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On ruin probabilities with investments in a risky asset with a regime-switching price Yuri KabanovSergey Pergamenshchikov OriginalPaper 05 September 2022 Pages: 877 - 897
A class of short-term models for the oil industry that accounts for speculative oil storage Yves AchdouCharles BertucciJosé A. Scheinkman OriginalPaper 28 June 2022 Pages: 631 - 669
On the role of skewness and kurtosis in tempered stable (CGMY) Lévy models in finance Søren Asmussen OriginalPaper 28 June 2022 Pages: 383 - 416
Solving optimal stopping problems under model uncertainty via empirical dual optimisation Denis BelomestnyTobias HübnerVolker Krätschmer OriginalPaper Open access 10 June 2022 Pages: 461 - 503
A continuous-time asset market game with short-lived assets Mikhail Zhitlukhin OriginalPaper 08 June 2022 Pages: 587 - 630
A least-squares Monte Carlo approach to the estimation of enterprise risk Hongjun HaDaniel Bauer OriginalPaper 13 May 2022 Pages: 417 - 459
Log-optimal and numéraire portfolios for market models stopped at a random time Tahir ChoulliSina Yansori OriginalPaper 06 May 2022 Pages: 535 - 585
Set-valued dynamic risk measures for processes and for vectors Yanhong ChenZachary Feinstein OriginalPaper 29 April 2022 Pages: 505 - 533
Dynamic mean–variance problem with frictions Alain BensoussanGuiyuan MaSheung Chi Phillip Yam OriginalPaper 15 March 2022 Pages: 267 - 300
Optimal consumption with reference to past spending maximum Shuoqing DengXun LiXiang Yu OriginalPaper 09 March 2022 Pages: 217 - 266
A scaling limit for utility indifference prices in the discretised Bachelier model Asaf CohenYan Dolinsky OriginalPaper 01 March 2022 Pages: 335 - 358
Scaled insurance cash flows: representation and computation via change of measure techniques Christian Furrer OriginalPaper 04 February 2022 Pages: 359 - 382
An analytical study of participating policies with minimum rate guarantee and surrender option Maria B. ChiarollaTiziano De AngelisGabriele Stabile OriginalPaper Open access 28 January 2022 Pages: 173 - 216
A time-inconsistent Dynkin game: from intra-personal to inter-personal equilibria Yu-Jui HuangZhou Zhou OriginalPaper 15 January 2022 Pages: 301 - 334
Reinforcement learning and stochastic optimisation Sebastian Jaimungal OriginalPaper 23 December 2021 Pages: 103 - 129
The influence of economic research on financial mathematics: Evidence from the last 25 years René Carmona OriginalPaper 23 December 2021 Pages: 85 - 101
From Bachelier to Dupire via optimal transport Mathias BeiglböckGudmund PammerWalter Schachermayer OriginalPaper Open access 23 December 2021 Pages: 59 - 84
My journey through finance and stochastics Marek Musiela OriginalPaper Open access 23 December 2021 Pages: 33 - 58
An Italian perspective on the development of financial mathematics from 1992 to 2008 Wolfgang J. Runggaldier OriginalPaper Open access 23 December 2021 Pages: 5 - 31
Editorial: 25th anniversary of Finance and Stochastics Martin Schweizer EditorialNotes 23 December 2021 Pages: 1 - 3
Machine learning with kernels for portfolio valuation and risk management Lotfi BoudabsaDamir Filipović OriginalPaper 22 November 2021 Pages: 131 - 172
Càdlàg semimartingale strategies for optimal trade execution in stochastic order book models Julia AckermannThomas KruseMikhail Urusov OriginalPaper 21 September 2021 Pages: 757 - 810
Complete and competitive financial markets in a complex world Gianluca Cassese OriginalPaper Open access 17 September 2021 Pages: 659 - 688
Scenario-based risk evaluation Ruodu WangJohanna F. Ziegel OriginalPaper Open access 03 September 2021 Pages: 725 - 756
Additive logistic processes in option pricing Peter CarrLorenzo Torricelli OriginalPaper Open access 03 September 2021 Pages: 689 - 724
Deep ReLU network expression rates for option prices in high-dimensional, exponential Lévy models Lukas GononChristoph Schwab OriginalPaper Open access 31 August 2021 Pages: 615 - 657
Commonotonicity and time-consistency for Lebesgue-continuous monetary utility functions Freddy Delbaen OriginalPaper Open access 30 June 2021 Pages: 597 - 614
Time-dynamic evaluations under non-monotone information generated by marked point processes Marcus C. Christiansen OriginalPaper Open access 14 June 2021 Pages: 563 - 596
A quasi-sure optional decomposition and super-hedging result on the Skorokhod space Bruno BouchardXiaolu Tan OriginalPaper 14 June 2021 Pages: 505 - 528
Duality theory for robust utility maximisation Daniel BartlMichael KupperAriel Neufeld OriginalPaper 14 June 2021 Pages: 469 - 503
A unified framework for robust modelling of financial markets in discrete time Jan ObłójJohannes Wiesel OriginalPaper Open access 14 June 2021 Pages: 427 - 468
Robust state-dependent mean–variance portfolio selection: a closed-loop approach Bingyan HanChi Seng PunHoi Ying Wong OriginalPaper 10 June 2021 Pages: 529 - 561
Change of drift in one-dimensional diffusions Sascha DesmettreGunther LeobacherL. C. G. Rogers OriginalPaper Open access 17 March 2021 Pages: 359 - 381
Infinite-dimensional polynomial processes Christa CuchieroSara Svaluto-Ferro OriginalPaper 04 March 2021 Pages: 383 - 426
Equilibrium asset pricing with transaction costs Martin HerdegenJohannes Muhle-KarbeDylan Possamaï OriginalPaper Open access 03 March 2021 Pages: 231 - 275
Concavity, stochastic utility, and risk aversion Robert JarrowSiguang Li OriginalPaper 27 January 2021 Pages: 311 - 330
On a multi-asset version of the Kusuoka limit theorem of option superreplication under transaction costs Julien GrépatYuri Kabanov OriginalPaper 30 December 2020 Pages: 167 - 187
Elicitability and identifiability of set-valued measures of systemic risk Tobias FisslerJana HlavinováBirgit Rudloff OriginalPaper Open access 30 December 2020 Pages: 133 - 165
Risk arbitrage and hedging to acceptability under transaction costs Emmanuel LépinetteIlya Molchanov OriginalPaper 30 December 2020 Pages: 101 - 132
Multi-utility representations of incomplete preferences induced by set-valued risk measures Cosimo Munari OriginalPaper Open access 30 December 2020 Pages: 77 - 99
Set-valued risk measures as backward stochastic difference inclusions and equations Çağın AraratZachary Feinstein OriginalPaper 30 December 2020 Pages: 43 - 76
Nonlinear expectations of random sets Ilya MolchanovAnja Mühlemann OriginalPaper Open access 30 December 2020 Pages: 5 - 41
Evolution of the Arrow–Pratt measure of risk-tolerance for predictable forward utility processes Moris S. StrubXun Yu Zhou OriginalPaper 10 December 2020 Pages: 331 - 358
Markov decision processes with quasi-hyperbolic discounting Anna JaśkiewiczAndrzej S. Nowak OriginalPaper Open access 18 November 2020 Pages: 189 - 229
High-frequency trading with fractional Brownian motion Paolo GuasoniYuliya MishuraMiklós Rásonyi OriginalPaper Open access 08 October 2020 Pages: 277 - 310
