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ORCIDFinance and Stochastics, Volume 22
Volume 22, Number 1, January 2018
- Jaksa Cvitanic, Dylan Possamaï
, Nizar Touzi:
Dynamic programming approach to principal-agent problems. 1-37 - Dirk Becherer, Todor Bilarev, Peter Frentrup:
Optimal liquidation under stochastic liquidity. 39-68 - Yu-Jui Huang, Adrien Nguyen Huu:
Time-consistent stopping under decreasing impatience. 69-95 - Umut Çetin:
Financial equilibrium with asymmetric information and random horizon. 97-126 - Anna Aksamit, Tahir Choulli, Jun Deng, Monique Jeanblanc:
No-arbitrage under a class of honest times. 127-159 - Christoph Czichowsky, Rémi Peyre, Walter Schachermayer, Junjian Yang:
Shadow prices, fractional Brownian motion, and portfolio optimisation under transaction costs. 161-180 - Mathieu Cambou, Damir Filipovic:
Replicating portfolio approach to capital calculation. 181-203 - Monique Jeanblanc, Libo Li, Shiqi Song:
An enlargement of filtration formula with applications to multiple non-ordered default times. 205-240
Volume 22, Number 2, April 2018
- Omar El Euch, Masaaki Fukasawa, Mathieu Rosenbaum:
The microstructural foundations of leverage effect and rough volatility. 241-280 - Johannes Muhle-Karbe, Marcel Nutz:
A risk-neutral equilibrium leading to uncertain volatility pricing. 281-295 - Kasper Larsen, Oleksii Mostovyi, Gordan Zitkovic:
An expansion in the model space in the context of utility maximization. 297-326 - Fred Espen Benth, Paul Krühner:
Approximation of forward curve models in commodity markets with arbitrage-free finite-dimensional models. 327-366 - Tiantian Mao, Jun Cai:
Risk measures based on behavioural economics theory. 367-393 - Niushan Gao, Denny Leung, Cosimo Munari, Foivos Xanthos:
Fatou property, representations, and extensions of law-invariant risk measures on general Orlicz spaces. 395-415 - Masaaki Fukasawa, Mitja Stadje:
Perfect hedging under endogenous permanent market impacts. 417-442 - Martin Herdegen, Johannes Muhle-Karbe:
Stability of Radner equilibria with respect to small frictions. 443-502 - Martin Keller-Ressel:
Correction to: Yield curve shapes and the asymptotic short rate distribution in affine one-factor models. 503-510
Volume 22, Number 3, July 2018
- Zhaoxu Hou, Jan Oblój:
Robust pricing-hedging dualities in continuous time. 511-567 - Bruno Bouchard, Masaaki Fukasawa, Martin Herdegen, Johannes Muhle-Karbe:
Equilibrium returns with transaction costs. 569-601 - Patrick Beissner, Frank Riedel:
Non-implementability of Arrow-Debreu equilibria by continuous trading under volatility uncertainty. 603-620 - Likuan Qin, Vadim Linetsky:
Long-term factorization in Heath-Jarrow-Morton models. 621-641 - Dan Pirjol, Lingjiong Zhu:
Explosion in the quasi-Gaussian HJM model. 643-666 - Damien Ackerer, Damir Filipovic, Sergio Pulido:
The Jacobi stochastic volatility model. 667-700 - Maximilian Gaß, Kathrin Glau, Mirco Mahlstedt, Maximilian Mair:
Chebyshev interpolation for parametric option pricing. 701-731
Volume 22, Number 4, October 2018
- Teemu Pennanen, Ari-Pekka Perkkiö:
Convex duality in optimal investment and contingent claim valuation in illiquid markets. 733-771 - Hyungbin Park:
Sensitivity analysis of long-term cash flows. 773-825 - Ulrich Horst, Dörte Kreher:
Second order approximations for limit order books. 827-877 - Sigrid Källblad, Jan Oblój, Thaleia Zariphopoulou:
Dynamically consistent investment under model uncertainty: the robust forward criteria. 879-918 - Stefan Gerhold, Paul Krühner:
Dynamic trading under integer constraints. 919-957 - Zdzislaw Brzezniak, Tayfun Kok:
Stochastic evolution equations in Banach spaces and applications to the Heath-Jarrow-Morton-Musiela equations. 959-1006 - Massimo Marinacci, Federico Severino:
Weak time-derivatives and no-arbitrage pricing. 1007-1036
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