The microstructural foundations of leverage effect and rough volatility Omar El EuchMasaaki FukasawaMathieu Rosenbaum OriginalPaper 15 March 2018 Pages: 241 - 280
A risk-neutral equilibrium leading to uncertain volatility pricing Johannes Muhle-KarbeMarcel Nutz OriginalPaper 07 March 2018 Pages: 281 - 295
An expansion in the model space in the context of utility maximization Kasper LarsenOleksii MostovyiGordan Žitković OriginalPaper 14 December 2017 Pages: 297 - 326
Approximation of forward curve models in commodity markets with arbitrage-free finite-dimensional models Fred Espen BenthPaul Krühner OriginalPaper 20 February 2018 Pages: 327 - 366
Risk measures based on behavioural economics theory Tiantian MaoJun Cai OriginalPaper 09 March 2018 Pages: 367 - 393
Fatou property, representations, and extensions of law-invariant risk measures on general Orlicz spaces Niushan GaoDenny LeungFoivos Xanthos OriginalPaper 13 March 2018 Pages: 395 - 415
Perfect hedging under endogenous permanent market impacts Masaaki FukasawaMitja Stadje OriginalPaper 14 November 2017 Pages: 417 - 442
Stability of Radner equilibria with respect to small frictions Martin HerdegenJohannes Muhle-Karbe OriginalPaper 21 February 2018 Pages: 443 - 502
Correction to: Yield curve shapes and the asymptotic short rate distribution in affine one-factor models Martin Keller-Ressel Correction 15 March 2018 Pages: 503 - 510