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Finance and Stochastics

Finance and Stochastics 3/2019

Ausgabe 3/2019

Inhaltsverzeichnis ( 9 Artikel )

10.05.2019 | Ausgabe 3/2019

Laws of large numbers for Hayashi–Yoshida-type functionals

Ole Martin, Mathias Vetter

24.05.2019 | Ausgabe 3/2019

Affine forward variance models

Jim Gatheral, Martin Keller-Ressel

10.06.2019 | Ausgabe 3/2019

An SPDE model for systemic risk with endogenous contagion

Ben Hambly, Andreas Søjmark

19.04.2019 | Ausgabe 3/2019

Sensitivity analysis of the utility maximisation problem with respect to model perturbations

Oleksii Mostovyi, Mihai Sîrbu

28.05.2019 | Ausgabe 3/2019 Open Access

A multi-asset investment and consumption problem with transaction costs

David Hobson, Alex S. L. Tse, Yeqi Zhu

23.04.2019 | Ausgabe 3/2019 Open Access

Robust utility maximisation in markets with transaction costs

Huy N. Chau, Miklós Rásonyi

29.05.2019 | Ausgabe 3/2019 Open Access

Duality for pathwise superhedging in continuous time

Daniel Bartl, Michael Kupper, David J. Prömel, Ludovic Tangpi

12.06.2019 | Ausgabe 3/2019

The self-financing equation in limit order book markets

René Carmona, Kevin Webster

28.05.2019 | Ausgabe 3/2019

Distributional compatibility for change of measures

Jie Shen, Yi Shen, Bin Wang, Ruodu Wang

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