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Regime switching affine processes with applications to finance Misha van BeekMichel MandjesErik Winands OriginalPaper Open access 21 February 2020 Pages: 309 - 333
Partial liquidation under reference-dependent preferences Vicky HendersonJonathan Muscat OriginalPaper Open access 16 March 2020 Pages: 335 - 357
An incomplete equilibrium with a stochastic annuity Kim WestonGordan Žitković OriginalPaper 29 January 2020 Pages: 359 - 382
Trading strategies generated pathwise by functions of market weights Ioannis KaratzasDonghan Kim OriginalPaper 17 December 2019 Pages: 423 - 463
Term structure modelling for multiple curves with stochastic discontinuities Claudio FontanaZorana GrbacThorsten Schmidt OriginalPaper 14 February 2020 Pages: 465 - 511
On fairness of systemic risk measures Francesca BiaginiJean-Pierre FouqueThilo Meyer-Brandis OriginalPaper Open access 04 February 2020 Pages: 513 - 564