Information and dynamic trading with the Gambler’s fallacy Si Chen OriginalPaper 25 March 2022 Pages: 399 - 446
Climate change adaptation under heterogeneous beliefs Marcel NutzFlorian Stebegg OriginalPaper 23 March 2022 Pages: 481 - 508
Robust utility maximizing strategies under model uncertainty and their convergence Jörn SassDorothee Westphal OriginalPaper Open access 11 March 2022 Pages: 367 - 397
A dynamical model for real economy and finance F. GrassettiC. MammanaE. Michetti OriginalPaper 04 January 2022 Pages: 345 - 366
Term structure modeling under volatility uncertainty Julian Hölzermann OriginalPaper Open access 04 November 2021 Pages: 317 - 343
Arbitrage-free Nelson–Siegel model for multiple yield curves Riccardo BrignoneChristoph GerhartEva Lütkebohmert OriginalPaper Open access 06 October 2021 Pages: 239 - 266
Optimal finite horizon contract with limited commitment Junkee JeonHyeng Keun KooKyunghyun Park OriginalPaper 30 September 2021 Pages: 267 - 315
Price formation and optimal trading in intraday electricity markets Olivier FéronPeter TankovLaura Tinsi OriginalPaper 23 September 2021 Pages: 205 - 237
Price impact equilibrium with transaction costs and TWAP trading Eunjung NohKim Weston OriginalPaper 18 September 2021 Pages: 187 - 204
Investment timing and capacity choice in duopolistic competition under a jump-diffusion model Xiaoqin WuZhijun Hu OriginalPaper 21 August 2021 Pages: 125 - 152
Optimal portfolios in the presence of stress scenarios A worst-case approach Ralf KornLukas Müller OriginalPaper Open access 14 August 2021 Pages: 153 - 185
Robust utility maximization under model uncertainty via a penalization approach Ivan GuoNicolas LangrenéWei Ning OriginalPaper 02 August 2021 Pages: 51 - 88
Optimal control model of an enterprise for single and inheriting periods of carbon emission reduction Jin LiangWenlin Huang OriginalPaper 31 July 2021 Pages: 89 - 123
Convergence rates of large-time sensitivities with the Hansen–Scheinkman decomposition Hyungbin Park OriginalPaper 22 July 2021 Pages: 1 - 50
Supermartingale deflators in the absence of a numéraire Philipp HarmsChong LiuAriel Neufeld OriginalPaper 18 May 2021 Pages: 885 - 915
Dynamically complete markets under Brownian motion Theodoros M. Diasakos OriginalPaper Open access 29 April 2021 Pages: 719 - 745
Diffusion bank networks and capital flows Ioannis LeventidisEvangelos Melas OriginalPaper 28 April 2021 Pages: 811 - 845
Utility maximization in a multidimensional semimartingale model with nonlinear wealth dynamics Mauricio JuncaRafael Serrano OriginalPaper 29 March 2021 Pages: 775 - 809
A Gamma Ornstein–Uhlenbeck model driven by a Hawkes process Guillaume BernisRiccardo BrignoneCarlo Sgarra OriginalPaper Open access 24 March 2021 Pages: 747 - 773
Connectedness versus diversification: two sides of the same coin Maria-Laura TorrentePierpaolo Uberti OriginalPaper Open access 09 February 2021 Pages: 639 - 655
Stochastic dynamic utilities and intertemporal preferences Marco MaggisAndrea Maran OriginalPaper 21 January 2021 Pages: 611 - 638
Systemic optimal risk transfer equilibrium Francesca BiaginiAlessandro DoldiThilo Meyer-Brandis OriginalPaper Open access 19 January 2021 Pages: 233 - 274
Forward price and fitting of electricity Nord Pool market under regime-switching two-factor model Farshid MehrdoustIdin Noorani Original Paper 11 January 2021 Pages: 501 - 543
Correction to: No-arbitrage commodity option pricing with market manipulation René AïdGiorgia CallegaroLuciano Campi Correction 09 January 2021 Pages: 473 - 475
Multiple yield curve modelling with CBI processes Claudio FontanaAlessandro GnoattoGuillaume Szulda OriginalPaper 09 January 2021 Pages: 579 - 610
Asymptotics for volatility derivatives in multi-factor rough volatility models Chloe LacombeAitor MuguruzaHenry Stone OriginalPaper Open access 09 January 2021 Pages: 545 - 577
Preface to the special issue on systemic risk and financial networks Agostino CapponiRobert Jarrow EditorialNotes 09 January 2021 Pages: 1 - 3
A financial market with singular drift and no arbitrage Nacira AgramBernt Øksendal OriginalPaper Open access 25 November 2020 Pages: 477 - 500
Scale effects in dynamic contracting Shirley Bromberg-SilversteinSantiago Moreno-BrombergGuillaume Roger OriginalPaper 04 November 2020 Pages: 431 - 472
A closed-form pricing formula for European options under a new stochastic volatility model with a stochastic long-term mean Xin-Jiang HeWenting Chen OriginalPaper 23 October 2020 Pages: 381 - 396
Certainty equivalent and utility indifference pricing for incomplete preferences via convex vector optimization Birgit RudloffFirdevs Ulus OriginalPaper 10 October 2020 Pages: 397 - 430
An optimization model for minimizing systemic risk Rosella CastellanoRoy CerquetiRosanna Grassi OriginalPaper 12 September 2020 Pages: 103 - 129
Preferences over rich sets of random variables: on the incompatibility of convexity and semicontinuity in measure Alexander ZimperHirbod Assa OriginalPaper 07 September 2020 Pages: 353 - 380
Equilibrium effects of intraday order-splitting benchmarks Jin Hyuk ChoiKasper LarsenDuane J. Seppi OriginalPaper 04 September 2020 Pages: 315 - 352
Optimal life-cycle consumption and investment decisions under age-dependent risk preferences Andreas LichtensternPavel V. ShevchenkoRudi Zagst OriginalPaper 30 July 2020 Pages: 275 - 313
Capital allocation rules and acceptance sets Gabriele CannaFrancesca CentroneEmanuela Rosazza Gianin OriginalPaper 09 July 2020 Pages: 759 - 781
Continuity of utility maximization under weak convergence Erhan BayraktarYan DolinskyJia Guo OriginalPaper 08 July 2020 Pages: 725 - 757
Systemic credit freezes in financial lending networks Daron AcemogluAsuman OzdaglarAlireza Tahbaz-Salehi OriginalPaper 01 July 2020 Pages: 185 - 232
An integrated model for fire sales and default contagion Nils DeteringThilo Meyer-BrandisDaniel Ritter OriginalPaper Open access 27 June 2020 Pages: 59 - 101
Properly discounted asset prices are semimartingales Dániel Ágoston BálintMartin Schweizer OriginalPaper 11 June 2020 Pages: 661 - 674
Arbitrage-free modeling under Knightian uncertainty Matteo BurzoniMarco Maggis OriginalPaper 09 June 2020 Pages: 635 - 659
Robust time-consistent mean–variance portfolio selection problem with multivariate stochastic volatility Tingjin YanBingyan HanHoi Ying Wong OriginalPaper 08 June 2020 Pages: 699 - 724
Compound Poisson models for weighted networks with applications in finance Axel GandyLuitgard A. M. Veraart OriginalPaper Open access 29 May 2020 Pages: 131 - 153
Mean-variance efficiency of optimal power and logarithmic utility portfolios Taras BodnarDmytro IvasiukWolfgang Schmid OriginalPaper Open access 29 May 2020 Pages: 675 - 698
Asset pricing in a pure exchange economy with heterogeneous investors Xinfeng RuanJin E. Zhang OriginalPaper 29 May 2020 Pages: 605 - 634
No–arbitrage commodity option pricing with market manipulation René AïdGiorgia CallegaroLuciano Campi OriginalPaper Open access 02 April 2020 Pages: 577 - 603
No arbitrage in continuous financial markets David Criens OriginalPaper Open access 14 March 2020 Pages: 461 - 506
