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ORCIDFinance and Stochastics, Volume 20
Volume 20, Number 1, January 2016
- Matteo Burzoni
, Marco Frittelli, Marco Maggis:
Universal arbitrage aggregator in discrete-time markets under uncertainty. 1-50 - Arash Fahim, Yu-Jui Huang:
Model-independent superhedging under portfolio constraints. 51-81 - Bruno Bouchard, Marcel Nutz:
Consistent price systems under model uncertainty. 83-98 - Kasper Larsen, Halil Mete Soner, Gordan Zitkovic:
Facelifting in utility maximization. 99-121 - Berend Roorda, Johannes M. Schumacher:
Weakly time consistent concave valuations and their dual representations. 123-151 - Peter Bank, Selim Gökay:
Superreplication when trading at market indifference prices. 153-182 - Aurélien Alfonsi, Pierre Blanc:
Dynamic optimal execution in a mixed-market-impact Hawkes price model. 183-218 - José E. Figueroa-López, Sveinn Ólafsson:
Short-time expansions for close-to-the-money options under a Lévy jump model with stochastic volatility. 219-265
Volume 20, Number 2, April 2016
- Christa Cuchiero, Claudio Fontana, Alessandro Gnoatto:
A general HJM framework for multiple yield curve modelling. 267-320 - Laurens de Haan, Cécile Mercadier, Chen Zhou:
Adapting extreme value statistics to financial time series: dealing with bias and serial dependence. 321-354 - Yuri Kabanov, Serguei Pergamenshchikov:
In the insurance business risky investments are dangerous: the case of negative risk sums. 355-379 - Jiatu Cai, Masaaki Fukasawa:
Asymptotic replication with modified volatility under small transaction costs. 381-431 - Freddy Delbaen, Fabio Bellini, Valeria Bignozzi, Johanna F. Ziegel:
Risk measures with the CxLS property. 433-453 - Torsten Schöneborn:
Adaptive basket liquidation. 455-493 - Eyal Neuman, Alexander Schied:
Optimal portfolio liquidation in target zone models and catalytic superprocesses. 495-509 - Kim Weston:
Stability of utility maximization in nonequivalent markets. 511-541
Volume 20, Number 3, July 2016
- Jean-Pierre Fouque, Matthew J. Lorig, Ronnie Sircar:
Second order multiscale stochastic volatility asymptotics: stochastic terminal layer analysis and calibration. 543-588 - Jing Li, Lingfei Li, Rafael Mendoza-Arriaga:
Additive subordination and its applications in finance. 589-634 - Pierre Henry-Labordère, Nizar Touzi:
An explicit martingale version of the one-dimensional Brenier theorem. 635-668 - Alexander M. G. Cox, Zhaoxu Hou, Jan Oblój:
Robust pricing and hedging under trading restrictions and the emergence of local martingale models. 669-704 - Dimitri De Vallière, Yuri Kabanov, Emmanuel Lépinette:
Consumption-investment problem with transaction costs for Lévy-driven price processes. 705-740 - Bruno Bouchard, Grégoire Loeper, Yiyi Zou:
Almost-sure hedging with permanent price impact. 741-771 - Angelos Dassios, You You Zhang:
The joint distribution of Parisian and hitting times of Brownian motion with application to Parisian option pricing. 773-804 - Retraction Note to: The distribution of the maximum of a variance gamma process and path-dependent option pricing. 805
Volume 20, Number 4, October 2016
- Martin Schweizer, Dieter Sondermann:
Editorial: 20th anniversary of Finance and Stochastics. 807-808 - Erwan Pierre, Stéphane Villeneuve, Xavier Warin:
Liquidity management with decreasing returns to scale and secured credit line. 809-854 - Tianyang Nie, Marek Rutkowski:
A BSDE approach to fair bilateral pricing under endogenous collateralization. 855-900 - Stéphane Crépey, Shiqi Song:
Counterparty risk and funding: immersion and beyond. 901-930 - Damir Filipovic, Martin Larsson:
Polynomial diffusions and applications in finance. 931-972 - José E. Figueroa-López, Sveinn Ólafsson:
Short-term asymptotics for the implied volatility skew under a stochastic volatility model with Lévy jumps. 973-1020 - Kathrin Glau:
A Feynman-Kac-type formula for Lévy processes with discontinuous killing rates. 1021-1059 - Andrew Lyasoff:
Another look at the integral of exponential Brownian motion and the pricing of Asian options. 1061-1096 - Yuri Kabanov, Constantinos Kardaras, Shiqi Song:
No arbitrage of the first kind and local martingale numéraires. 1097-1108
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