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Adapted Wasserstein distances and stability in mathematical finance Julio Backhoff-VeraguasDaniel BartlManu Eder OriginalPaper Open access 04 June 2020 Pages: 601 - 632
Option valuation and hedging using an asymmetric risk function: asymptotic optimality through fully nonlinear partial differential equations Emmanuel GobetIsaque PimentelXavier Warin OriginalPaper 12 June 2020 Pages: 633 - 675
A splitting strategy for the calibration of jump-diffusion models Vinicius V. L. AlbaniJorge P. Zubelli OriginalPaper 04 June 2020 Pages: 677 - 722
Realised volatility and parametric estimation of Heston SDEs Robert AzencottPeng RenIlya Timofeyev OriginalPaper 05 June 2020 Pages: 723 - 755
Fast mean-reversion asymptotics for large portfolios of stochastic volatility models Ben HamblyNikolaos Kolliopoulos OriginalPaper Open access 08 May 2020 Pages: 757 - 794
Time reversal and last passage time of diffusions with applications to credit risk management Masahiko EgamiRusudan Kevkhishvili OriginalPaper 18 May 2020 Pages: 795 - 825