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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
Pricing options on flow forwards by neural networks in a Hilbert space Fred Espen BenthNils DeteringLuca Galimberti OriginalPaper 24 November 2023 Pages: 81 - 121
Optimal investment and consumption for financial markets with jumps under transaction costs Sergei EgorovSerguei Pergamenchtchikov OriginalPaper 10 November 2023 Pages: 123 - 159
Investment–consumption–insurance optimisation problem with multiple habit formation and non-exponential discounting Yike WangJingzhen LiuTak Kuen Siu OriginalPaper 06 September 2023 Pages: 161 - 214
A càdlàg rough path foundation for robust finance Andrew L. AllanChong LiuDavid J. Prömel OriginalPaper Open access 17 November 2023 Pages: 215 - 257
Faking Brownian motion with continuous Markov martingales Mathias BeiglböckGeorge LowtherWalter Schachermayer OriginalPaper Open access 13 December 2023 Pages: 259 - 284