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Finance and Stochastics OnlineFirst articles

21-09-2021

Càdlàg semimartingale strategies for optimal trade execution in stochastic order book models

We analyse an optimal trade execution problem in a financial market with stochastic liquidity. To this end, we set up a limit order book model in continuous time. Both order book depth and resilience are allowed to evolve randomly in time. We …

17-09-2021 Open Access

Complete and competitive financial markets in a complex world

We investigate the possibility of completing financial markets in a model with no exogenous probability measure, with market imperfections and with an arbitrary sample space. We also consider whether such an extension may be possible in a …

03-09-2021 Open Access

Scenario-based risk evaluation

Risk measures such as expected shortfall (ES) and value-at-risk (VaR) have been prominent in banking regulation and financial risk management. Motivated by practical considerations in the assessment and management of risks, including tractability …

03-09-2021 Open Access

Additive logistic processes in option pricing

In option pricing, it is customary to first specify a stochastic underlying model and then extract valuation equations from it. However, it is possible to reverse this paradigm: starting from an arbitrage-free option valuation formula, one could …

31-08-2021 Open Access

Deep ReLU network expression rates for option prices in high-dimensional, exponential Lévy models

We study the expression rates of deep neural networks (DNNs for short) for option prices written on baskets of d $d$ risky assets whose log-returns are modelled by a multivariate Lévy process with general correlation structure of jumps. We …

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About this journal

Finance and Stochastics presents research in all areas of finance based on stochastic methods as well as on specific topics in mathematics motivated by the analysis of problems in finance (in particular probability theory, statistics and stochastic analysis).

The journal also publishes surveys on financial topics of general interest if they clearly picture and illuminate the basic ideas and techniques at work, the interrelationship of different approaches and the central questions which remain open.

In addition, Finance and Stochastics features special issues devoted to specific topics in rapidly growing research areas. The journal serves as an ideal publication platform for both theoretical and applied financial economists using advanced stochastic methods and researchers in stochastics motivated by and interested in applications in finance and insurance.

Officially cited as:

Finance Stoch

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