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@article{DBLP:journals/fs/AltaroviciMS15,
author = {Albert Altarovici and
Johannes Muhle{-}Karbe and
Halil Mete Soner},
title = {Asymptotics for fixed transaction costs},
journal = {Finance Stochastics},
volume = {19},
number = {2},
pages = {363--414},
year = {2015},
url = {https://doi.org/10.1007/s00780-015-0261-3},
doi = {10.1007/S00780-015-0261-3},
timestamp = {Wed, 22 Jul 2020 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/fs/AltaroviciMS15.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/fs/BankK15,
author = {Peter Bank and
Dmitry O. Kramkov},
title = {A model for a large investor trading at market indifference prices.
{I:} Single-period case},
journal = {Finance Stochastics},
volume = {19},
number = {2},
pages = {449--472},
year = {2015},
url = {https://doi.org/10.1007/s00780-015-0258-y},
doi = {10.1007/S00780-015-0258-Y},
timestamp = {Wed, 22 Jul 2020 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/fs/BankK15.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/fs/BelomestnyJS15,
author = {Denis Belomestny and
Mark S. Joshi and
John Schoenmakers},
title = {Addendum to: Multilevel dual approach for pricing American style derivatives},
journal = {Finance Stochastics},
volume = {19},
number = {3},
pages = {681--684},
year = {2015},
url = {https://doi.org/10.1007/s00780-015-0267-x},
doi = {10.1007/S00780-015-0267-X},
timestamp = {Wed, 22 Jul 2020 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/fs/BelomestnyJS15.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/fs/BentataC15,
author = {Amel Bentata and
Rama Cont},
title = {Forward equations for option prices in semimartingale models},
journal = {Finance Stochastics},
volume = {19},
number = {3},
pages = {617--651},
year = {2015},
url = {https://doi.org/10.1007/s00780-015-0265-z},
doi = {10.1007/S00780-015-0265-Z},
timestamp = {Wed, 22 Jul 2020 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/fs/BentataC15.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/fs/BenthD15,
author = {Fred Espen Benth and
Nils Detering},
title = {Pricing and hedging Asian-style options on energy},
journal = {Finance Stochastics},
volume = {19},
number = {4},
pages = {849--889},
year = {2015},
url = {https://doi.org/10.1007/s00780-015-0270-2},
doi = {10.1007/S00780-015-0270-2},
timestamp = {Wed, 22 Jul 2020 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/fs/BenthD15.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/fs/CapponiFP15,
author = {Agostino Capponi and
Jos{\'{e}} E. Figueroa{-}L{\'{o}}pez and
Andrea Pascucci},
title = {Dynamic credit investment in partially observed markets},
journal = {Finance Stochastics},
volume = {19},
number = {4},
pages = {891--939},
year = {2015},
url = {https://doi.org/10.1007/s00780-015-0272-0},
doi = {10.1007/S00780-015-0272-0},
timestamp = {Wed, 22 Jul 2020 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/fs/CapponiFP15.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/fs/ChassagneuxEK15,
author = {Jean{-}Fran{\c{c}}ois Chassagneux and
Romuald Elie and
Idris Kharroubi},
title = {When terminal facelift enforces delta constraints},
journal = {Finance Stochastics},
volume = {19},
number = {2},
pages = {329--362},
year = {2015},
url = {https://doi.org/10.1007/s00780-015-0260-4},
doi = {10.1007/S00780-015-0260-4},
timestamp = {Wed, 22 Jul 2020 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/fs/ChassagneuxEK15.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/fs/ChoiL15,
author = {Jin Hyuk Choi and
Kasper Larsen},
title = {Taylor approximation of incomplete Radner equilibrium models},
journal = {Finance Stochastics},
volume = {19},
number = {3},
pages = {653--679},
year = {2015},
url = {https://doi.org/10.1007/s00780-015-0268-9},
doi = {10.1007/S00780-015-0268-9},
timestamp = {Wed, 22 Jul 2020 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/fs/ChoiL15.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/fs/ChoulliDM15,
author = {Tahir Choulli and
Jun Deng and
Junfeng Ma},
title = {How non-arbitrage, viability and num{\'{e}}raire portfolio are
related},
journal = {Finance Stochastics},
volume = {19},
number = {4},
pages = {719--741},
year = {2015},
url = {https://doi.org/10.1007/s00780-015-0269-8},
doi = {10.1007/S00780-015-0269-8},
timestamp = {Wed, 22 Jul 2020 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/fs/ChoulliDM15.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/fs/ChristiansenN15,
author = {Marcus C. Christiansen and
Andreas Niemeyer},
title = {On the forward rate concept in multi-state life insurance},
journal = {Finance Stochastics},
volume = {19},
number = {2},
pages = {295--327},
year = {2015},
url = {https://doi.org/10.1007/s00780-014-0244-9},
doi = {10.1007/S00780-014-0244-9},
timestamp = {Wed, 22 Jul 2020 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/fs/ChristiansenN15.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/fs/CuchieroT15,
author = {Christa Cuchiero and
Josef Teichmann},
title = {A convergence result for the Emery topology and a variant of the proof
of the fundamental theorem of asset pricing},
journal = {Finance Stochastics},
volume = {19},
number = {4},
pages = {743--761},
year = {2015},
url = {https://doi.org/10.1007/s00780-015-0276-9},
doi = {10.1007/S00780-015-0276-9},
timestamp = {Wed, 22 Jul 2020 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/fs/CuchieroT15.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/fs/ElieL15,
author = {Romuald Elie and
Emmanuel L{\'{e}}pinette},
title = {Approximate hedging for nonlinear transaction costs on the volume
of traded assets},
journal = {Finance Stochastics},
volume = {19},
number = {3},
pages = {541--581},
year = {2015},
url = {https://doi.org/10.1007/s00780-015-0262-2},
doi = {10.1007/S00780-015-0262-2},
timestamp = {Wed, 22 Jul 2020 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/fs/ElieL15.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/fs/EmbrechtsWW15,
author = {Paul Embrechts and
Bin Wang and
Ruodu Wang},
title = {Aggregation-robustness and model uncertainty of regulatory risk measures},
journal = {Finance Stochastics},
volume = {19},
number = {4},
pages = {763--790},
year = {2015},
url = {https://doi.org/10.1007/s00780-015-0273-z},
doi = {10.1007/S00780-015-0273-Z},
timestamp = {Wed, 22 Jul 2020 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/fs/EmbrechtsWW15.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/fs/FedericoGG15,
author = {Salvatore Federico and
Paul Gassiat and
Fausto Gozzi},
title = {Utility maximization with current utility on the wealth: regularity
of solutions to the {HJB} equation},
journal = {Finance Stochastics},
volume = {19},
number = {2},
pages = {415--448},
year = {2015},
url = {https://doi.org/10.1007/s00780-015-0257-z},
doi = {10.1007/S00780-015-0257-Z},
timestamp = {Fri, 09 Apr 2021 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/fs/FedericoGG15.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/fs/FeinsteinR15,
author = {Zachary Feinstein and
Birgit Rudloff},
title = {Multi-portfolio time consistency for set-valued convex and coherent
risk measures},
journal = {Finance Stochastics},
volume = {19},
number = {1},
pages = {67--107},
year = {2015},
url = {https://doi.org/10.1007/s00780-014-0247-6},
doi = {10.1007/S00780-014-0247-6},
timestamp = {Sun, 25 Jul 2021 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/fs/FeinsteinR15.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/fs/Grandits15,
author = {Peter Grandits},
title = {An optimal consumption problem in finite time with a constraint on
the ruin probability},
journal = {Finance Stochastics},
volume = {19},
number = {4},
pages = {791--847},
year = {2015},
url = {https://doi.org/10.1007/s00780-015-0275-x},
doi = {10.1007/S00780-015-0275-X},
timestamp = {Wed, 22 Jul 2020 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/fs/Grandits15.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/fs/GuasoniR15,
author = {Paolo Guasoni and
Mikl{\'{o}}s R{\'{a}}sonyi},
title = {Fragility of arbitrage and bubbles in local martingale diffusion models},
journal = {Finance Stochastics},
volume = {19},
number = {2},
pages = {215--231},
year = {2015},
url = {https://doi.org/10.1007/s00780-015-0256-0},
doi = {10.1007/S00780-015-0256-0},
timestamp = {Wed, 22 Jul 2020 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/fs/GuasoniR15.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/fs/GuasoniW15,
author = {Paolo Guasoni and
Gu Wang},
title = {Hedge and mutual funds' fees and the separation of private investments},
journal = {Finance Stochastics},
volume = {19},
number = {3},
pages = {473--507},
year = {2015},
url = {https://doi.org/10.1007/s00780-015-0266-y},
doi = {10.1007/S00780-015-0266-Y},
timestamp = {Sun, 02 Oct 2022 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/fs/GuasoniW15.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/fs/HillairetJ15,
author = {Caroline Hillairet and
Ying Jiao},
title = {Portfolio optimization with insider's initial information and counterparty
risk},
journal = {Finance Stochastics},
volume = {19},
number = {1},
pages = {109--134},
year = {2015},
url = {https://doi.org/10.1007/s00780-014-0246-7},
doi = {10.1007/S00780-014-0246-7},
timestamp = {Wed, 22 Jul 2020 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/fs/HillairetJ15.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/fs/HobsonK15,
author = {David Hobson and
Martin Klimmek},
title = {Robust price bounds for the forward starting straddle},
journal = {Finance Stochastics},
volume = {19},
number = {1},
pages = {189--214},
year = {2015},
url = {https://doi.org/10.1007/s00780-014-0249-4},
doi = {10.1007/S00780-014-0249-4},
timestamp = {Wed, 22 Jul 2020 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/fs/HobsonK15.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/fs/ImkellerP15,
author = {Peter Imkeller and
Nicolas Perkowski},
title = {The existence of dominating local martingale measures},
journal = {Finance Stochastics},
volume = {19},
number = {4},
pages = {685--717},
year = {2015},
url = {https://doi.org/10.1007/s00780-015-0264-0},
doi = {10.1007/S00780-015-0264-0},
timestamp = {Wed, 22 Jul 2020 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/fs/ImkellerP15.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/fs/KallsenK15,
author = {Jan Kallsen and
Paul Kr{\"{u}}hner},
title = {On a Heath-Jarrow-Morton approach for stock options},
journal = {Finance Stochastics},
volume = {19},
number = {3},
pages = {583--615},
year = {2015},
url = {https://doi.org/10.1007/s00780-015-0263-1},
doi = {10.1007/S00780-015-0263-1},
timestamp = {Wed, 22 Jul 2020 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/fs/KallsenK15.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/fs/Kramkov15,
author = {Dmitry O. Kramkov},
title = {Existence of an endogenously complete equilibrium driven by a diffusion},
journal = {Finance Stochastics},
volume = {19},
number = {1},
pages = {1--22},
year = {2015},
url = {https://doi.org/10.1007/s00780-014-0250-y},
doi = {10.1007/S00780-014-0250-Y},
timestamp = {Wed, 22 Jul 2020 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/fs/Kramkov15.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/fs/KrishenikMW15,
author = {Andrey Krishenik and
Andreea Minca and
Johannes Wissel},
title = {When do creditors with heterogeneous beliefs agree to run?},
journal = {Finance Stochastics},
volume = {19},
number = {2},
pages = {233--259},
year = {2015},
url = {https://doi.org/10.1007/s00780-015-0259-x},
doi = {10.1007/S00780-015-0259-X},
timestamp = {Sat, 09 Apr 2022 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/fs/KrishenikMW15.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/fs/LiL15,
author = {Lingfei Li and
Vadim Linetsky},
title = {Discretely monitored first passage problems and barrier options: an
eigenfunction expansion approach},
journal = {Finance Stochastics},
volume = {19},
number = {4},
pages = {941--977},
year = {2015},
url = {https://doi.org/10.1007/s00780-015-0271-1},
doi = {10.1007/S00780-015-0271-1},
timestamp = {Sat, 30 Sep 2023 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/fs/LiL15.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/fs/ManciniMR15,
author = {Cecilia Mancini and
Vanessa Mattiussi and
Roberto Ren{\`{o}}},
title = {Spot volatility estimation using delta sequences},
journal = {Finance Stochastics},
volume = {19},
number = {2},
pages = {261--293},
year = {2015},
url = {https://doi.org/10.1007/s00780-015-0255-1},
doi = {10.1007/S00780-015-0255-1},
timestamp = {Wed, 22 Jul 2020 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/fs/ManciniMR15.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/fs/MayerPS15,
author = {Philipp A. Mayer and
Natalie Packham and
Wolfgang M. Schmidt},
title = {Static hedging under maturity mismatch},
journal = {Finance Stochastics},
volume = {19},
number = {3},
pages = {509--539},
year = {2015},
url = {https://doi.org/10.1007/s00780-014-0254-7},
doi = {10.1007/S00780-014-0254-7},
timestamp = {Sat, 30 Sep 2023 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/fs/MayerPS15.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/fs/Mostovyi15,
author = {Oleksii Mostovyi},
title = {Necessary and sufficient conditions in the problem of optimal investment
with intermediate consumption},
journal = {Finance Stochastics},
volume = {19},
number = {1},
pages = {135--159},
year = {2015},
url = {https://doi.org/10.1007/s00780-014-0248-5},
doi = {10.1007/S00780-014-0248-5},
timestamp = {Thu, 23 Sep 2021 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/fs/Mostovyi15.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/fs/PennerR15,
author = {Irina Penner and
Anthony Reveillac},
title = {Risk measures for processes and BSDEs},
journal = {Finance Stochastics},
volume = {19},
number = {1},
pages = {23--66},
year = {2015},
url = {https://doi.org/10.1007/s00780-014-0243-x},
doi = {10.1007/S00780-014-0243-X},
timestamp = {Wed, 22 Jul 2020 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/fs/PennerR15.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/fs/Siorpaes15,
author = {Pietro Siorpaes},
title = {Optimal investment and price dependence in a semi-static market},
journal = {Finance Stochastics},
volume = {19},
number = {1},
pages = {161--187},
year = {2015},
url = {https://doi.org/10.1007/s00780-014-0245-8},
doi = {10.1007/S00780-014-0245-8},
timestamp = {Wed, 22 Jul 2020 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/fs/Siorpaes15.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/fs/Ivanov15,
title = {The distribution of the maximum of a variance gamma process and path-dependent
option pricing},
journal = {Finance Stochastics},
volume = {19},
number = {4},
pages = {979--993},
year = {2015},
note = {Withdrawn.},
url = {https://doi.org/10.1007/s00780-015-0277-8},
doi = {10.1007/S00780-015-0277-8},
timestamp = {Wed, 22 Jul 2020 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/fs/Ivanov15.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
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