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Finance and Stochastics OnlineFirst articles

12.07.2019 Open Access

An application of fractional differential equations to risk theory

This paper defines a new class of fractional differential operators alongside a family of random variables whose density functions solve fractional differential equations equipped with these operators. These equations can be further used to …


Dual utilities on risk aggregation under dependence uncertainty

Finding the worst-case value of a preference over a set of plausible models is a well-established approach to address the issue of model uncertainty or ambiguity. In this paper, we study the worst-case evaluation of Yaari dual utility functionals …


Forward transition rates

The idea of forward rates stems from interest rate theory. It has natural connotations to transition rates in multi-state models. The generalisation from the forward mortality rate in a survival model to multi-state models is non-trivial and …


Multi-dimensional optimal trade execution under stochastic resilience

We provide a general framework for analysing multi-dimensional portfolio liquidation problems with instantaneous and persistent price impact and stochastic resilience. We show that the value function can be described by a system of …

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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.

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Finance Stoch

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