Second order multiscale stochastic volatility asymptotics: stochastic terminal layer analysis and calibration Jean-Pierre FouqueMatthew LorigRonnie Sircar OriginalPaper 20 April 2016 Pages: 543 - 588
Additive subordination and its applications in finance Jing LiLingfei LiRafael Mendoza-Arriaga OriginalPaper 20 May 2016 Pages: 589 - 634
An explicit martingale version of the one-dimensional Brenier theorem Pierre Henry-LabordèreNizar Touzi OriginalPaper 18 April 2016 Pages: 635 - 668
Robust pricing and hedging under trading restrictions and the emergence of local martingale models Alexander M. G. CoxZhaoxu HouJan Obłój OriginalPaper Open access 17 March 2016 Pages: 669 - 704
Consumption-investment problem with transaction costs for Lévy-driven price processes Dimitri De VallièreYuri KabanovEmmanuel Lépinette OriginalPaper 03 June 2016 Pages: 705 - 740
Almost-sure hedging with permanent price impact Bruno BouchardGrégoire LoeperYiyi Zou OriginalPaper 15 March 2016 Pages: 741 - 771
The joint distribution of Parisian and hitting times of Brownian motion with application to Parisian option pricing Angelos DassiosYou You Zhang OriginalPaper 02 June 2016 Pages: 773 - 804
Retraction Note to: The distribution of the maximum of a variance gamma process and path-dependent option pricing Roman V. Ivanov Retraction Note 29 March 2016 Pages: 805 - 805