Finance and Stochastics: Back issues
- Becherer, D. and Bilarev, T. Hedging with physical or cash settlement under transient multiplicative price impact
- Weston, K. Existence of an equilibrium with limited participation
- Fadina, T., Liu, Y. and Wang, R. A framework for measures of risk under uncertainty
- Jeon, J. and Kwak, M. Optimal consumption and investment with welfare constraints
- Brachetta, M., Callegaro, G., Ceci, C. and Sgarra, C. Optimal reinsurance via BSDES in a partially observable model with jump clusters
- Tangpi, L. and Zhou, X. Optimal investment in a large population of competitive and heterogeneous agents
- Mostovyi, O. and Sîrbu, M. Quadratic expansions in optimal investment with respect to perturbations of the semimartingale model
- Buckner, D., Dowd, K. and Hulley, H. Arbitrage problems with reflected geometric Brownian motion
- Guyon, J. Dispersion-constrained martingale Schrödinger problems and the exact joint S&P 500/VIX smile calibration puzzle
- Benth, F.E., Detering, N. and Galimberti, L. Pricing options on flow forwards by neural networks in Hilbert space
- Egorov, S. and Pergamenchtchikov, S. Optimal investment and consumption for financial markets with jumps under transaction costs
- Wang, Y., Liu, J. and Siu, T.K. Investment-consumption-insurance optimisation problem with multiple habit formation and non-exponential discounting
- Allan, A., Liu, C. and Prömel, D. A càdlàg rough path foundation for robust finance
- Beiglböck, M., Lowther, G., Pammer, G. and Schachermayer, W. Faking Brownian motion with continuous Markov martingales
Special Issue in memory of Tomas Björk
- Schweizer, M. Editorial: Special Issue in memory of Tomas Björk
- Gaspar, R.M. and Khapko, M. In memoriam: Tomas Björk (1947-2021) On his career and beyond
- Kabanov, Y. and Promyslov, P. Ruin probabilities for a Sparre Andersen model with investments: the case of annuity payments
- Fontana, C., Pavarana, S. and Runggaldier, W.J. A stochastic control perspective on term structure models with roll-over risk
- Filipovic, D. Discount models
- Lazrak, A., Wang, H. and Yong, J. Present-biased lobbyists in linear-quadratic stochastic differential games
- Li, Y., Xu Z.Q. and Zhou, X.Y. Robust utility maximisation with intractable claims
- Khapko, M. Asset pricing with dynamically inconsistent agents
- Gombani, A. Thank you, Tomas!
- Dong H., Guasoni, P. and Mayerhofer, E. Rogue traders
- Hubert, E. Continuous-time incentives in hierarchies
- Feinstein, Z. and Sojmark, A. Contagious McKean-Vlasov systems with heterogeneous impact and exposure
- Dammann, F. and Ferrari, G. Optimal execution with multiplicative price impact and incomplete information on the return
- Zhang, G. and Li, L. A general approach for Parisian stopping times under Markov processes
- Arduca, M. and Munari, C. Fundamental theorem of asset pricing with acceptable risk in markets with frictions
- Doldi, A. and Frittelli, M. Entropy martingale optimal transport and nonlinear pricing-hedging duality
- Chen, X., Choi, J.H., Larsen, K. and Seppi, D.J. Price impact in Nash equilibria
- Albrecher, H., Azcue, P. and Muler, N. Optimal dividends under a drawdown constraint and a curious square-root rule
- Kim, D. Market-to-book ratio in stochastic portfolio theory
- Biagini F., Mazzon, A. and Perkkiö, A.-P. Optional projection under equivalent local martingale measures
- Birghila, C., Boonen, T.J. and Ghossoub, M. Optimal insurance under maxmin expected utility
- Bensalem S., Hernandez Santibanez, N. and Kazi-Tani, N. A continuous-time model of self-protection
- Cartea, A. and Sanchez-Betancourt, 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 martingale-driven model with application to non-autonomous financial models
- Herdegen, M., Hobson, D. and Jerome, J. The infinite-horizon investment-consumption problem for Epstein-Zin stochastic differential utility. I: Foundations
- Herdegen, M., Hobson, D. and Jerome, J. The infinite-horizon investment-consumption problem for Epstein-Zin 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 stick-breaking 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 regime-switching 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 least-squares 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. Set-valued dynamic risk measures for processes and for vectors
- Choulli, T. and Yansori, S. Log-optimal and numéraire portfolios for market models stopped at a random time
- Zhitlukhin, M. A continuous-time asset market game with short-lived assets
- Achdou, Y., Bertucci, C., Lasry, J.M., Lions, P.L., Rostand. A. and Scheinkman, J. A class of short-term 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 mean-variance problem with frictions
- Huang, Y.-J. and Zhou, Z. A time-inconsistent Dynkin game: from intra-personal to inter-personal 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 high-dimensional, 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. Scenario-based 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 quasi-sure optional decomposition and super-hedging result on the Skorokhod space
- Han, B., Pun, C.S. and Wong, H.Y. Robust state-dependent mean-variance portfolio selection: a closed-loop approach
- Christiansen, M.C. Time-dynamic evaluations under non-monotone information generated by marked point processes
- Delbaen, F. Commonotonicity and time consistency for Lebesgue-continuous monetary utility functions
- Jaśkiewicz, A. and Nowak, A. Markov decision processes with quasi-hyperbolic discounting
- Herdegen, M., Muhle-Karbe, J. and Possamaï, D. Equilibrium asset pricing with transaction costs
- Guasoni, P., Mishura, Y. and Rásonyi, M. High-frequency 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 Arrow-Pratt measure of risk-tolerance for predictable forward utility processes
- Desmettre, S., Leobacher, G. and Rogers, L.C.G. Change of drift in one-dimensional diffusions
- Cuchiero, C. and Svaluto-Ferro, S. Infinite-dimensional polynomial processes
Special Issue on Vector- and Set-Valued 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. Set-valued risk measures as backward stochastic difference inclusions and equations
- Munari, C. Multi-utility representations of incomplete preferences induced by set-valued 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 set-valued measures of systemic risk
- Grépat, J. and Kabanov, Y. On a multi-asset 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 Leland-Toft 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
- Backhoff-Veraguas, 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 jump-diffusion models
- Azencott, R., Ren, P. and Timofeyev, I. Realised volatility and parametric estimation of Heston SDEs
- Hambly, B. and Kolliopoulos, N. Fast mean-reversion 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 reference-dependent 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 Meyer-Brandis, T. On fairness of systemic risk measures
- Tehranchi, M. A Black-Scholes inequality: applications and generalisations
- Kabanov, Y. and Pergamenshchikov, S. Ruin probabilities for a Lévy-driven generalised Ornstein-Uhlenbeck 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 quasi-sure superhedging duality with frictions
- Klüppelberg, C. and Seifert, M.I. Financial risk measures for a network of individual agents holding portfolios of light-tailed objects
- Pigato, P. Extreme at-the-money skew in a local volatility model
- Belak, C. and Sass, J. Finite-horizon optimal investment with transaction costs: Construction of the optimal strategies
- Horst, U. and Xia, X. Multi-dimensional 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 no-arbitrage 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 set-valued methods in stochastic finance and related areas"
- Martin, O. and Vetter, M. Laws of large numbers for Hayashi-Yoshida-type functionals
- Gatheral, J. and Keller-Ressel, 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 multi-asset 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 self-financing 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 no-arbitrage rules under short-sales 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 set-valued methods in stochastic finance and related areas"
- Décamps, J.-P. and Villeneuve, S. A two-dimensional 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 Cox-Ingersoll-Ross processes and squared Bessel processes
- Bensoussan, A., Wong, K.C. and Yam, S. A paradox in time-consistency in the mean-variance problem?
- Belomestny, D., Hübner, T., Krätschmer, V. and Nolte, S. Minimax theorems for American options without time-consistency
- Chong, W.F., Hu, Y., Liang, G. and Zariphopoulou, T. An ergodic BSDE approach to forward entropic risk measures: representation and large-maturity behavior
- Pennanen, T. and A. P. Perkkiö Convex duality in optimal investment and contingent claim valuation in illiquid markets
- Park, H. Sensitivity analysis on long-term 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 Heath-Jarrow-Morton-Musiela equations
- Marinacci, M. and Severino, F. Weak time-derivatives and no-arbitrage pricing
- Hou, Z. and Obloj, J. Robust pricing-hedging dualities in continuous time
- Bouchard, B., Fukasawa, M., Herdegen, M. and Muhle-Karbe, J. Equilibrium returns with transaction costs
- Riedel, F. and Beissner, P. Non-implementability of Arrow-Debreu equilibria by continuous trading under volatility uncertainty
- Qin, L. and Linetsky, V. Long-term factorization in Heath-Jarrow-Morton models
- Pirjol, D. and Zhu, L. Explosion in the quasi-Gaussian 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
- Muhle-Karbe, J. and Nutz, M. A risk-neutral 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 arbitrage-free
finite-dimensional 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 law-invariant risk measures on general Orlicz spaces
- Fukasawa, M. and Stadje, M. Perfect hedging under endogenous permanent market impacts
- Herdegen, M. and Muhle-Karbe, J. Stability of Radner equilibria with respect to small frictions
- Keller-Ressel, M. Correction to: Yield curve shapes and the asymptotic short rate distribution in affine one-factor models
- Cvitanic, J., Possamai, D. and Touzi, N. Dynamic programming approach to principal-agent problems
- Becherer, D., Bilarev, T. and Frentrup, P. Optimal liquidation under stochastic liquidity
- Huang, Y.-J. and Nguyen-Huu, A. Time-consistent stopping under decreasing impatience
- Çetin, U. Financial equilibrium with asymmetric information and random horizon
- Aksamit, A., Choulli, T., Deng, J. and Jeanblanc, M. No-arbitrage 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 non-ordered default times
- Herrmann, S. and Muhle-Karbe, J. Model uncertainty, recalibration, and the emergence of delta-vega 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. No-arbitrage up to random horizon for quasi-left-continuous 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 game-theoretic probability
- Acciaio, B., Larsson, M. and Schachermayer, W. The space of outcomes of semi-static trading strategies need not be closed
- Karatzas, I. and Ruf, J. Trading strategies generated by Lyapunov functions
- Jiao, Y., Ma, C. and Scotti, S. Alpha-CIR model with branching processes in sovereign interest rate modeling
- Anthropelos, M. and Kardaras, C. Equilibrium in risk-sharing 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 time-inconsistent stochastic control in continuous time
- Jiao, Y., Klopfenstein, O. and Tankov, P. Hedging under multiple risk constraints
- Källblad, S. Risk- and ambiguity-averse portfolio optimization with quasiconcave utility functionals
- Liu, Z. Jump-robust estimation of volatility with simultaneous presence of microstructure noise and multiple observations
- Campi, L., Laachir, I. and Martini, C. Change of numeraire in the two-marginals martingale transport problem
- Bank, P., Dolinsky, Y. and Perkkiö, A.-P. The scaling limit of super-replication prices with small transaction costs in the multivariate case
- Baños, D., Meyer-Brandis, T., Proske, F. and Duedahl, S. Computing deltas without derivatives
- Arai, T., Imai, Y. and Suzuki, R. Local risk-minimization for Barndorff-Nielsen and Shephard models
- Herrmann, S., Muhle-Karbe J. and Seifried F.T. Hedging with small uncertainty aversion
- Kardaras, C. and Robertson, S. Continuous-time perpetuities and time reversal of diffusions
- Guo, I. and Rutkowski, M. Arbitrage-free pricing of multi-person 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 Epstein-Zin recursive utility
- Xing, H. Consumption-investment optimization with Epstein-Zin 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
- Figueroa-López, J.E. and Olafsson, S. Short-term asymptotics for the implied volatility skew under a stochastic volatility model with Lévy jumps
- Glau, K. A Feynman-Kac-type 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, J-P., Lorig, M. and Sircar, R. Second order multiscale stochastic volatility asymptotics: stochastic terminal layer analysis and calibration
- Li, J., Li, L. and Mendoza-Arriaga, R. Additive subordination and its applications in finance
- Henry-Labordère, P. and Touzi, N. An explicit martingale version of the one-dimensional 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. Consumption-investment problem with transaction costs for Lévy-driven price processes
- Bouchard, B., Loeper, G. and Zou, Y. Almost-sure 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 path-dependent 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 discrete-time markets under uncertainty
- Fahim, A. and Huang, Y.-J. Model-independent 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 mixed-market-impact Hawkes price model
- Figueroa-López, J.E. and Olafsson, S. Short-time expansions for close-to-the-money 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 non-arbitrage, 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. Aggregation-robustness 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 Asian-style options on energy
- Capponi, A., Figueroa-López, 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 path-dependent 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 Heath-Jarrow-Morton 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 multi-state life insurance
- Chassagneux, J.-F., Elie, R. and Kharroubi, I. When terminal facelift enforces delta constraints
- Altarovici, A., Muhle-Karbe, 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: Single-period 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. Multi-portfolio time consistency for set-valued 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 semi-static 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 law-invariant 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., Muhle-Karbe, 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., Koch-Medina, P. and Munari, C. Beyond cash-additive risk measures: when changing the numeraire fails
- Fukasawa, M. Efficient discretization of stochastic integrals
- Tappe, S. and Weber, S. Stochastic mortality models: An infinite-dimensional approach
- Ravanelli, C. and Svindland, G. Comonotone Pareto allocations for law invariant robust utilities on L^1
- Wang, L. and Wissel, J. Mean-variance hedging with oil futures
- Carr, P. and Lee, R. Variation and share-weighted variation swaps on time-changed 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 non-linear drawdown constraints in a semimartingale financial model
- Benedetti, G., Campi, L., Kallsen, J. and Muhle-Karbe, 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., Henry-Labordére, P. and Penkner, F. Model-independent bounds for option prices - A mass transport approach
- Zanger, D. Quantitative error estimates for a least-squares 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
- Bion-Nadal, J. and Di Nunno, G. Dynamic no-good-deal 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. Time-consistent mean-variance 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., Muhle-Karbe, J. and Schachermayer, W. The dual optimizer for the growth-optimal 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 Value-at-Risk 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 jump-diffusion processes
- Keller-Ressel, M. and Muhle-Karbe, J. Asymptotic and exact pricing of options on variance
- Korn, R. and Müller, S. The optimal-drift model – An accelerated binomial scheme
- Kraft, H., Seifried F. T. and Steffensen, M. Consumption-portfolio 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 large-maturity smile for the Heston model"
- Chen, X. and Kohn, R. Erratum to "Asset price bubbles from heterogeneous beliefs about mean reversion rates"
- Vovk, V. Continuous-time 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., Keller-Ressel, 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. Long-term 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 growth-restricted diffusion processes under transaction costs and solvency constraints
- Coculescu, D., Jeanblanc, M. and Nikeghbali, A. Default times, no-arbitrage 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 one-dimensional diffusion models
- Papi, M., Constantini, C. and D'Ippoliti, F. Singular risk-neutral valuation equations
- Bayraktar, E., Kardaras, C. and Xing, H. Strict local martingale deflators and valuing American call-type 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 time-changed Lévy processes
- Hansen, L.P. and Scheinkman, J. Pricing growth-rate 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 jump-diffusion asset price models
- Jiao, Y. and Pham, H. Optimal investment with counterparty risk: A default-density model approach
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Forde, M. and Jacquier, A. The large-maturity 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
- Mendoza-Arriaga, R. and Linetsky, V. Pricing equity default swaps under the jump-to-default 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 no-touch 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 heavy-tailed 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 multi-exercise options under volume constraints
- Rieger, M.O. Co-monotonicity 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 q-Entropy Martingale measures for exponential
time-changed 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 nonlinear-Filtering 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 two-dimensional 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 pay-offs
- 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 law-invariant 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. Zero-intelligence realized variance estimation
- Jacod, J. and Protter, P. Risk neutral compatibility with option prices
- Klössner, S. A high-low-based omnibus test for symmetry, the Lévy property, and other hypotheses on intraday returns
- Mijatovic, A. Local time and the pricing of time-dependent barrier options
- Comte, F., Genon-Catalot, V. and Rosenholc, Y. Nonparametric estimation for a stochastic volatility model
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- Hobson, D. Comparison results for stochastic volatility models via coupling
- Coculescu, D. , Geman, H. and Jeanblanc, M. Valuation of default-sensitive 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. Quasi-Monte Carlo methods with applications in finance
- Kaebe, C., Maruhn, J.M. and Sachs, E.W. Adjoint-based 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 multi-level Monte Carlo for options with non-globally Lipschitz payoff
- Ninomiya, M. and Ninomiya, S. A new higher-order weak approximation scheme for stochastic differential equations and the Runge-Kutta 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. Double-sided Parisian option pricing
- Christensen, K., Podolskij, M. and Vetter, M. Bias-correcting the realized range-based 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 top-down 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 no-arbitrage beyond semimartingales
- Schweizer, M. and Wissel, J. Arbitrage-free market models for option prices: The multi-strike case
- Chen, Z. and Glasserman, P. Sensitivity estimates for portfolio credit derivatives using Monte Carlo
- Levendorskii, S. American and European options in multi-factor jump-diffusion 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 first-passage in a regime-switching model with jumps
- Fischer, T. Consumption processes and positively homogeneous projection properties
- Bender, Ch. and Niethammer, Ch. On q-optimal 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 cash-invariant convex functions
- Keller-Ressel, M. and Steiner, T. Yield curve shapes and the asymptotic short rate distribution in affine one-factor models
- Rokhlin, D. Asymptotic arbitrage and numéraire portfolios in large financial markets
- Coculescu, D., Geman, H. and Jeanblanc, M. Valuation of default-sensitive claims under imperfect information
Publisher's Erratum, vol. 14 (2009), issue 1
- Bion-Nadal, 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 discrete-time coherent risk
- Alós, E., León, J.A., and Vives, J. On the short-time behavior of the implied volatility for jump-diffusion models with stochastic volatility
- Campi, L. and Çetin, U. Insider trading in an equilibrium model with default: a passage from reduced-form 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. Small-time 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 jump-diffusion model
- Rogers, L.C.G. and Scheinkman, J. Optimal exercise of executive stock options
- Cascos, I. and Molchanov, I. Multivariate risks and depth-trimmed 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 Mataix-Pastor, 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. No-arbitrage 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 non-monotone 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
- Dmitrasinovic-Vidovic, G. and Ware, A. Asymptotic behaviour of mean-quantile efficient portfolios
- Ringer, N. and Tehranchi, M. Optimal portfolio choice in the bond market
- Roux, A. and Zastawniak, T. A counter-example to the option pricing formula under transaction costs
- Campi, L. and Schachermayer, W.A super-replication 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 risk-sensitive 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 log-utility function
- Cheridito, P. and Summer, C. Utility maximization under increasing risk aversion in one-period 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 Meyer-Brandis, 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 Student-t 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. Integro-differential 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 Black-Scholes 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. Inf-convolution 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: no-arbitrage 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 power-jump assets
- Arai, T. An extension of mean-variance 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. Vector-valued 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. Wealth-path 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 Nguyen-Ngoc, L. The financial value of a weak information on a financial market
- Corcuera, J.; Imkeller, P.; Kohatsu-Higa, A. and Nualart, D. Additional utility of insiders with imperfect dynamical information
- El-Khatib, 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. Multi-agent investment in incomplete markets
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- Lasserre, G. Asymmetric information and imperfect competition in a continuous time multivariate security model
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Last update
02.04.2024
Jean-Luc Pfisterer