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Finance and Stochastics OnlineFirst articles

17.11.2017

Shadow prices, fractional Brownian motion, and portfolio optimisation under transaction costs

The present paper accomplishes a major step towards a reconciliation of two conflicting approaches in mathematical finance: on the one hand, the mainstream approach based on the notion of no arbitrage (Black, Merton & Scholes), and on the other …

14.11.2017

Perfect hedging under endogenous permanent market impacts

We model a nonlinear price curve quoted in a market as the utility indifference curve of a representative liquidity supplier. As the utility function, we adopt a g $g$ -expectation. In contrast to the standard framework of financial engineering, a …

13.11.2017

Replicating portfolio approach to capital calculation

The replicating portfolio (RP) approach to the calculation of capital for life insurance portfolios is an industry standard. The RP is obtained from projecting the terminal loss of discounted asset–liability cash flows on a set of factors …

10.11.2017 Open Access

Financial equilibrium with asymmetric information and random horizon

We study in detail and explicitly solve the version of Kyle’s model introduced in a specific case in Back and Baruch (Econometrica 72:433–465, 2004), where the trading horizon is given by an exponentially distributed random time. The first part of …

09.11.2017

Time-consistent stopping under decreasing impatience

Under non-exponential discounting, we develop a dynamic theory for stopping problems in continuous time. Our framework covers discount functions that induce decreasing impatience. Due to the inherent time inconsistency, we look for equilibrium …

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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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