Articles

1. Functional central limit theorems for rough volatility

   • Blanka Horvath
   • Antoine Jacquier
   • Andreas Søjmark

   OriginalPaper Open access 16 April 2024

   

2. Quadratic expansions in optimal investment with respect to perturbations of the semimartingale model

   • Oleksii Mostovyi
   • Mihai Sîrbu

   OriginalPaper 27 March 2024 Pages: 553 - 613

3. Hedging with physical or cash settlement under transient multiplicative price impact

   • Dirk Becherer
   • Todor Bilarev

   OriginalPaper Open access 15 March 2024 Pages: 285 - 328

   

4. Existence of an equilibrium with limited participation

   • Kim Weston

   OriginalPaper 28 February 2024 Pages: 329 - 361

5. Optimal consumption and investment with welfare constraints

   • Junkee Jeon
   • Minsuk Kwak

   OriginalPaper 08 February 2024 Pages: 391 - 451

   

6. A framework for measures of risk under uncertainty

   • Tolulope Fadina
   • Yang Liu
   • Ruodu Wang

   OriginalPaper 07 February 2024 Pages: 363 - 390

   

7. Optimal investment in a large population of competitive and heterogeneous agents

   • Ludovic Tangpi
   • Xuchen Zhou

   OriginalPaper 05 February 2024 Pages: 497 - 551

8. Arbitrage problems with reflected geometric Brownian motion

   • Dean Buckner
   • Kevin Dowd
   • Hardy Hulley

   OriginalPaper Open access 20 December 2023 Pages: 1 - 26

   

9. Faking Brownian motion with continuous Markov martingales

   • Mathias Beiglböck
   • George Lowther
   • Walter Schachermayer

   OriginalPaper Open access 13 December 2023 Pages: 259 - 284

10. Pricing options on flow forwards by neural networks in a Hilbert space

    • Fred Espen Benth
    • Nils Detering
    • Luca Galimberti

    OriginalPaper 24 November 2023 Pages: 81 - 121

    

11. A càdlàg rough path foundation for robust finance

    • Andrew L. Allan
    • Chong Liu
    • David J. Prömel

    OriginalPaper Open access 17 November 2023 Pages: 215 - 257

12. Optimal reinsurance via BSDEs in a partially observable model with jump clusters

    • Matteo Brachetta
    • Giorgia Callegaro
    • Carlo Sgarra

    OriginalPaper Open access 17 November 2023 Pages: 453 - 495

13. Dispersion-constrained martingale Schrödinger problems and the exact joint S&P 500/VIX smile calibration puzzle

    • Julien Guyon

    OriginalPaper 17 November 2023 Pages: 27 - 79

    

14. Optimal investment and consumption for financial markets with jumps under transaction costs

    • Sergei Egorov
    • Serguei Pergamenchtchikov

    OriginalPaper 10 November 2023 Pages: 123 - 159

    

15. Thank you, Tomas!

    • Andrea Gombani

    EditorialNotes 28 September 2023 Pages: 1047 - 1048

16. Asset pricing with dynamically inconsistent agents

    • Mariana Khapko

    OriginalPaper 28 September 2023 Pages: 1017 - 1046

17. Robust utility maximisation with intractable claims

    • Yunhong Li
    • Zuo Quan Xu
    • Xun Yu Zhou

    OriginalPaper 28 September 2023 Pages: 985 - 1015

18. Present-biased lobbyists in linear–quadratic stochastic differential games

    • Ali Lazrak
    • Hanxiao Wang
    • Jiongmin Yong

    OriginalPaper 28 September 2023 Pages: 947 - 984

    

19. Discount models

    • Damir Filipović

    OriginalPaper Open access 28 September 2023 Pages: 933 - 946

20. A stochastic control perspective on term structure models with roll-over risk

    • Claudio Fontana
    • Simone Pavarana
    • Wolfgang J. Runggaldier

    OriginalPaper Open access 28 September 2023 Pages: 903 - 932

21. Ruin probabilities for a Sparre Andersen model with investments: the case of annuity payments

    • Yuri Kabanov
    • Platon Promyslov

    OriginalPaper 28 September 2023 Pages: 887 - 902

22. In memoriam: Tomas Björk (1947–2021)

    • Raquel M. Gaspar
    • Mariana Khapko

    EditorialNotes 28 September 2023 Pages: 867 - 885

23. Editorial: Special Issue in memory of Tomas Björk

    • Martin Schweizer

    EditorialNotes 28 September 2023 Pages: 863 - 865

    

24. Investment–consumption–insurance optimisation problem with multiple habit formation and non-exponential discounting

    • Yike Wang
    • Jingzhen Liu
    • Tak Kuen Siu

    OriginalPaper 06 September 2023 Pages: 161 - 214

    

25. Optimal execution with multiplicative price impact and incomplete information on the return

    • Felix Dammann
    • Giorgio Ferrari

    OriginalPaper Open access 29 June 2023 Pages: 713 - 768

    

26. Fundamental theorem of asset pricing with acceptable risk in markets with frictions

    • Maria Arduca
    • Cosimo Munari

    OriginalPaper Open access 27 June 2023 Pages: 831 - 862

27. Contagious McKean–Vlasov systems with heterogeneous impact and exposure

    • Zachary Feinstein
    • Andreas Søjmark

    OriginalPaper Open access 26 June 2023 Pages: 663 - 711

28. Rogue traders

    • Huayuan Dong
    • Paolo Guasoni
    • Eberhard Mayerhofer

    OriginalPaper Open access 19 June 2023 Pages: 539 - 603

    

29. Continuous-time incentives in hierarchies

    • Emma Hubert

    OriginalPaper 15 June 2023 Pages: 605 - 661

    

30. A general approach for Parisian stopping times under Markov processes

    • Gongqiu Zhang
    • Lingfei Li

    OriginalPaper 05 June 2023 Pages: 769 - 829

    

31. Optional projection under equivalent local martingale measures

    • Francesca Biagini
    • Andrea Mazzon
    • Ari-Pekka Perkkiö

    OriginalPaper Open access 31 March 2023 Pages: 435 - 465

    

32. A continuous-time model of self-protection

    • Sarah Bensalem
    • Nicolás Hernández-Santibáñez
    • Nabil Kazi-Tani

    OriginalPaper 29 March 2023 Pages: 503 - 537

    

33. Market-to-book ratio in stochastic portfolio theory

    • Donghan Kim

    OriginalPaper 27 March 2023 Pages: 401 - 434

    

34. Optimal dividends under a drawdown constraint and a curious square-root rule

    • Hansjörg Albrecher
    • Pablo Azcue
    • Nora Muler

    OriginalPaper Open access 24 March 2023 Pages: 341 - 400

    

35. Price impact in Nash equilibria

    • Xiao Chen
    • Jin Hyuk Choi
    • Duane J. Seppi

    OriginalPaper 21 March 2023 Pages: 305 - 340

    

36. Entropy martingale optimal transport and nonlinear pricing–hedging duality

    • Alessandro Doldi
    • Marco Frittelli

    OriginalPaper Open access 21 March 2023 Pages: 255 - 304

    

37. Optimal insurance under maxmin expected utility

    • Corina Birghila
    • Tim J. Boonen
    • Mario Ghossoub

    OriginalPaper 14 March 2023 Pages: 467 - 501

    

38. The infinite-horizon investment–consumption problem for Epstein–Zin stochastic differential utility. II: Existence, uniqueness and verification for \(\vartheta \in (0,1)\)

    • Martin Herdegen
    • David Hobson
    • Joseph Jerome

    OriginalPaper Open access 16 December 2022 Pages: 159 - 188

39. The infinite-horizon investment–consumption problem for Epstein–Zin stochastic differential utility. I: Foundations

    • Martin Herdegen
    • David Hobson
    • Joseph Jerome

    OriginalPaper Open access 16 December 2022 Pages: 127 - 158

    

40. Speculative trading, prospect theory and transaction costs

    • Alex S. L. Tse
    • Harry Zheng

    OriginalPaper Open access 15 December 2022 Pages: 49 - 96

    

41. Mean field portfolio games

    • Guanxing Fu
    • Chao Zhou

    OriginalPaper 13 December 2022 Pages: 189 - 231

42. Nonparametric estimation for i.i.d. paths of a martingale-driven model with application to non-autonomous financial models

    • Nicolas Marie

    OriginalPaper 05 December 2022 Pages: 97 - 126

    

43. Optimal execution with stochastic delay

    • Álvaro Cartea
    • Leandro Sánchez-Betancourt

    OriginalPaper Open access 01 December 2022 Pages: 1 - 47

    

44. Martingale Schrödinger bridges and optimal semistatic portfolios

    • Marcel Nutz
    • Johannes Wiesel
    • Long Zhao

    OriginalPaper 23 November 2022 Pages: 233 - 254

45. Jacobi stochastic volatility factor for the LIBOR market model

    • Pierre-Edouard Arrouy
    • Alexandre Boumezoued
    • Sophian Mehalla

    OriginalPaper 19 September 2022 Pages: 771 - 823

    

46. The characteristic function of Gaussian stochastic volatility models: an analytic expression

    • Eduardo Abi Jaber

    OriginalPaper 16 September 2022 Pages: 733 - 769

    

47. Simulation of the drawdown and its duration in Lévy models via stick-breaking Gaussian approximation

    • Jorge González Cázares
    • Aleksandar Mijatović

    OriginalPaper Open access 15 September 2022 Pages: 671 - 732

    

48. Bubbles in discrete-time models

    • Martin Herdegen
    • Dörte Kreher

    OriginalPaper Open access 13 September 2022 Pages: 899 - 925

49. A concept of copula robustness and its applications in quantitative risk management

    • Henryk Zähle

    OriginalPaper Open access 13 September 2022 Pages: 825 - 875

    

50. Semimartingale price systems in models with transaction costs beyond efficient friction

    • Christoph Kühn
    • Alexander Molitor

    OriginalPaper Open access 05 September 2022 Pages: 927 - 982