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Zeitschrift

Finance and Stochastics

Finance and Stochastics OnlineFirst articles

28.07.2020

Asset prices in segmented and integrated markets

This paper evaluates the effect of market integration on prices and welfare, in a model where two Lucas trees grow in separate regions with similar investors. We find equilibrium asset price dynamics and welfare both in segmentation, when each …

22.07.2020 Open Access

The Riesz representation theorem and weak∗ compactness of semimartingales

We show that the sequential closure of a family of probability measures on the canonical space of càdlàg paths satisfying Stricker’s uniform tightness condition is a weak∗ compact set of semimartingale measures in the dual pairing of bounded …

17.07.2020 Open Access

The Leland–Toft optimal capital structure model under Poisson observations

This paper revisits the optimal capital structure model with endogenous bankruptcy, first studied by Leland (J. Finance 49:1213–1252, 1994) and Leland and Toft (J. Finance 51:987–1019, 1996). Unlike in the standard case where shareholders …

14.07.2020 | Some Paper

Optimal insurance with background risk: An analysis of general dependence structures

In this paper, we consider an optimal insurance problem from the perspective of a risk-averse individual who faces an insurable risk as well as some background risk and wants to maximise the expected utility of his/her final wealth. To reduce ex …

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Über diese Zeitschrift

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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