Simulation of the drawdown and its duration in Lévy models via stick-breaking Gaussian approximation Jorge González CázaresAleksandar Mijatović OriginalPaper Open access 15 September 2022 Pages: 671 - 732
The characteristic function of Gaussian stochastic volatility models: an analytic expression Eduardo Abi Jaber OriginalPaper 16 September 2022 Pages: 733 - 769
Jacobi stochastic volatility factor for the LIBOR market model Pierre-Edouard ArrouyAlexandre BoumezouedSophian Mehalla OriginalPaper 19 September 2022 Pages: 771 - 823
A concept of copula robustness and its applications in quantitative risk management Henryk Zähle OriginalPaper Open access 13 September 2022 Pages: 825 - 875
On ruin probabilities with investments in a risky asset with a regime-switching price Yuri KabanovSergey Pergamenshchikov OriginalPaper 05 September 2022 Pages: 877 - 897
Bubbles in discrete-time models Martin HerdegenDörte Kreher OriginalPaper Open access 13 September 2022 Pages: 899 - 925
Semimartingale price systems in models with transaction costs beyond efficient friction Christoph KühnAlexander Molitor OriginalPaper Open access 05 September 2022 Pages: 927 - 982