Optimal portfolios when stock prices follow an exponential Lévy process
 Bouchard, B.; Ekeland, I. and Touzi, N. On the Malliavin approach to Monte Carlo approximation of conditional expectations
 Kyprianou, A.E. Some calculations for Israeli options
 De Donno, M. and Pratelli, M. On the use of measurevalued strategies in bond markets
 Jeantheau, T. A link between complete models with stochastic volatility and ARCH models
 Jouini, E. and Napp, C. Convergence of utility functions and convergence of optimal strategies
 BlanchetScalliet, C. and Jeanblanc, M. Hazard rate for credit risk and hedging defaultable contingent claims
 Benth, F.E.; Karlsen, K.H. and Reikvam, K. A semilinear Black and Scholes partial differential equation for valuing American options
 Hipp, C. and Plum, M. Optimal investment for investors with state dependent income, and for insurers
 Takamizawa, H. and Shoji, I. Modeling the term structure of interest rates with general shortsate models
 Walsh, J.B. The rate of convergence of the binomial tree scheme
 Dette, H. and von Lieres und Wilkau, C. On a test for a parametric form of volatility in continuous time financial models
 Mania, M.; Santacroce, M. and Tevzadze, R. A semimartingale BSDE related to the minimal entropy martingale measure
 Kabanov, Y.; Rásonyi M. and Stricker Ch. On the closedness of sums of convex cones in L^{0} and the robust noarbitrage property
 GöingJaeschke, A. and Yor, M. Clarification note about hitting times densities for OrnsteinUhlenbeck processes
 Embrechts, P.; Höing, A. and Juri, A. Using copulae to bound the ValueatRisk for functions of dependent risks
 Pham, H. A large deviations approach to optimal long term investment
 Møller, T. Indifference pricing of insurance contracts in a product space model
 Xia, J. Dividing gains between a client and her agent
 Hörfelt, P. Extension of the corrected barrier approximation by Broadie, Glasserman and Kou
 Fleming, W.H. and HernándezHernández, D. An optimal consumption model with stochastic volatility
 Dempster, M.A.H.; Evstigneev, I.V. and SchenkHoppé, K.R. Exponential growth of fixedmix strategies in stationary asset markets
 Glasserman, P. and Merener, N. Numerical solution of jumpdiffusion LIBOR market models
 Amendinger, J.; Becherer, D. and Schweizer, M. A monetary value for initial information in portfolio optimization
 Cho, K.H. Continuous auctions and insider trading: uniqueness and risk aversion
 Dassios, A. and Jang, J.W. Pricing of catastrophe reinsurance and derivatives using the Cox process with shot noise intensity
 Taksar, M. I. and Markussen, C. Optimal Dynamic Reinsurance Policies for Large Insurance Portfolios
 Borovkov, K.; Klebaner, F.C.; Virag, E. Random Step Functions Model for Interest Rates
 Friedman, A. and Shen, W. A variational inequality approach to financial valuation of retirement benefits based on salary
 Björk, T. and Landén, C. On the construction of finite dimensional realizations for nonlinear forward rate models
 Babbs, S.H. Conditional Gaussian models of the term structure of interest rates
 Nielsen, J.A. and Sandmann, K. Pricing of Asian exchange rate options under stochastic interest rates as a sum of options
 Kabanov, Y.M. ; Rásonyi, M. and Stricker, C. Noarbitrage criteria for financial markets with efficient friction
 Albeverio, S. and Steblovskaya, V. A model of financial market with several interacting assets. Complete market case.
 Schmock, U.; Shreve S.E. and Wystup, U. Valuation of exotic options under shortselling constraints
 Schlögl, E. A multicurrency extension of the lognormal interest rate market models
 León, J.A.; Solé, J.L.; Utzet, F. and Vives, J. On Lévy processes, Malliavin calculus and market models with jumps
 Frolova, A.; Kabanov, Y. and Pergamenshchikov, S. In the insurance business risky investments are dangerous
 Hilberink, B. and Rogers, L.C.G. Optimal capital structure and endogenous default
 Griffin, P.S. The expectations hypothesis with nonnegative rates
 Bru, B. and Yor, M. Comments on the life and mathematical legacy of Wolfgang Doeblin
 Malliavin, P. and Mancino, M.E. Fourier series method for measurement of multivariate volatilities
 Geman, H.; Madan, D.B. and Yor, M. Stochastic volatility, jumps and hidden time changes
 Guasoni, P. Risk minimization under transaction costs
 Kallsen, J. Derivative pricing based on local utility maximization
 Møller, T. Riskminimizing hedging strategies for insurance payment processes
 Benth, F.E.; Karlsen, K.H. and Reikvam, K. Optimal portfolio management rules in a nonGaussian market with durability and intertemporal substitution
 Fernholz, R. Equity portfolios generated by functions of ranked market weights
 Bank, P. and Riedel, F. Existence and structure of stochastic equilibria with intertemporal substitution
 Elliott, R.J. and van der Hoek, J. Stochastic flows and the forward measure
 Højgaard, B. and Taksar, M. Optimal risk control for a large corporation in the presence of returns on investments
 Reisman, H. Black and Scholes pricing and markets with transaction costs: an example
 Goll, T. and Rüschendorf, L. Minimax and minimal distance martingale measures and their relationship to portfolio optimization
 Benth, F.E.; Karlsen, K.H. and Reikvam, K. Optimal portfolio selection with consumption and nonlinear integrodifferential equations with gradient constraint: a viscosity solution approach
 Jouini, E. and Napp, C. Arbitrage and investment opportunities
 Becherer, D. The numeraire portfolio for unbounded semimartingales
 Sottinen, T. Fractional Brownian motion, random walks and binary market models
 Gobet, E. and Temam, E. Discrete time hedging errors for options with irregular payoffs
 Brigo, D. and Mercurio, F. A deterministicshift extension of analyticallytractable and timehomogenous shortrate models
 Filipovic, D. A general characterization of affine term structure models
 Tütüncü, R.H. A note on calculating the optimal risky portfolio
 Rogers, L.C.G. The relaxed investor and parameter uncertainty
 Duffie, D. and Pan, J. Analytical valueatrisk with jumps and credit risk
 Jaschke, S. and Küchler, U. Coherent risk measures and gooddeal bounds
 Fournié, E.; Lasry, J.M.; Lebuchoux, J. and Lions, P.L. Applications of Malliavin calculus to Monte Carlo methods in finance. II
 Chiarella, C. and Kwon O.K. Forward rate dependent Markovian transformations of the HeathJarrowMorton term structure model
 Cvitanic, J.; Schachermayer, W. and Wang, H. Utility maximization in incomplete markets with random endowments
 Taqqu, M.S. Bachelier and his times: a conversation with Bernard Bru
 Carr, P.; Jin, X. and Madan, D. Optimal investment in derivatives securities
 Zariphopoulou, T. A solution approach to valuation with unhedgeable risks
 Anh, V.V. and Nguyen, C.N. Semimartingale representation of fractional RieszBessel motion
 BarndorffNielsen, O.E. and Prause, K. Apparent scaling
 Hartvig, N.V.; Jensen, J.L. and Pedersen, J. A class of risk neutral densities with heavy tails
 Landén, C. Bond pricing in a hidden Markov model of the short rate
 Hunt, P.; Kennedy, J. and A. Pelsser, A. Markovfunctional interest rate models
 Hansen, T. and Poulsen, R. A simple regime switching term structure model
 Döberlein, F; Schweizer, M. and Stricker, C. Implied savings accounts are unique
 Kifer, Y. Game options
 Aase, K.; Privault, N.; Øksendal, B. and Ubøe, J. White noise generalizations of the ClarkHaussmannOcone theorem, with application to mathematical finance
 Shreve, S.E. and Vecer, J. Options on a traded account: vacation calls, vacation puts and passport options
 Frittelli, M. Introduction to a theory of value coherent with the noarbitrage
 Asmussen, S.; Højgaard, B. and Taksar, M. Optimal risk control and dividend distribution policies. Example of excessofloss reinsurance for an insurance corporation
 Romagnoli, S. and Vargiolu, T. Robustness of the BlackScholes approach in the case of options on several assets
 Norvaisa, R. Modelling of stock price changes: a real analysis approach
 Bielecki, T. and Pliska, S. Risk sensitive asset management with transaction costs
 Glasserman, P. and Zhao, X. Arbitragefree discretization of lognormal forward libor and swap rate models
 Henderson, V. and Hobson, D. Local time, coupling and the passport option
 Lesne, J.P.; Prigent, J.L. and Scaillet, O. Convergence of discrete time option pricing models under stochastic interest rates
 Pelsser, A. Pricing double barrier options using Laplace transforms
 Hui, C.H.; Lo, C.F. and Yuen, P.H. Comment on "Pricing double barrier options using Laplace transforms" by Antoon Pelsser
 Leblanc, B.; Renault, O. and Scaillet, O. A correction note on the first passage time of an OrsteinUhlenbeck process to a boundary
 Norberg, R. A theory of bonus in life insurance
 Fournié, E.; Lasry, J.M.; Lebuchoux, J. and Touzi, N. An application of Malliavin calculus to Monte Carlo methods in finance
 Björk, T. and Gombani, A. Minimal realizations of interest rate models
 Knudsen, T.S.; Meister, B. and Zervos, M. On the relationship of the dynamic programming approach and the contingent claim approach to asset valuation
 Cvitanic, J. and Karatzas, I. On dynamic measures of risk
 Vargiolu, T. Invariant measures for the Musiela equation with deterministic diffusion term
 Cadenillas, A. and Pliska, S.R. Optimal trading of a security when there are taxes and transaction costs
 Khanna, A. and Kulldorff, M. A generalization of the mutual fund theorem
 Gallus, C. Exploding hedging errors for digital options
 Dritschel, M. and Protter, P. Complete markets with discontinuous security price
 Platen, E. A short term interest rate model
 Mordecki, E. Optimal stopping for a diffusion with jumps
 Kabanov, Y.M. Hedging and liquidation under transaction costs in currency markets
 Teverovsky, V.; Taqqu, M.S. and Willinger, W. Stock market prices and longrange dependence
 Huang, C. and Zariphopoulou, T. Turnpike behavior of longterm investments
 Cvitanic, J.; Pham, H. and Touzi, N. A closedform solution to the problem of superreplication under transaction costs
 Broadie, M.; Glasserman, P. and Kou, S. Connecting discrete and continuous pathdependent options
 Laurent, J.P. and Pham, H. Dynamic programming and meanvariance hedging
 Jarrow, R.A. and Madan, D.B. Hedging contingent claims on semimartingales
 Karatzas, I. and Kou, S.G. Hedging American contingent claims with constrained portfolios
 Jacod, J. and Shiryaev, A.N. Local martingales and the fundamental asset pricing theorems in the discretetime case
 Hunt, P.J. and Kennedy, J.E. Implied interest rate pricing models
 Hu, Y. and Øksendal, B. Optimal time to invest when the price processes are geometric Brownian motions
 Mulinacci, S. and Pratelli, M. Functional convergence of Snell envelopes; applications to American options approximations
 Delbaen, F.; Monat, P.; Schachermayer, W.; Schweizer, M. and Stricker, C. Weighted norm inequalities and hedging in incomplete markets
 Elliott, R.J. and van der Hoek, J. An application of hidden Markov models to asset allocation problems
 Kabanov, Y.M. and Safarian, M.M. On Leland's strategy of option pricing with transactions costs
 Rydberg, T.H. A note on the existence of unique equivalent martingale measures in a Markovian setting
 Guillaume, D.M.; Dacorogna, M.M.; Davé, R.R.; Müller, U.A.; Olsen, R.B. and Pictet, O.V. From the bird's eye to the microscope: a survey of new stylized facts of the intradaily foreign exchange markets
 Eberlein, E. and Jacod, J. On the range of options prices
 Björk, T.; Di Masi, G.; Kabanov, Y.M. and Runggaldier, W. Towards a general theory of bond markets
Last update
11.01.2023
JeanLuc Pfisterer