Importance sampling for option pricing with feedforward neural networks Aleksandar ArandjelovićThorsten RheinländerPavel V. Shevchenko OriginalPaper Open access 11 November 2024
Polynomial approximation of discounted moments Chenyu ZhaoMisha van BeekMakhtar Ba OriginalPaper Open access 04 November 2024
Gaussian agency problems with memory and linear contracts Eduardo Abi JaberStéphane Villeneuve OriginalPaper 20 September 2024
On the Guyon–Lekeufack volatility model Marcel NutzAndrés Riveros Valdevenito OriginalPaper 17 September 2024 Pages: 1203 - 1223
Robustness of Hilbert space-valued stochastic volatility models Fred Espen BenthHeidar Eyjolfsson OriginalPaper Open access 16 September 2024 Pages: 1117 - 1146
Stationary covariance regime for affine stochastic covariance models in Hilbert spaces Martin FriesenSven Karbach OriginalPaper Open access 16 September 2024 Pages: 1077 - 1116
A Barndorff-Nielsen and Shephard model with leverage in Hilbert space for commodity forward markets Fred Espen BenthCarlo Sgarra OriginalPaper Open access 12 September 2024 Pages: 1035 - 1076
Cost-efficient payoffs under model ambiguity Carole BernardGero JunikeSteven Vanduffel OriginalPaper Open access 12 September 2024 Pages: 965 - 997
Extreme ATM skew in a local volatility model with discontinuity: joint density approach Alexander GairatVadim Shcherbakov OriginalPaper Open access 30 August 2024 Pages: 1179 - 1202
Risk sharing under heterogeneous beliefs without convexity Felix-Benedikt Liebrich OriginalPaper Open access 21 August 2024 Pages: 999 - 1033
A reproducing kernel Hilbert space approach to singular local stochastic volatility McKean–Vlasov models Christian BayerDenis BelomestnyJohn Schoenmakers OriginalPaper Open access 07 August 2024 Pages: 1147 - 1178
Improved robust price bounds for multi-asset derivatives under market-implied dependence information Jonathan AnsariEva LütkebohmertJulian Sester OriginalPaper 08 July 2024 Pages: 911 - 964
Reducing Obizhaeva–Wang-type trade execution problems to LQ stochastic control problems Julia AckermannThomas KruseMikhail Urusov OriginalPaper Open access 25 June 2024 Pages: 813 - 863
Deep neural network expressivity for optimal stopping problems Lukas Gonon OriginalPaper Open access 14 June 2024 Pages: 865 - 910
Optimal trade execution under small market impact and portfolio liquidation with semimartingale strategies Ulrich HorstEvgueni Kivman OriginalPaper Open access 14 June 2024 Pages: 759 - 812
Duality in optimal consumption–investment problems with alternative data Kexin ChenHoi Ying Wong OriginalPaper Open access 14 June 2024 Pages: 709 - 758
Speeding up the Euler scheme for killed diffusions Umut ÇetinJulien Hok OriginalPaper Open access 29 May 2024 Pages: 663 - 707
Functional central limit theorems for rough volatility Blanka HorvathAntoine JacquierAndreas Søjmark OriginalPaper Open access 16 April 2024 Pages: 615 - 661
Quadratic expansions in optimal investment with respect to perturbations of the semimartingale model Oleksii MostovyiMihai Sîrbu OriginalPaper 27 March 2024 Pages: 553 - 613
Hedging with physical or cash settlement under transient multiplicative price impact Dirk BechererTodor Bilarev OriginalPaper Open access 15 March 2024 Pages: 285 - 328
Existence of an equilibrium with limited participation Kim Weston OriginalPaper 28 February 2024 Pages: 329 - 361
Optimal consumption and investment with welfare constraints Junkee JeonMinsuk Kwak OriginalPaper 08 February 2024 Pages: 391 - 451
A framework for measures of risk under uncertainty Tolulope FadinaYang LiuRuodu Wang OriginalPaper 07 February 2024 Pages: 363 - 390
Optimal investment in a large population of competitive and heterogeneous agents Ludovic TangpiXuchen Zhou OriginalPaper 05 February 2024 Pages: 497 - 551
Arbitrage problems with reflected geometric Brownian motion Dean BucknerKevin DowdHardy Hulley OriginalPaper Open access 20 December 2023 Pages: 1 - 26
Faking Brownian motion with continuous Markov martingales Mathias BeiglböckGeorge LowtherWalter Schachermayer OriginalPaper Open access 13 December 2023 Pages: 259 - 284
Pricing options on flow forwards by neural networks in a Hilbert space Fred Espen BenthNils DeteringLuca Galimberti OriginalPaper 24 November 2023 Pages: 81 - 121
A càdlàg rough path foundation for robust finance Andrew L. AllanChong LiuDavid J. Prömel OriginalPaper Open access 17 November 2023 Pages: 215 - 257
Optimal reinsurance via BSDEs in a partially observable model with jump clusters Matteo BrachettaGiorgia CallegaroCarlo Sgarra OriginalPaper Open access 17 November 2023 Pages: 453 - 495
Dispersion-constrained martingale Schrödinger problems and the exact joint S&P 500/VIX smile calibration puzzle Julien Guyon OriginalPaper 17 November 2023 Pages: 27 - 79
Optimal investment and consumption for financial markets with jumps under transaction costs Sergei EgorovSerguei Pergamenchtchikov OriginalPaper 10 November 2023 Pages: 123 - 159
Asset pricing with dynamically inconsistent agents Mariana Khapko OriginalPaper 28 September 2023 Pages: 1017 - 1046
Robust utility maximisation with intractable claims Yunhong LiZuo Quan XuXun Yu Zhou OriginalPaper 28 September 2023 Pages: 985 - 1015
Present-biased lobbyists in linear–quadratic stochastic differential games Ali LazrakHanxiao WangJiongmin Yong OriginalPaper 28 September 2023 Pages: 947 - 984
A stochastic control perspective on term structure models with roll-over risk Claudio FontanaSimone PavaranaWolfgang J. Runggaldier OriginalPaper Open access 28 September 2023 Pages: 903 - 932
Ruin probabilities for a Sparre Andersen model with investments: the case of annuity payments Yuri KabanovPlaton Promyslov OriginalPaper 28 September 2023 Pages: 887 - 902
In memoriam: Tomas Björk (1947–2021) Raquel M. GasparMariana Khapko EditorialNotes 28 September 2023 Pages: 867 - 885
Editorial: Special Issue in memory of Tomas Björk Martin Schweizer EditorialNotes 28 September 2023 Pages: 863 - 865
Investment–consumption–insurance optimisation problem with multiple habit formation and non-exponential discounting Yike WangJingzhen LiuTak Kuen Siu OriginalPaper 06 September 2023 Pages: 161 - 214
Optimal execution with multiplicative price impact and incomplete information on the return Felix DammannGiorgio Ferrari OriginalPaper Open access 29 June 2023 Pages: 713 - 768
Fundamental theorem of asset pricing with acceptable risk in markets with frictions Maria ArducaCosimo Munari OriginalPaper Open access 27 June 2023 Pages: 831 - 862
Contagious McKean–Vlasov systems with heterogeneous impact and exposure Zachary FeinsteinAndreas Søjmark OriginalPaper Open access 26 June 2023 Pages: 663 - 711
Rogue traders Huayuan DongPaolo GuasoniEberhard Mayerhofer OriginalPaper Open access 19 June 2023 Pages: 539 - 603
A general approach for Parisian stopping times under Markov processes Gongqiu ZhangLingfei Li OriginalPaper 05 June 2023 Pages: 769 - 829
Optional projection under equivalent local martingale measures Francesca BiaginiAndrea MazzonAri-Pekka Perkkiö OriginalPaper Open access 31 March 2023 Pages: 435 - 465
A continuous-time model of self-protection Sarah BensalemNicolás Hernández-SantibáñezNabil Kazi-Tani OriginalPaper 29 March 2023 Pages: 503 - 537
Market-to-book ratio in stochastic portfolio theory Donghan Kim OriginalPaper 27 March 2023 Pages: 401 - 434
