Finance Stochastics

Keyphrases

Publications

volume 23, number 1, 2019

Denis Belomestny, Tobias Hübner, Volker Krätschmer, Sascha Nolte
Minimax theorems for American options without time-consistency. Finance Stochastics 23 (1) (2019)
Alain Bensoussan, Kwok Chuen Wong, Sheung Chi Phillip Yam
A paradox in time-consistency in the mean-variance problem? Finance Stochastics 23 (1) (2019)
Tiziano De Angelis, Gabriele Stabile
On the free boundary of an annuity purchase. Finance Stochastics 23 (1) (2019)
Wing Fung Chong, Ying Hu, Gechun Liang, Thaleia Zariphopoulou
An ergodic BSDE approach to forward entropic risk measures: representation and large-maturity behavior. Finance Stochastics 23 (1) (2019)
Jean-Paul Décamps, Stéphane Villeneuve
A two-dimensional control problem arising from dynamic contracting theory. Finance Stochastics 23 (1) (2019)
Christoph Belak, Sören Christensen
Utility maximisation in a factor model with constant and proportional transaction costs. Finance Stochastics 23 (1) (2019)
Mario Hefter, Arnulf Jentzen
On arbitrarily slow convergence rates for strong numerical approximations of Cox-Ingersoll-Ross processes and squared Bessel processes. Finance Stochastics 23 (1) (2019)

volume 23, number 2, 2019

volume 22, number 1, 2018

volume 22, number 2, 2018

volume 22, number 3, 2018

Damien Ackerer, Damir Filipovic, Sergio Pulido
The Jacobi stochastic volatility model. Finance Stochastics 22 (3) (2018)
Patrick Beissner, Frank Riedel
Non-implementability of Arrow-Debreu equilibria by continuous trading under volatility uncertainty. Finance Stochastics 22 (3) (2018)
Maximilian Gaß, Kathrin Glau, Mirco Mahlstedt, Maximilian Mair
Chebyshev interpolation for parametric option pricing. Finance Stochastics 22 (3) (2018)
Dan Pirjol, Lingjiong Zhu
Explosion in the quasi-Gaussian HJM model. Finance Stochastics 22 (3) (2018)
Likuan Qin, Vadim Linetsky
Long-term factorization in Heath-Jarrow-Morton models. Finance Stochastics 22 (3) (2018)
Zhaoxu Hou, Jan Oblój
Robust pricing-hedging dualities in continuous time. Finance Stochastics 22 (3) (2018)
Bruno Bouchard, Masaaki Fukasawa, Martin Herdegen, Johannes Muhle-Karbe
Equilibrium returns with transaction costs. Finance Stochastics 22 (3) (2018)

volume 22, number 4, 2018

volume 21, number 4, 2017