Finance and Stochastics

Financial risk measures for a network of individual agents holding portfolios of light-tailed objects

Claudia Klüppelberg, Miriam Isabel Seifert

Extreme at-the-money skew in a local volatility model

Paolo Pigato

Finite-horizon optimal investment with transaction costs: construction of the optimal strategies

Christoph Belak, Jörn Sass

Multi-dimensional optimal trade execution under stochastic resilience

Ulrich Horst, Xiaonyu Xia

Risk sharing for capital requirements with multidimensional security markets

Felix-Benedikt Liebrich, Gregor Svindland

Forward transition rates

Kristian Buchardt, Christian Furrer, Mogens Steffensen

An application of fractional differential equations to risk theory

Corina D. Constantinescu, Jorge M. Ramirez, Wei R. Zhu

Dual utilities on risk aggregation under dependence uncertainty

Ruodu Wang, Zuo Quan Xu, Xun Yu Zhou

Prospective strict no-arbitrage and the fundamental theorem of asset pricing under transaction costs

Christoph Kühn, Alexander Molitor

Call for papers for a special issue of Finance and Stochastics on “Vector- and set-valued methods in stochastic finance and related areas”