Content
July 2024, Volume 34, Issue 3
- 739-773 Insurance–finance arbitrage
by Philippe Artzner & Karl‐Theodor Eisele & Thorsten Schmidt - 774-818 Robust distortion risk measures
by Carole Bernard & Silvana M. Pesenti & Steven Vanduffel - 819-846 Risk concentration and the mean‐expected shortfall criterion
by Xia Han & Bin Wang & Ruodu Wang & Qinyu Wu - 847-895 Arbitrage theory in a market of stochastic dimension
by Erhan Bayraktar & Donghan Kim & Abhishek Tilva - 896-924 Risk Budgeting portfolios: Existence and computation
by Adil Rengim Cetingoz & Jean‐David Fermanian & Olivier Guéant - 925-976 Reference dependence and endogenous anchors
by Paolo Guasoni & Andrea Meireles‐Rodrigues - 977-1021 Quantifying dimensional change in stochastic portfolio theory
by Erhan Bayraktar & Donghan Kim & Abhishek Tilva - 1022-1085 Time‐inconsistent contract theory
by Camilo Hernández & Dylan Possamaï
October 2023, Volume 33, Issue 4
- 979-1004 Trading under the proof‐of‐stake protocol – A continuous‐time control approach
by Wenpin Tang & David D. Yao - 1005-1043 Crypto quanto and inverse options
by Carol Alexander & Ding Chen & Arben Imeraj - 1044-1081 Deep order flow imbalance: Extracting alpha at multiple horizons from the limit order book
by Petter N. Kolm & Jeremy Turiel & Nicholas Westray - 1082-1118 Closed‐loop Nash competition for liquidity
by Alessandro Micheli & Johannes Muhle‐Karbe & Eyal Neuman - 1119-1145 Local volatility under rough volatility
by Florian Bourgey & Stefano De Marco & Peter K. Friz & Paolo Pigato - 1146-1165 The log‐moment formula for implied volatility
by Vimal Raval & Antoine Jacquier - 1166-1212 Learning equilibrium mean‐variance strategy
by Min Dai & Yuchao Dong & Yanwei Jia - 1213-1247 Mean–variance hedging of contingent claims with random maturity
by Kamil Kladívko & Mihail Zervos - 1248-1286 Predictable forward performance processes: Infrequent evaluation and applications to human‐machine interactions
by Gechun Liang & Moris S. Strub & Yuwei Wang - 1287-1313 Discrete‐time risk sensitive portfolio optimization with proportional transaction costs
by Marcin Pitera & Łukasz Stettner - 1314-1369 Asymptotic subadditivity/superadditivity of Value‐at‐Risk under tail dependence
by Wenhao Zhu & Lujun Li & Jingping Yang & Jiehua Xie & Liulei Sun - 1370-1411 Epstein‐Zin utility maximization on a random horizon
by Joshua Aurand & Yu‐Jui Huang
July 2023, Volume 33, Issue 3
- 437-503 Recent advances in reinforcement learning in finance
by Ben Hambly & Renyuan Xu & Huining Yang - 504-547 A Leland model for delta hedging in central risk books
by Johannes Muhle‐Karbe & Zexin Wang & Kevin Webster - 548-617 Trading with the crowd
by Eyal Neuman & Moritz Voß - 618-665 Markov decision processes under model uncertainty
by Ariel Neufeld & Julian Sester & Mario Šikić - 666-708 Credit risk pricing in a consumption‐based equilibrium framework with incomplete accounting information
by Junchi Ma & Mobolaji Ogunsolu & Jinniao Qiu & Ayşe Deniz Sezer - 709-765 Model‐free portfolio theory: A rough path approach
by Andrew L. Allan & Christa Cuchiero & Chong Liu & David J. Prömel - 766-796 Noncausal affine processes with applications to derivative pricing
by Christian Gouriéroux & Yang Lu - 797-841 Equilibria of time‐inconsistent stopping for one‐dimensional diffusion processes
by Erhan Bayraktar & Zhenhua Wang & Zhou Zhou - 842-890 Analytical solvability and exact simulation in models with affine stochastic volatility and Lévy jumps
by Pingping Zeng & Ziqing Xu & Pingping Jiang & Yue Kuen Kwok - 891-945 Weak equilibria for time‐inconsistent control: With applications to investment‐withdrawal decisions
by Zongxia Liang & Fengyi Yuan - 946-975 Equilibrium investment with random risk aversion
by Sascha Desmettre & Mogens Steffensen
April 2023, Volume 33, Issue 2
- 209-256 Reverse stress testing: Scenario design for macroprudential stress tests
by Michel Baes & Eric Schaanning - 257-273 A model‐free approach to continuous‐time finance
by Henry Chiu & Rama Cont - 274-307 Pathwise CVA regressions with oversimulated defaults
by Lokman A. Abbas‐Turki & Stéphane Crépey & Bouazza Saadeddine - 308-341 Pro‐cyclicality beyond business cycle
by Marcel Bräutigam & Michel Dacorogna & Marie Kratz - 342-369 Optimal investment with correlated stochastic volatility factors
by Maxim Bichuch & Jean‐Pierre Fouque - 370-388 Optimal measure preserving derivatives revisited
by Brendan K. Beare - 389-434 Preference robust distortion risk measure and its application
by Wei Wang & Huifu Xu
January 2023, Volume 33, Issue 1
- 3-15 In memoriam: Marco Avellaneda (1955–2022)
by Rama Cont - 16-18 Marco Avellaneda: Mathematician and trader
by Jim Gatheral - 19-40 Reconstructing volatility: Pricing of index options under rough volatility
by Peter K. Friz & Thomas Wagenhofer - 41-79 Algorithmic market making in dealer markets with hedging and market impact
by Alexander Barzykin & Philippe Bergault & Olivier Guéant - 80-115 Optimal dynamic regulation of carbon emissions market
by René Aïd & Sara Biagini - 116-145 Deep empirical risk minimization in finance: Looking into the future
by Anders Max Reppen & Halil Mete Soner - 146-184 Neural network approximation for superhedging prices
by Francesca Biagini & Lukas Gonon & Thomas Reitsam - 185-205 Limits of semistatic trading strategies
by Marcel Nutz & Johannes Wiesel & Long Zhao
October 2022, Volume 32, Issue 4
- 943-981 While stability lasts: A stochastic model of noncustodial stablecoins
by Ariah Klages‐Mundt & Andreea Minca - 982-1019 A machine learning approach to portfolio pricing and risk management for high‐dimensional problems
by Lucio Fernandez‐Arjona & Damir Filipović - 1020-1065 Portfolio liquidation games with self‐exciting order flow
by Guanxing Fu & Ulrich Horst & Xiaonyu Xia - 1066-1085 Super‐replication with transaction costs under model uncertainty for continuous processes
by Huy N. Chau & Masaaki Fukasawa & Miklós Rásonyi - 1086-1132 Consistent estimation for fractional stochastic volatility model under high‐frequency asymptotics
by Masaaki Fukasawa & Tetsuya Takabatake & Rebecca Westphal - 1133-1169 Asymptotic analysis of long‐term investment with two illiquid and correlated assets
by Xinfu Chen & Min Dai & Wei Jiang & Cong Qin - 1170-1213 The American put with finite‐time maturity and stochastic interest rate
by Cheng Cai & Tiziano De Angelis & Jan Palczewski - 1214-1230 Estimating volatility in the Merton model: The KMV estimate is not maximum likelihood
by Benjamin Christoffersen & David Lando & Søren Feodor Nielsen
July 2022, Volume 32, Issue 3
- 727-778 When does portfolio compression reduce systemic risk?
by Luitgard Anna Maria Veraart - 779-824 A mean‐field game approach to equilibrium pricing in solar renewable energy certificate markets
by Arvind V. Shrivats & Dena Firoozi & Sebastian Jaimungal - 825-877 Inter‐temporal mutual‐fund management
by Alain Bensoussan & Ka Chun Cheung & Yiqun Li & Sheung Chi Phillip Yam - 878-906 An infinite‐dimensional affine stochastic volatility model
by Sonja Cox & Sven Karbach & Asma Khedher - 907-940 Consistent time‐homogeneous modeling of SPX and VIX derivatives
by Andrew Papanicolaou
April 2022, Volume 32, Issue 2
- 455-516 Optimal fund menus
by Jakša Cvitanić & Julien Hugonnier - 517-554 Equilibrium price in intraday electricity markets
by René Aid & Andrea Cosso & Huyên Pham - 555-594 Optimal investment for retail investors
by Christoph Belak & Lukas Mich & Frank T. Seifried - 595-626 Fairness principles for insurance contracts in the presence of default risk
by Delia Coculescu & Freddy Delbaen - 627-677 Optimal dividend payout under stochastic discounting
by Elena Bandini & Tiziano De Angelis & Giorgio Ferrari & Fausto Gozzi - 678-724 Affine term structure models: A time‐change approach with perfect fit to market curves
by Cheikh Mbaye & Frédéric Vrins
January 2022, Volume 32, Issue 1
- 3-45 Expected median of a shifted Brownian motion: Theory and calculations
by Vladimir V. Piterbarg - 46-77 Calibration of local‐stochastic volatility models by optimal transport
by Ivan Guo & Grégoire Loeper & Shiyi Wang - 78-113 A simple microstructural explanation of the concavity of price impact
by Sergey Nadtochiy - 114-171 Robust asymptotic growth in stochastic portfolio theory under long‐only constraints
by David Itkin & Martin Larsson - 172-225 Utility‐based pricing and hedging of contingent claims in Almgren‐Chriss model with temporary price impact
by Ibrahim Ekren & Sergey Nadtochiy - 226-272 Mean‐ρ$\rho$ portfolio selection and ρ$\rho$‐arbitrage for coherent risk measures
by Martin Herdegen & Nazem Khan - 273-308 On buybacks, dilutions, dividends, and the pricing of stock‐based claims
by Alex Backwell & Thomas A. McWalter & Peter H. Ritchken - 309-348 The Laplace transform of the integrated Volterra Wishart process
by Eduardo Abi Jaber - 349-404 Portfolio diversification and model uncertainty: A robust dynamic mean‐variance approach
by Huyên Pham & Xiaoli Wei & Chao Zhou - 405-420 Protecting pegged currency markets from speculative investors
by Eyal Neuman & Alexander Schied - 421-451 Ordering and inequalities for mixtures on risk aggregation
by Yuyu Chen & Peng Liu & Yang Liu & Ruodu Wang
October 2021, Volume 31, Issue 4
- 1099-1110 In memoriam: Mark H. A. Davis and his contributions to mathematical finance
by Jan Obłój & Thaleia Zariphopoulou - 1111-1161 Open markets
by Ioannis Karatzas & Donghan Kim - 1162-1189 Risk‐sensitive benchmarked asset management with expert forecasts
by Mark H.A. Davis & Sébastien Lleo - 1190-1217 Bayes risk, elicitability, and the Expected Shortfall
by Paul Embrechts & Tiantian Mao & Qiuqi Wang & Ruodu Wang - 1218-1239 An elementary approach to the Merton problem
by Martin Herdegen & David Hobson & Joseph Jerome - 1240-1274 Perturbation analysis of sub/super hedging problems
by Sergey Badikov & Mark H.A. Davis & Antoine Jacquier - 1275-1314 Duality for optimal consumption with randomly terminating income
by Ashley Davey & Michael Monoyios & Harry Zheng - 1315-1331 Convergence of optimal expected utility for a sequence of binomial models
by Friedrich Hubalek & Walter Schachermayer - 1332-1356 Young, timid, and risk takers
by Paolo Guasoni & Lóránt Nagy & Miklós Rásonyi - 1357-1393 Interbank lending with benchmark rates: Pareto optima for a class of singular control games
by Rama Cont & Xin Guo & Renyuan Xu - 1394-1422 Robust replication of volatility and hybrid derivatives on jump diffusions
by Peter Carr & Roger Lee & Matthew Lorig - 1423-1453 Weak transport for non‐convex costs and model‐independence in a fixed‐income market
by Beatrice Acciaio & Mathias Beiglböck & Gudmund Pammer - 1454-1493 Distributionally robust portfolio maximization and marginal utility pricing in one period financial markets
by Jan Obłój & Johannes Wiesel - 1494-1521 Option pricing models without probability: a rough paths approach
by John Armstrong & Claudio Bellani & Damiano Brigo & Thomas Cass
July 2021, Volume 31, Issue 3
- 827-856 Liquidity in competitive dealer markets
by Peter Bank & Ibrahim Ekren & Johannes Muhle‐Karbe - 857-884 Risk‐neutral pricing techniques and examples
by Robert A. Jarrow & Pierre Patie & Anna Srapionyan & Yixuan Zhao - 885-906 Relative arbitrage: Sharp time horizons and motion by curvature
by Martin Larsson & Johannes Ruf - 907-942 Simulating risk measures via asymptotic expansions for relative errors
by Wei Jiang & Steven Kou - 943-978 The Alpha‐Heston stochastic volatility model
by Ying Jiao & Chunhua Ma & Simone Scotti & Chao Zhou - 979-1012 Optimal stopping under model ambiguity: A time‐consistent equilibrium approach
by Yu‐Jui Huang & Xiang Yu - 1013-1055 Penalty method for portfolio selection with capital gains tax
by Baojun Bian & Xinfu Chen & Min Dai & Shuaijie Qian - 1056-1095 Consistent investment of sophisticated rank‐dependent utility agents in continuous time
by Ying Hu & Hanqing Jin & Xun Yu Zhou
April 2021, Volume 31, Issue 2
- 563-594 Generalized statistical arbitrage concepts and related gain strategies
by Christian Rein & Ludger Rüschendorf & Thorsten Schmidt - 595-648 Asset pricing with general transaction costs: Theory and numerics
by Lukas Gonon & Johannes Muhle‐Karbe & Xiaofei Shi - 649-682 Optimal dynamic risk sharing under the time‐consistent mean‐variance criterion
by Lv Chen & David Landriault & Bin Li & Danping Li - 683-721 Forward rank‐dependent performance criteria: Time‐consistent investment under probability distortion
by Xue Dong He & Moris S. Strub & Thaleia Zariphopoulou - 722-771 Double continuation regions for American options under Poisson exercise opportunities
by Zbigniew Palmowski & José Luis Pérez & Kazutoshi Yamazaki - 772-823 Intra‐Horizon expected shortfall and risk structure in models with jumps
by Walter Farkas & Ludovic Mathys & Nikola Vasiljević
January 2021, Volume 31, Issue 1
- 3-35 Optimal investment, derivative demand, and arbitrage under price impact
by Michail Anthropelos & Scott Robertson & Konstantinos Spiliopoulos - 36-108 Asymptotics for small nonlinear price impact: A PDE approach to the multidimensional case
by Erhan Bayraktar & Thomas Cayé & Ibrahim Ekren - 109-148 Optimal make–take fees for market making regulation
by Omar El Euch & Thibaut Mastrolia & Mathieu Rosenbaum & Nizar Touzi - 149-175 On utility maximization under model uncertainty in discrete‐time markets
by Miklós Rásonyi & Andrea Meireles‐Rodrigues - 176-202 Model risk in credit risk
by Roberto Fontana & Elisa Luciano & Patrizia Semeraro - 203-241 Small‐time, large‐time, and H→0 asymptotics for the Rough Heston model
by Martin Forde & Stefan Gerhold & Benjamin Smith - 242-278 Binary funding impacts in derivative valuation
by Junbeom Lee & Chao Zhou - 279-322 Size matters for OTC market makers: General results and dimensionality reduction techniques
by Philippe Bergault & Olivier Guéant - 323-365 The asymptotic expansion of the regular discretization error of Itô integrals
by Elisa Alòs & Masaaki Fukasawa - 366-398 Convergence of utility indifference prices to the superreplication price in a multiple‐priors framework
by Romain Blanchard & Laurence Carassus - 399-473 Mean–field moral hazard for optimal energy demand response management
by Romuald Élie & Emma Hubert & Thibaut Mastrolia & Dylan Possamaï - 474-507 Markov chains under nonlinear expectation
by Max Nendel - 508-530 Equilibrium concepts for time‐inconsistent stopping problems in continuous time
by Erhan Bayraktar & Jingjie Zhang & Zhou Zhou - 531-559 Sharing the value‐at‐risk under distributional ambiguity
by Zhi Chen & Weijun Xie
October 2020, Volume 30, Issue 4
- 1181-1204 Network valuation in financial systems
by Paolo Barucca & Marco Bardoscia & Fabio Caccioli & Marco D'Errico & Gabriele Visentin & Guido Caldarelli & Stefano Battiston - 1205-1228 Convergence of optimal expected utility for a sequence of discrete‐time markets
by David M. Kreps & Walter Schachermayer - 1229-1272 Robust risk aggregation with neural networks
by Stephan Eckstein & Michael Kupper & Mathias Pohl - 1273-1308 Continuous‐time mean–variance portfolio selection: A reinforcement learning framework
by Haoran Wang & Xun Yu Zhou - 1309-1336 No‐arbitrage implies power‐law market impact and rough volatility
by Paul Jusselin & Mathieu Rosenbaum - 1337-1367 Risk functionals with convex level sets
by Ruodu Wang & Yunran Wei - 1368-1391 Self‐similarity in long‐horizon returns
by Dilip B. Madan & Wim Schoutens - 1392-1421 Asset pricing with heterogeneous beliefs and illiquidity
by Johannes Muhle‐Karbe & Marcel Nutz & Xiaowei Tan - 1422-1460 When to sell an asset amid anxiety about drawdowns
by Neofytos Rodosthenous & Hongzhong Zhang - 1461-1496 A term structure model for dividends and interest rates
by Damir Filipović & Sander Willems - 1497-1526 Azéma martingales for Bessel and CIR processes and the pricing of Parisian zero‐coupon bonds
by Angelos Dassios & Jia Wei Lim & Yan Qu - 1527-1564 A martingale representation theorem and valuation of defaultable securities
by Tahir Choulli & Catherine Daveloose & Michèle Vanmaele - 1565-1590 Effective risk aversion in thin risk‐sharing markets
by Michail Anthropelos & Constantinos Kardaras & Georgios Vichos - 1591-1616 Semitractability of optimal stopping problems via a weighted stochastic mesh algorithm
by Denis Belomestny & Maxim Kaledin & John Schoenmakers
July 2020, Volume 30, Issue 3
- 705-737 Distress and default contagion in financial networks
by Luitgard Anna Maria Veraart - 738-781 Robust XVA
by Maxim Bichuch & Agostino Capponi & Stephan Sturm - 782-832 A regularity structure for rough volatility
by Christian Bayer & Peter K. Friz & Paul Gassiat & Jorg Martin & Benjamin Stemper - 833-868 Hedging nontradable risks with transaction costs and price impact
by Álvaro Cartea & Ryan Donnelly & Sebastian Jaimungal - 869-920 Shortfall aversion
by Paolo Guasoni & Gur Huberman & Dan Ren - 921-960 Static and semistatic hedging as contrarian or conformist bets
by Svetlana Boyarchenko & Sergei Levendorskiĭ - 961-994 Dividend policy and capital structure of a defaultable firm
by Alex S. L. Tse - 995-1034 Mean‐field games with differing beliefs for algorithmic trading
by Philippe Casgrain & Sebastian Jaimungal - 1035-1072 Robust consumption‐investment problem under CRRA and CARA utilities with time‐varying confidence sets
by Zongxia Liang & Ming Ma - 1073-1102 Dynamically consistent alpha‐maxmin expected utility
by Patrick Beissner & Qian Lin & Frank Riedel - 1103-1134 Optimal equilibria for time‐inconsistent stopping problems in continuous time
by Yu‐Jui Huang & Zhou Zhou - 1135-1167 Lifetime investment and consumption with recursive preferences and small transaction costs
by Yaroslav Melnyk & Johannes Muhle‐Karbe & Frank Thomas Seifried - 1168-1178 Semimartingale theory of monotone mean–variance portfolio allocation
by Aleš Černý
April 2020, Volume 30, Issue 2
- 341-376 Nonlinear price impact and portfolio choice
by Paolo Guasoni & Marko Hans Weber - 377-402 Consistency of option prices under bid–ask spreads
by Stefan Gerhold & Ismail Cetin Gülüm - 403-425 Semistatic and sparse variance‐optimal hedging
by Paolo Di Tella & Martin Haubold & Martin Keller‐Ressel - 426-463 Pathwise moderate deviations for option pricing
by Antoine Jacquier & Konstantinos Spiliopoulos - 464-500 Pricing collateralized derivatives with an arbitrary numeraire
by Joanne Kennedy - 501-546 Existence of a calibrated regime switching local volatility model
by Benjamin Jourdain & Alexandre Zhou - 547-576 A direct solution method for pricing options in regime‐switching models
by Masahiko Egami & Rusudan Kevkhishvili - 577-620 Optimal investment and pricing in the presence of defaults
by Tetsuya Ishikawa & Scott Robertson - 621-663 Optimal consumption and investment with liquid and illiquid assets
by Jin Hyuk Choi - 664-701 Firm capital dynamics in centrally cleared markets
by Agostino Capponi & W. Allen Cheng & Sriram Rajan
January 2020, Volume 30, Issue 1
- 3-46 Inference for large financial systems
by Kay Giesecke & Gustavo Schwenkler & Justin A. Sirignano - 47-84 Option pricing with orthogonal polynomial expansions
by Damien Ackerer & Damir Filipović - 85-127 Convex duality and Orlicz spaces in expected utility maximization
by Sara Biagini & Aleš Černý - 128-166 Existence, uniqueness, and stability of optimal payoffs of eligible assets
by Michel Baes & Pablo Koch‐Medina & Cosimo Munari - 167-195 Multiple curve Lévy forward price model allowing for negative interest rates
by Ernst Eberlein & Christoph Gerhart & Zorana Grbac - 196-227 Double continuation regions for American and Swing options with negative discount rate in Lévy models
by Marzia De Donno & Zbigniew Palmowski & Joanna Tumilewicz - 228-259 Optimal dividend policies with random profitability
by A. Max Reppen & Jean‐Charles Rochet & H. Mete Soner - 260-286 Robust martingale selection problem and its connections to the no‐arbitrage theory
by Matteo Burzoni & Mario Šikić - 287-309 Computational aspects of robust optimized certainty equivalents and option pricing
by Daniel Bartl & Samuel Drapeau & Ludovic Tangpi - 310-340 General stopping behaviors of naïve and noncommitted sophisticated agents, with application to probability distortion
by Yu‐Jui Huang & Adrien Nguyen‐Huu & Xun Yu Zhou
October 2019, Volume 29, Issue 4
- 1003-1038 Mean field and n‐agent games for optimal investment under relative performance criteria
by Daniel Lacker & Thaleia Zariphopoulou - 1039-1065 Periodic strategies in optimal execution with multiplicative price impact
by Daniel Hernández‐Hernández & Harold A. Moreno‐Franco & José‐Luis Pérez - 1066-1115 Portfolio choice with small temporary and transient price impact
by Ibrahim Ekren & Johannes Muhle‐Karbe - 1116-1130 A variation of the Azéma martingale and drawdown options
by Angelos Dassios & Jia Wei Lim - 1131-1156 An efficient approach to quantile capital allocation and sensitivity analysis
by Vali Asimit & Liang Peng & Ruodu Wang & Alex Yu - 1157-1170 A rational asset pricing model for premiums and discounts on closed‐end funds: The bubble theory
by Robert Jarrow & Philip Protter
July 2019, Volume 29, Issue 3
- 697-734 Optimal portfolio under fractional stochastic environment
by Jean‐Pierre Fouque & Ruimeng Hu - 735-772 Trading algorithms with learning in latent alpha models
by Philippe Casgrain & Sebastian Jaimungal - 773-803 Cover's universal portfolio, stochastic portfolio theory, and the numéraire portfolio
by Christa Cuchiero & Walter Schachermayer & Ting‐Kam Leonard Wong - 804-826 On the relation between linearity‐generating processes and linear‐rational models
by Damir Filipović & Martin Larsson & Anders B. Trolle - 827-836 Unspanned stochastic volatility in the multifactor CIR model
by Damir Filipović & Martin Larsson & Francesco Statti - 837-860 Superreplication with proportional transaction cost under model uncertainty
by Bruno Bouchard & Shuoqing Deng & Xiaolu Tan - 861-897 The robust pricing–hedging duality for American options in discrete time financial markets
by Anna Aksamit & Shuoqing Deng & Jan Obłój & Xiaolu Tan - 898-927 Arrow–Debreu equilibria for rank‐dependent utilities with heterogeneous probability weighting
by Hanqing Jin & Jianming Xia & Xun Yu Zhou - 928-966 The short‐time behavior of VIX‐implied volatilities in a multifactor stochastic volatility framework
by Andrea Barletta & Elisa Nicolato & Stefano Pagliarani - 967-1000 Value‐at‐Risk bounds with two‐sided dependence information
by Thibaut Lux & Ludger Rüschendorf
April 2019, Volume 29, Issue 2
- 409-447 Realization utility with adaptive reference points
by Xuedong He & Linan Yang - 448-482 Who should sell stocks?
by Paolo Guasoni & Ren Liu & Johannes Muhle‐Karbe - 483-506 Optimal consumption and investment under transaction costs
by David Hobson & Alex S. L. Tse & Yeqi Zhu - 507-541 Optimal trade execution in order books with stochastic liquidity
by Antje Fruth & Torsten Schöneborn & Mikhail Urusov - 542-567 Trading co‐integrated assets with price impact
by Álvaro Cartea & Luhui Gan & Sebastian Jaimungal - 568-611 Affine multiple yield curve models
by Christa Cuchiero & Claudio Fontana & Alessandro Gnoatto - 612-658 Static hedging and pricing of exotic options with payoff frames
by Justin Lars Kirkby & Shijie Deng - 659-692 Optimal insurance under rank‐dependent utility and incentive compatibility
by Zuo Quan Xu & Xun Yu Zhou & Sheng Chao Zhuang
January 2019, Volume 29, Issue 1
- 3-38 The characteristic function of rough Heston models
by Omar El Euch & Mathieu Rosenbaum - 39-83 Option pricing under fast‐varying long‐memory stochastic volatility
by Josselin Garnier & Knut Sølna - 84-116 Corporate security prices in structural credit risk models with incomplete information
by Rüdiger Frey & Lars Rösler & Dan Lu - 117-136 Financial models with defaultable numéraires
by Travis Fisher & Sergio Pulido & Johannes Ruf - 137-173 Credit portfolio selection with decaying contagion intensities
by Lijun Bo & Agostino Capponi & Peng‐Chu Chen - 174-207 Robust Markowitz mean‐variance portfolio selection under ambiguous covariance matrix
by Amine Ismail & Huyên Pham - 208-248 Backward SDEs for control with partial information
by Andrew Papanicolaou - 249-284 The limits of leverage
by Paolo Guasoni & Eberhard Mayerhofer - 285-328 Strict local martingales and optimal investment in a Black–Scholes model with a bubble
by Martin Herdegen & Sebastian Herrmann - 329-367 A unified approach to systemic risk measures via acceptance sets
by Francesca Biagini & Jean‐Pierre Fouque & Marco Frittelli & Thilo Meyer‐Brandis