External Links

    Journal: Finance and Stochastics

    Volume 19, Issue 4

    685 -- 717Peter Imkeller, Nicolas Perkowski. The existence of dominating local martingale measures
    719 -- 741Tahir Choulli, Jun Deng, Junfeng Ma. How non-arbitrage, viability and numéraire portfolio are related
    743 -- 761Christa Cuchiero, Josef Teichmann. A convergence result for the Emery topology and a variant of the proof of the fundamental theorem of asset pricing
    763 -- 790Paul Embrechts, Bin Wang, Ruodu Wang. Aggregation-robustness and model uncertainty of regulatory risk measures
    791 -- 847Peter Grandits. An optimal consumption problem in finite time with a constraint on the ruin probability
    849 -- 889Fred Espen Benth, Nils Detering. Pricing and hedging Asian-style options on energy
    891 -- 939Agostino Capponi, José E. Figueroa-López, Andrea Pascucci. Dynamic credit investment in partially observed markets
    941 -- 977Lingfei Li, Vadim Linetsky. Discretely monitored first passage problems and barrier options: an eigenfunction expansion approach
    979 -- 993Roman V. Ivanov. The distribution of the maximum of a variance gamma process and path-dependent option pricing

    Volume 19, Issue 3

    473 -- 507Paolo Guasoni, Gu Wang. Hedge and mutual funds' fees and the separation of private investments
    509 -- 539Philipp A. Mayer, Natalie Packham, Wolfgang M. Schmidt. Static hedging under maturity mismatch
    541 -- 581Romuald Elie, Emmanuel Lépinette. Approximate hedging for nonlinear transaction costs on the volume of traded assets
    583 -- 615Jan Kallsen, Paul Krühner. On a Heath-Jarrow-Morton approach for stock options
    617 -- 651Amel Bentata, Rama Cont. Forward equations for option prices in semimartingale models
    653 -- 679Jin-Hyuk Choi, Kasper Larsen. Taylor approximation of incomplete Radner equilibrium models
    681 -- 684Denis Belomestny, Mark Joshi, John Schoenmakers. Addendum to: Multilevel dual approach for pricing American style derivatives

    Volume 19, Issue 2

    215 -- 231Paolo Guasoni, Miklós Rásonyi. Fragility of arbitrage and bubbles in local martingale diffusion models
    233 -- 259Andrey Krishenik, Andreea Minca, Johannes Wissel. When do creditors with heterogeneous beliefs agree to run?
    261 -- 293Cecilia Mancini, Vanessa Mattiussi, Roberto Renò. Spot volatility estimation using delta sequences
    295 -- 327Marcus C. Christiansen, Andreas Niemeyer. On the forward rate concept in multi-state life insurance
    329 -- 362Jean-François Chassagneux, Romuald Elie, Idris Kharroubi. When terminal facelift enforces delta constraints
    363 -- 414Albert Altarovici, Johannes Muhle-Karbe, Halil Mete Soner. Asymptotics for fixed transaction costs
    415 -- 448Salvatore Federico, Paul Gassiat, Fausto Gozzi. Utility maximization with current utility on the wealth: regularity of solutions to the HJB equation
    449 -- 472Peter Bank, Dmitry O. Kramkov. A model for a large investor trading at market indifference prices. I: Single-period case

    Volume 19, Issue 1

    1 -- 22Dmitry O. Kramkov. Existence of an endogenously complete equilibrium driven by a diffusion
    23 -- 66Irina Penner, Anthony Reveillac. Risk measures for processes and BSDEs
    67 -- 107Zachary Feinstein, Birgit Rudloff. Multi-portfolio time consistency for set-valued convex and coherent risk measures
    109 -- 134Caroline Hillairet, Ying Jiao. Portfolio optimization with insider's initial information and counterparty risk
    135 -- 159Oleksii Mostovyi. Necessary and sufficient conditions in the problem of optimal investment with intermediate consumption
    161 -- 187Pietro Siorpaes. Optimal investment and price dependence in a semi-static market
    189 -- 214David Hobson, Martin Klimmek. Robust price bounds for the forward starting straddle
    runs on