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Volume 1, Number 1, 2010René Carmona and Ronnie Sircar Message From the Editors-in-Chief . . . 1--1 Peter Carr and Dilip B. Madan Local Volatility Enhanced by a Jump to Default . . . . . . . . . . . . . . . . 2--15 Constantinos Kardaras and Eckhard Platen Minimizing the expected market time to reach a certain wealth level . . . . . . 16--29 Jin Liang and Bei Hu and Lishang Jiang Optimal convergence rate of the binomial tree scheme for American options with jump diffusion and their free boundaries 30--65 Andreas H. Hamel and Frank Heyde Duality for Set-Valued Measures of Risk 66--95 Min Dai and Zuo Quan Xu and Xun Yu Zhou Continuous-time Markowitz's model with transaction costs . . . . . . . . . . . 96--125 Jin Feng and Martin Forde and Jean-Pierre Fouque Short-maturity asymptotics for a fast mean-reverting Heston stochastic volatility model . . . . . . . . . . . . 126--141 T. R. Hurd and Zhuowei Zhou A Fourier transform method for spread option pricing . . . . . . . . . . . . . 142--157 Teemu Pennanen and Irina Penner Hedging of Claims with Physical Delivery under Convex Transaction Costs . . . . . 158--178 A. Kohatsu-Higa and S. Ortiz-Latorre Weak Kyle--Back Equilibrium Models for Max and ArgMax . . . . . . . . . . . . . 179--211 Victor Goodman and Kyounghee Kim Common Forward Rate Volatility . . . . . 212--229 Martino Bardi and Annalisa Cesaroni and Luigi Manca Convergence by Viscosity Methods in Multiscale Financial Models with Stochastic Volatility . . . . . . . . . 230--265 Thaleia Zariphopoulou and Gordan \vZitkovi\'c Maturity-Independent Risk Measures . . . 266--288 E. Benhamou and E. Gobet and M. Miri Time Dependent Heston Model . . . . . . 289--325 M. Musiela and T. Zariphopoulou Portfolio Choice under Space-Time Monotone Performance Criteria . . . . . 326--365 Imen Ben Tahar and H. Mete Soner and Nizar Touzi Merton Problem with Taxes: Characterization, Computation, and Approximation . . . . . . . . . . . . . 366--395 Ilya Molchanov and Michael Schmutz Multivariate Extension of Put-Call Symmetry . . . . . . . . . . . . . . . . 396--426 Christian Y. Robert and Mathieu Rosenbaum On the Microstructural Hedging Error . . 427--453 Peter Hepperger Option Pricing in Hilbert Space-Valued Jump-Diffusion Models Using Partial Integro-Differential Equations . . . . . 454--489 Aurélien Alfonsi and Alexander Schied Optimal Trade Execution and Absence of Price Manipulations in Limit Order Book Models . . . . . . . . . . . . . . . . . 490--522 Damir Filipovi\'c and Stefan Tappe and Josef Teichmann Term Structure Models Driven by Wiener Processes and Poisson Measures: Existence and Positivity . . . . . . . . 523--554 Rama Cont and Romain Deguest and Yu Hang Kan Default Intensities Implied by CDO Spreads: Inversion Formula and Model Calibration . . . . . . . . . . . . . . 555--585 Marco Avellaneda and Stanley Zhang Path-Dependence of Leveraged ETF Returns 586--603 L. C. G. Rogers Dual Valuation and Hedging of Bermudan Options . . . . . . . . . . . . . . . . 604--608 Archil Gulisashvili Asymptotic Formulas with Error Estimates for Call Pricing Functions and the Implied Volatility at Extreme Strikes 609--641 Eymen Errais and Kay Giesecke and Lisa R. Goldberg Affine Point Processes and Portfolio Credit Risk . . . . . . . . . . . . . . 642--665 Alain Bensoussan and J. David Diltz and SingRu Hoe Real Options Games in Complete and Incomplete Markets with Several Decision Makers . . . . . . . . . . . . . . . . . 666--728 Juri Hinz and Max Fehr Storage Costs in Commodity Option Pricing . . . . . . . . . . . . . . . . 729--751 L. Putzig and D. Becherer and I. Horenko Optimal Allocation of a Futures Portfolio Utilizing Numerical Market Phase Detection . . . . . . . . . . . . 752--779 M. Dai and Q. Zhang and Q. J. Zhu Trend Following Trading under a Regime Switching Model . . . . . . . . . . . . 780--810 Volker Krätschmer and John Schoenmakers Representations for Optimal Stopping under Dynamic Monetary Utility Functionals . . . . . . . . . . . . . . 811--832 Francesco Corielli and Paolo Foschi and Andrea Pascucci Parametrix Approximation of Diffusion Transition Densities . . . . . . . . . . 833--867 K. Giesecke and H. Kakavand and M. Mousavi and H. Takada Exact and Efficient Simulation of Correlated Defaults . . . . . . . . . . 868--896 Idris Kharroubi and Huyên Pham Optimal Portfolio Liquidation with Execution Cost and Risk . . . . . . . . 897--931 Sungwoo Park and Dianne P. O'Leary Portfolio Selection Using Tikhonov Filtering to Estimate the Covariance Matrix . . . . . . . . . . . . . . . . . 932--961
Takuji Arai Good Deal Bounds Induced by Shortfall Risk . . . . . . . . . . . . . . . . . . 1--21 Mark Davis and Sébastien Lleo Jump-Diffusion Risk-Sensitive Asset Management I: Diffusion Factor Model . . 22--54 Mats Brodén and Magnus Wiktorsson On the Convergence of Higher Order Hedging Schemes: The Delta--Gamma Case 55--78 Sergei Levendorskii Convergence of Price and Sensitivities in Carr's Randomization Approximation Globally and Near Barrier . . . . . . . 79--111 Rama Cont and Yu Hang Kan Dynamic Hedging of Portfolio Credit Derivatives . . . . . . . . . . . . . . 112--140 A. M. G. Cox and Jan Obloj Robust Hedging of Double Touch Barrier Options . . . . . . . . . . . . . . . . 141--182 Silviu Predoiu and Gennady Shaikhet and Steven Shreve Optimal Execution in a General One-Sided Limit-Order Book . . . . . . . . . . . . 183--212 Mathias Beiglböck and Peter Friz and Stephan Sturm Is the Minimum Value of an Option on Variance Generated by Local Volatility? 213--220 Jean-Pierre Fouque and Matthew J. Lorig A Fast Mean-Reverting Correction to Heston's Stochastic Volatility Model . . 221--254 Lech A. Grzelak and Cornelis W. Oosterlee On the Heston Model with Stochastic Interest Rates . . . . . . . . . . . . . 255--286 Rama Cont and Nicolas Lantos and Olivier Pironneau A Reduced Basis for Option Pricing . . . 287--316 Rudra P. Jena and Peter Tankov Arbitrage Opportunities in Misspecified Stochastic Volatility Models . . . . . . 317--341 Frédéric Abergel and Nicolas Millot Nonquadratic Local Risk-Minimization for Hedging Contingent Claims in Incomplete Markets . . . . . . . . . . . . . . . . 342--356 Marco Frittelli and Marco Maggis Dual Representation of Quasi-convex Conditional Maps . . . . . . . . . . . . 357--382 Gianluca Fusai and Daniele Marazzina and Marina Marena Pricing Discretely Monitored Asian Options by Maturity Randomization . . . 383--403 Bruno Bouchard and Ngoc-Minh Dang and Charles-Albert Lehalle Optimal Control of Trading Algorithms: a General Impulse Control Approach . . . . 404--438 Fang Fang and Cornelis W. Oosterlee A Fourier-Based Valuation Method for Bermudan and Barrier Options under Heston's Model . . . . . . . . . . . . . 439--463 Sebastian Jaimungal and Vladimir Surkov Lévy-Based Cross-Commodity Models and Derivative Valuation . . . . . . . . . . 464--487 Michael Ludkovski Stochastic Switching Games and Duopolistic Competition in Emissions Markets . . . . . . . . . . . . . . . . 488--511 Jonathan Goodman and Daniel N. Ostrov An Option to Reduce Transaction Costs 512--537 B. Jourdain and M. H. Vellekoop Regularity of the Exercise Boundary for American Put Options on Assets with Discrete Dividends . . . . . . . . . . . 538--561 Christian Bender Primal and Dual Pricing of Multiple Exercise Options in Continuous Time . . 562--586 Pierre Del Moral and Peng Hu and Nadia Oudjane and Bruno Rémillard On the Robustness of the Snell Envelope 587--626 N. Bush and B. M. Hambly and H. Haworth and L. Jin and C. Reisinger Stochastic Evolution Equations in Portfolio Credit Modelling . . . . . . . 627--664 Jean-Pierre Fouque and Sebastian Jaimungal and Matthew J. Lorig Spectral Decomposition of Option Prices in Fast Mean-Reverting Stochastic Volatility Models . . . . . . . . . . . 665--691 Xinzheng Huang and Cornelis W. Oosterlee Saddlepoint Approximations for Expectations and an Application to CDO Pricing . . . . . . . . . . . . . . . . 692--714 Zhijian Wu and Chunhui Yu and Xiaohua Zheng Managing Risk with Short-Term Futures Contracts . . . . . . . . . . . . . . . 715--726 Baojun Bian and Sheng Miao and Harry Zheng Smooth Value Functions for a Class of Nonsmooth Utility Maximization Problems 727--747 Gordana Dmitrasinovi\'c-Vidovi\'c and Antony Ware Optimal Portfolios of Mean-Reverting Instruments . . . . . . . . . . . . . . 748--767 Tim Leung and Mike Ludkovski Optimal Timing to Purchase Options . . . 768--793 Peter Carr and Sergey Nadtochiy Static Hedging under Time-Homogeneous Diffusions . . . . . . . . . . . . . . . 794--838 Robert Jarrow and Younes Kchia and Philip Protter How to Detect an Asset Bubble . . . . . 839--865 El Hadj Aly Dia and Damien Lamberton Continuity Correction for Barrier Options in Jump-Diffusion Models . . . . 866--900 Wen Cheng and Nick Costanzino and John Liechty and Anna Mazzucato and Victor Nistor Closed-Form Asymptotics and Numerical Approximations of $1$D Parabolic Equations with Applications to Option Pricing . . . . . . . . . . . . . . . . 901--934 Richard Jordan and Charles Tier Asymptotic Approximations to Deterministic and Stochastic Volatility Models . . . . . . . . . . . . . . . . . 935--964 Paul V. Johnson and Nicholas J. Sharp and Peter W. Duck and David P. Newton A Bridge between American and European Options: The ``Ameripean'' Delayed-Exercise Model . . . . . . . . . 965--988 Marie Bernhart and Peter Tankov and Xavier Warin A Finite-Dimensional Approximation for Pricing Moving Average Options . . . . . 989--1013 Wahid Faidi and Anis Matoussi and Mohamed Mnif Maximization of Recursive Utilities: a Dynamic Maximum Principle Approach . . . 1014--1041 Sophie Laruelle and Charles-Albert Lehalle and Gilles Pag\`es Optimal Split of Orders Across Liquidity Pools: a Stochastic Algorithm Approach 1042--1076
Ivar Ekeland and Oumar Mbodji and Traian A. Pirvu Time-Consistent Portfolio Management . . 1--32 José E. Figueroa-López and Martin Forde The Small-Maturity Smile for Exponential Lévy Models . . . . . . . . . . . . . . . 33--65 Johannes Muhle-Karbe and Oliver Pfaffel and Robert Stelzer Option Pricing in Multivariate Stochastic Volatility Models of OU Type 66--94 Akihiko Takahashi and Toshihiro Yamada An Asymptotic Expansion with Push-Down of Malliavin Weights . . . . . . . . . . 95--136 Paul Glasserman and Sira Suchintabandid Quadratic Transform Approximation for CDO Pricing in Multifactor Models . . . 137--162 Robert Almgren Optimal Trading with Stochastic Liquidity and Volatility . . . . . . . . 163--181 Peter Carr and Laurent Cousot Explicit Constructions of Martingales Calibrated to Given Implied Volatility Smiles . . . . . . . . . . . . . . . . . 182--214 Sam Howison Asymptotic Approximations for Asian, European, and American Options with Discrete Averaging or Discrete Dividend/Coupon Payments . . . . . . . . 215--241 L. Campi and M. Del Vigna Weak Insider Trading and Behavioral Finance . . . . . . . . . . . . . . . . 242--279 Patrick Cheridito and Ashkan Nikeghbali and Eckhard Platen Processes of Class Sigma, Last Passage Times, and Drawdowns . . . . . . . . . . 280--303 Nicole Bäuerle and Sebastian P. Urban and Luitgard A. M. Veraart The Relaxed Investor with Partial Information . . . . . . . . . . . . . . 304--327 Patrick Cheridito and Alexander Wugalter Pricing and Hedging in Affine Models with Possibility of Default . . . . . . 328--350 Erhan Bayraktar and Constantinos Kardaras and Hao Xing Valuation Equations for Stochastic Volatility Models . . . . . . . . . . . 351--373 J. Orozco Rodriguez and F. Santosa Estimation of Asset Distributions from Option Prices: Analysis and Regularization . . . . . . . . . . . . . 374--401 Damir Filipovi\'c and Michael Kupper and Nicolas Vogelpoth Approaches to Conditional Risk . . . . . 402--432 Maxim Bichuch Asymptotic Analysis for Optimal Investment in Finite Time with Transaction Costs . . . . . . . . . . . 433--458 C. Reisinger and J. H. Witte On the Use of Policy Iteration as an Easy Way of Pricing American Options . . 459--478 L. A. Abbas-Turki and B. Lapeyre American Options by Malliavin Calculus and Nonparametric Variance and Bias Reduction Methods . . . . . . . . . . . 479--510 Aurélien Alfonsi and Alexander Schied and Alla Slynko Order Book Resilience, Price Manipulation, and the Positive Portfolio Problem . . . . . . . . . . . . . . . . 511--533 D. Crisan and K. Manolarakis Solving Backward Stochastic Differential Equations Using the Cubature Method: Application to Nonlinear Pricing . . . . 534--571 Michael B. Giles and Christoph Reisinger Stochastic Finite Differences and Multilevel Monte Carlo for a Class of SPDEs in Finance . . . . . . . . . . . . 572--592 Christopher Beveridge and Mark Joshi Interpolation Schemes in the Displaced-Diffusion LIBOR Market Model 593--604 Agostino Capponi and Jaksa Cvitani\'c and Türkay Yolcu A Variational Approach to Contracting under Imperfect Observations . . . . . . 605--638 Daniel Bauer and Fred Espen Benth and Rüdiger Kiesel Modeling the Forward Surface of Mortality . . . . . . . . . . . . . . . 639--666 Alain Bensoussan and ZhongFeng Yan and G. Yin Threshold-Type Policies for Real Options Using Regime-Switching Models . . . . . 667--689 Martin Forde and Antoine Jacquier and Roger Lee The Small-Time Smile and Term Structure of Implied Volatility under the Heston Model . . . . . . . . . . . . . . . . . 690--708 Sam Howison and Daniel Schwarz Risk-Neutral Pricing of Financial Instruments in Emission Markets: a Structural Approach . . . . . . . . . . 709--739 Olivier Guéant and Charles-Albert Lehalle and Joaquin Fernandez-Tapia Optimal Portfolio Liquidation with Limit Orders . . . . . . . . . . . . . . . . . 740--764
Rama Cont and Adrien de Larrard Price Dynamics in a Markovian Limit Order Market . . . . . . . . . . . . . . 1--25 Maxim Bichuch and Steven Shreve Utility Maximization Trading Two Futures with Transaction Costs . . . . . . . . . 26--85 John Schoenmakers and Jianing Zhang and Junbo Huang Optimal Dual Martingales, Their Analysis, and Application to New Algorithms for Bermudan Products . . . . 86--116 Markus Mocha and Nicholas Westray The Stability of the Constrained Utility Maximization Problem: a BSDE Approach 117--150 Josselin Garnier and George Papanicolaou and Tzu-Wei Yang Large Deviations for a Mean Field Model of Systemic Risk . . . . . . . . . . . . 151--184 Peter Carr and Travis Fisher and Johannes Ruf Why Are Quadratic Normal Volatility Models Analytically Tractable? . . . . . 185--202 Ren Liu and Johannes Muhle-Karbe Portfolio Selection with Small Transaction Costs and Binding Portfolio Constraints . . . . . . . . . . . . . . 203--227 Sara Biagini and Mustafa Ç. Pinar The Best Gain-Loss Ratio is a Poor Performance Measure . . . . . . . . . . 228--242 Francesca Biagini and Irene Schreiber Risk-Minimization for Life Insurance Liabilities . . . . . . . . . . . . . . 243--264 Stefano Pagliarani and Andrea Pascucci and Candia Riga Adjoint Expansions in Local Lévy Models 265--296 Etienne Chevalier and Vathana Ly Vath and Simone Scotti An Optimal Dividend and Investment Control Problem under Debt Constraints 297--326 Nico Achtsis and Ronald Cools and Dirk Nuyens Conditional Sampling for Barrier Option Pricing under the LT Method . . . . . . 327--352 Carole Bernard and Wenbo V. Li Pricing and Hedging of Cliquet Options and Locally Capped Contracts . . . . . . 353--371 Liming Feng and Xiong Lin Inverting Analytic Characteristic Functions and Financial Applications . . 372--398 B. Zhang and C. W. Oosterlee Efficient Pricing of European-Style Asian Options under Exponential Lévy Processes Based on Fourier Cosine Expansions . . . . . . . . . . . . . . . 399--426 Antony Ware Accurate Semi-Lagrangian Time Stepping for Stochastic Optimal Control Problems with Application to the Valuation of Natural Gas Storage . . . . . . . . . . 427--451 Jun Sekine Long-Term Optimal Investment with a Generalized Drawdown Constraint . . . . 452--473 Liming Feng and Xiong Lin Pricing Bermudan Options in Lévy Process Models . . . . . . . . . . . . . . . . . 474--493 Sergey Nadtochiy and Thaleia Zariphopoulou An Approximation Scheme for Solution to the Optimal Investment Problem in Incomplete Markets . . . . . . . . . . . 494--538 S. D. Howison and C. Reisinger and J. H. Witte The Effect of Nonsmooth Payoffs on the Penalty Approximation of American Options . . . . . . . . . . . . . . . . 539--574 Philipp Dörsek and Josef Teichmann Efficient Simulation and Calibration of General HJM Models by Splitting Schemes 575--598 Angelos Dassios and Jia Wei Lim Parisian Option Pricing: a Recursive Solution for the Density of the Parisian Stopping Time . . . . . . . . . . . . . 599--615 Ernst Eberlein and Zorana Grbac and Thorsten Schmidt Discrete Tenor Models for Credit Risky Portfolios Driven by Time-Inhomogeneous Lévy Processes . . . . . . . . . . . . . 616--649 Jean-Baptiste Monnier Risk-Neutral Density Recovery via Spectral Analysis . . . . . . . . . . . 650--667 Stefan Ankirchner and Peter Kratz and Thomas Kruse Hedging Forward Positions: Basis Risk Versus Liquidity Costs . . . . . . . . . 668--696 El Karoui Nicole and Mrad Mohamed An Exact Connection between Two Solvable SDEs and a Nonlinear Utility Stochastic PDE . . . . . . . . . . . . . . . . . . 697--736 Noureddine El Karoui On the Realized Risk of High-Dimensional Markowitz Portfolios . . . . . . . . . . 737--783 Jean-Pierre Fouque and Tomoyuki Ichiba Stability in a Model of Interbank Lending . . . . . . . . . . . . . . . . 784--803 Antoine Jacquier and Matthew Lorig The Smile of Certain Lévy-Type Models . . 804--830 Antoine Jacquier and Patrick Roome The Small-Maturity Heston Forward Smile 831--856 Xinfu Chen and Min Dai Characterization of Optimal Strategy for Multiasset Investment and Consumption with Transaction Costs . . . . . . . . . 857--883 Michael Monoyios Malliavin Calculus Method for Asymptotic Expansion of Dual Control Problems . . . 884--915 Andrew Papanicolaou Dimension Reduction in Discrete Time Portfolio Optimization with Partial Information . . . . . . . . . . . . . . 916--960
Claus Griessler and Martin Keller-Ressel Convex Order of Discrete, Continuous, and Predictable Quadratic Variation and Applications to Options on Variance . . 1--19 Erhan Bayraktar and Zhou Zhou On Controller-Stopper Problems with Jumps and Their Applications to Indifference Pricing of American Options 20--49 Alberto Bressan and Giancarlo Facchi Discrete Bidding Strategies for a Random Incoming Order . . . . . . . . . . . . . 50--70 Fred Espen Benth and Heidar Eyjolfsson and Almut E. D. Veraart Approximating Lévy Semistationary Processes via Fourier Methods in the Context of Power Markets . . . . . . . . 71--98 Ban Zheng and François Roueff and Frédéric Abergel Modelling Bid and Ask Prices Using Constrained Hawkes Processes: Ergodicity and Scaling Limit . . . . . . . . . . . 99--136 Peter Bank and Antje Fruth Optimal Order Scheduling for Deterministic Liquidity Patterns . . . . 137--152 A. Bensoussan and K. C. Wong and S. C. P. Yam and S. P. Yung Time-Consistent Portfolio Selection under Short-Selling Prohibition: From Discrete to Continuous Setting . . . . . 153--190 René A\"\id and Luciano Campi and Nicolas Langrené and Huyên Pham A Probabilistic Numerical Method for Optimal Multiple Switching Problems in High Dimension . . . . . . . . . . . . . 191--231 Xiao Li and Michael D. Lipkin and Richard B. Sowers Dynamics of Bankrupt Stocks . . . . . . 232--257 Christoph Czichowsky and Johannes Muhle-Karbe and Walter Schachermayer Transaction Costs, Shadow Prices, and Duality in Discrete Time . . . . . . . . 258--277 Ulrich Horst and Felix Naujokat When to Cross the Spread? Trading in Two-Sided Limit Order Books . . . . . . 278--315 Martin Haugh and Chun Wang Dynamic Portfolio Execution and Information Relaxations . . . . . . . . 316--359 Jean-Pierre Fouque and Bin Ren Approximation for Option Prices under Uncertain Volatility . . . . . . . . . . 360--383 N. Frikha Shortfall Risk Minimization in Discrete Time Financial Market Models . . . . . . 384--414 Álvaro Cartea and Sebastian Jaimungal and Jason Ricci Buy Low, Sell High: a High Frequency Trading Perspective . . . . . . . . . . 415--444 Olivier Guéant and Guillaume Royer VWAP Execution and Guaranteed VWAP . . . 445--471 Winslow Strong Generalizations of Functionally Generated Portfolios with Applications to Statistical Arbitrage . . . . . . . . 472--492 Alessandro Gnoatto and Martino Grasselli An Affine Multicurrency Model with Stochastic Volatility and Stochastic Interest Rates . . . . . . . . . . . . . 493--531 G. N. Milstein and V. Spokoiny Construction of Mean-Self-Financing Strategies for European Options under Regime-Switching . . . . . . . . . . . . 532--556 Juan Miguel Montes and Valentina Prezioso and Wolfgang J. Runggaldier Monte Carlo Variance Reduction by Conditioning for Pricing with Underlying a Continuous-Time Finite State Markov Process . . . . . . . . . . . . . . . . 557--580 Matteo Basei and Annalisa Cesaroni and Tiziano Vargiolu Optimal Exercise of Swing Contracts in Energy Markets: an Integral Constrained Stochastic Optimal Control Problem . . . 581--608 Takuji Arai Convex Risk Measures for C\`adl\`ag Processes on Orlicz Hearts . . . . . . . 609--625 Michail Anthropelos Forward Exponential Performances: Pricing and Optimal Risk Sharing . . . . 626--655 Thorsten Rheinländer and Michael Schmutz Quasi--Self-Dual Exponential Lévy Processes . . . . . . . . . . . . . . . 656--684 Fred Espen Benth and Salvador Ortiz-Latorre A Pricing Measure to Explain the Risk Premium in Power Markets . . . . . . . . 685--728 S. M. Ould Aly Option Pricing for Stochastic Volatility Models: Vol-of-Vol Expansion . . . . . . 729--752 Nora Imkeller and L. C. G. Rogers Trading to Stops . . . . . . . . . . . . 753--781
Nicole El Karoui and Monique Jeanblanc and Ying Jiao Density Approach in Modeling Successive Defaults . . . . . . . . . . . . . . . . 1--21 Martin Altmayer and Andreas Neuenkirch Multilevel Monte Carlo Quadrature of Discontinuous Payoffs in the Generalized Heston Model Using Malliavin Integration by Parts . . . . . . . . . . . . . . . . 22--52 Hsuan-Ku Liu Properties of American Volatility Options in the Mean-Reverting $ 3 / 2 $ Volatility Model . . . . . . . . . . . . 53--65 Huy N. Chau and Peter Tankov Market Models with Optimal Arbitrage . . 66--85 Konstantinos Spiliopoulos and Richard B. Sowers Default Clustering in Large Pools: Large Deviations . . . . . . . . . . . . . . . 86--116 P. Azimzadeh and P. A. Forsyth The Existence of Optimal Bang-Bang Controls for GMxB Contracts . . . . . . 117--139 Constantinos Kardaras Valuation and Parities for Exchange Options . . . . . . . . . . . . . . . . 140--157 Archil Gulisashvili and Josep Vives Asymptotic Analysis of Stock Price Densities and Implied Volatilities in Mixed Stochastic Models . . . . . . . . 158--188 Robert Jarrow and Philip Protter Liquidity Suppliers and High Frequency Trading . . . . . . . . . . . . . . . . 189--200 Mathieu S. Dubois and Luitgard A. M. Veraart Optimal Diversification in the Presence of Parameter Uncertainty for a Risk Averse Investor . . . . . . . . . . . . 201--241 Cheng Li and Hao Xing Asymptotic Glosten--Milgrom Equilibrium 242--280 Xin Guo and Mihail Zervos Optimal Execution with Multiplicative Price Impact . . . . . . . . . . . . . . 281--306 Antoine Jacquier and Patrick Roome Asymptotics of Forward Implied Volatility . . . . . . . . . . . . . . . 307--351 Adam W. Kolkiewicz On Suboptimality of Delta Hedging for Asian Options . . . . . . . . . . . . . 352--385 Lijun Bo and Agostino Capponi Systemic Risk in Interbanking Networks 386--424 Erhan Bayraktar and Yu-Jui Huang and Zhou Zhou On Hedging American Options under Model Uncertainty . . . . . . . . . . . . . . 425--447 Denis Belomestny and Fabian Dickmann and Tigran Nagapetyan Pricing Bermudan Options via Multilevel Approximation Methods . . . . . . . . . 448--466 Carlos Abad and Garud Iyengar Portfolio Selection with Multiple Spectral Risk Constraints . . . . . . . 467--486 Tim Leung and Haohua Wan ESO Valuation with Job Termination Risk and Jumps in Stock Price . . . . . . . . 487--516 Miklós Rásonyi Optimal Investment with Nonconcave Utilities in Discrete-Time Markets . . . 517--529 Francesca Biagini and Sorin Nedelcu The Formation of Financial Bubbles in Defaultable Markets . . . . . . . . . . 530--558 Andrew Ahn and Martin Haugh and Ashish Jain Consistent Pricing of Options on Leveraged ETFs . . . . . . . . . . . . . 559--593 Tomasz R. Bielecki and Marek Rutkowski Valuation and Hedging of Contracts with Funding Costs and Collateralization . . 594--655 Pietro Fodra and Huyên Pham High Frequency Trading and Asymptotics for Small Risk Aversion in a Markov Renewal Model . . . . . . . . . . . . . 656--684 O. Burkovska and B. Haasdonk and J. Salomon and B. Wohlmuth Reduced Basis Methods for Pricing Options with the Black--Scholes and Heston Models . . . . . . . . . . . . . 685--712 J. Lars Kirkby Efficient Option Pricing by Frame Duality with the Fast Fourier Transform 713--747 Robert B. Gramacy and Michael Ludkovski Sequential Design for Optimal Stopping Problems . . . . . . . . . . . . . . . . 748--775 Ruodu Wang and Valeria Bignozzi and Andreas Tsanakas How Superadditive Can a Risk Measure Be? 776--803 Robert A. Jarrow and Martin Larsson Informational Efficiency under Short Sale Constraints . . . . . . . . . . . . 804--824 Fred Espen Benth and Paul Krühner Derivatives Pricing in Energy Markets: an Infinite-Dimensional Approach . . . . 825--869 Patrick Chan and Ronnie Sircar and Michael V. Stein A Feedback Model for the Financialization of Commodity Markets 870--899 Liliana Forzani and Carlos F. Tolmasky On the Level-Slope-Curvature Effect in Yield Curves and Eventual Total Positivity . . . . . . . . . . . . . . . 900--918 Emmanuel Gobet and Stefano Pagliarani Analytical Approximations of BSDEs with Nonsmooth Driver . . . . . . . . . . . . 919--958 Agostino Capponi and Christoph Frei Dynamic Contracting: Accidents Lead to Nonlinear Contracts . . . . . . . . . . 959--983 Zorana Grbac and Antonis Papapantoleon and John Schoenmakers and David Skovmand Affine LIBOR Models with Multiple Curves: Theory, Examples and Calibration 984--1025 Frédéric Abergel and Aymen Jedidi Long-Time Behavior of a Hawkes Process-Based Limit Order Book . . . . . 1026--1043 Torsten Schöneborn Optimal Trade Execution for Time-Inconsistent Mean-Variance Criteria and Risk Functions . . . . . . . . . . . 1044--1067 Tomasz R. Bielecki and Igor Cialenco and Tao Chen Dynamic Conic Finance via Backward Stochastic Difference Equations . . . . 1068--1122 Kyle Bechler and Michael Ludkovski Optimal Execution with Dynamic Order Flow Imbalance . . . . . . . . . . . . . 1123--1151 Erick Trevinño-Aguilar Duality in a Problem of Static Partial Hedging under Convex Constraints . . . . 1152--1170 Stefano De Marco and Pierre Henry-Labord\`ere Linking Vanillas and VIX Options: a Constrained Martingale Optimal Transport Problem . . . . . . . . . . . . . . . . 1171--1194 Hamed Amini and Andreea Minca and Agn\`es Sulem Control of Interbank Contagion Under Partial Information . . . . . . . . . . 1195--1219 Michael Ho and Zheng Sun and Jack Xin Weighted Elastic Net Penalized Mean-Variance Portfolio Design and Computation . . . . . . . . . . . . . . 1220--1244
Álvaro Cartea and Sebastian Jaimungal and Zhen Qin Model Uncertainty in Commodity Markets 1--33 Jiatu Cai and Masaaki Fukasawa and Mathieu Rosenbaum and Peter Tankov Optimal Discretization of Hedging Strategies with Directional Views . . . 34--69 Julio D. Backhoff Veraguas and Joaquín Fontbona Robust Utility Maximization without Model Compactness . . . . . . . . . . . 70--103 Emmanuel Lepinette Robust No Arbitrage of the Second Kind with a Continuum of Assets and Proportional Transaction Costs . . . . . 104--123 Danlin Hou and Zuo Quan Xu A Robust Markowitz Mean-Variance Portfolio Selection Model with an Intractable Claim . . . . . . . . . . . 124--151 Geliang Zhang and Hugh Christensen and Guolong Li and Simon Godsill A Correction Note for Price Dynamics in a Markovian Limit Order Market . . . . . 152--158 Pierre Henry-Labord\`ere and Christian Litterer and Zhenjie Ren A Dual Algorithm for Stochastic Control Problems: Applications to Uncertain Volatility Models and CVA . . . . . . . 159--182 Erhan Bayraktar and S. David Promislow and Virginia R. Young Purchasing Term Life Insurance to Reach a Bequest Goal while Consuming . . . . . 183--214 Bruno Bouchard and Géraldine Bouveret and Jean-François Chassagneux A Backward Dual Representation for the Quantile Hedging of Bermudan Options . . 215--235 Aych Bouselmi and Damien Lamberton The Critical Price of the American Put Near Maturity in the Jump Diffusion Model . . . . . . . . . . . . . . . . . 236--272 Matthew Lorig and Oriol Lozano-Carbassé and Rafael Mendoza-Arriaga Variance Swaps on Defaultable Assets and Market Implied Time-Changes . . . . . . 273--307 Ismail Laachir and Francesco Russo BSDEs, C\`adl\`ag Martingale Problems, and Orthogonalization under Basis Risk 308--356 Erik Ekström and Juozas Vaicenavicius Optimal Liquidation of an Asset under Drift Uncertainty . . . . . . . . . . . 357--381 Andrea Granelli and Almut E. D. Veraart Modeling the Variance Risk Premium of Equity Indices: The Role of Dependence and Contagion . . . . . . . . . . . . . 382--417 Matthew Lorig and Ronnie Sircar Portfolio Optimization under Local-Stochastic Volatility: Coefficient Taylor Series Approximations and Implied Sharpe Ratio . . . . . . . . . . . . . . 418--447 Martin Forde and Hongzhong Zhang Small-Time Asymptotics for Basket Options --- the Bivariate SABR Model and the Hyperbolic Heat Kernel on $ \mathbb {H}^3 $ . . . . . . . . . . . . . . . . 448--476 Julio Backhoff and Ulrich Horst Conditional Analysis and a Principal-Agent Problem . . . . . . . . 477--507 Bruno Bouchard and Ludovic Moreau and H. Mete Soner Hedging Under an Expected Loss Constraint with Small Transaction Costs 508--551 Chris Jones and Xinfu Chen Optimal Mortgage Prepayment Under the Cox--Ingersoll--Ross Model . . . . . . . 552--566 Dmitry Kramkov and Sergio Pulido Stability and Analytic Expansions of Local Solutions of Systems of Quadratic BSDEs with Applications to a Price Impact Model . . . . . . . . . . . . . . 567--587 Mykhaylo Shkolnikov and Ronnie Sircar and Thaleia Zariphopoulou Asymptotic Analysis of Forward Performance Processes in Incomplete Markets and Their Ill-Posed HJB Equations . . . . . . . . . . . . . . . 588--618 Gaoyue Guo and Antoine Jacquier and Claude Martini and Leo Neufcourt Generalized Arbitrage-Free SVI Volatility Surfaces . . . . . . . . . . 619--641 Pierre Garreau and Alec Kercheval A Structural Jump Threshold Framework for Credit Risk . . . . . . . . . . . . 642--673 David Hobson and Yeqi Zhu Optimal Consumption and Sale Strategies for a Risk Averse Agent . . . . . . . . 674--719 Francesco Caravenna and Jacopo Corbetta General Smile Asymptotics with Bounded Maturity . . . . . . . . . . . . . . . . 720--759 Álvaro Cartea and Sebastian Jaimungal A Closed-Form Execution Strategy to Target Volume Weighted Average Price . . 760--785 Chi Seng Pun and Hoi Ying Wong Resolution of Degeneracy in Merton's Portfolio Problem . . . . . . . . . . . 786--811 Matteo Burzoni Arbitrage and Hedging in Model-Independent Markets with Frictions 812--844 J. Lars Kirkby An Efficient Transform Method for Asian Option Pricing . . . . . . . . . . . . . 845--892 Michael R. Tehranchi Uniform Bounds for Black--Scholes Implied Volatility . . . . . . . . . . . 893--916 Radu Baltean-Lugojan and Panos Parpas Robust Numerical Calibration for Implied Volatility Expansion Models . . . . . . 917--946 Dan Pirjol and Lingjiong Zhu Short Maturity Asian Options in Local Volatility Models . . . . . . . . . . . 947--992 Jean-François Chassagneux and Antoine Jacquier and Ivo Mihaylov An Explicit Euler Scheme with Strong Rate of Convergence for Financial SDEs with Non-Lipschitz Coefficients . . . . 993--1021
Yao Tung Huang and Qingshuo Song and Harry Zheng Weak Convergence of Path-Dependent SDEs in Basket Credit Default Swap Pricing with Contagion Risk . . . . . . . . . . 1--27 E. Nicolato and C. Pisani and D. Sloth The Impact of Jump Distributions on the Implied Volatility of Variance . . . . . 28--53 Erwan Pierre and Stéphane Villeneuve and Xavier Warin Numerical Approximation of a Cash-Constrained Firm Value with Investment Opportunities . . . . . . . . 54--81 John Armstrong and Martin Forde and Matthew Lorig and Hongzhong Zhang Small-Time Asymptotics under Local-Stochastic Volatility with a Jump-to-Default: Curvature and the Heat Kernel Expansion . . . . . . . . . . . . 82--113 Martin Forde and Hongzhong Zhang Asymptotics for Rough Stochastic Volatility Models . . . . . . . . . . . 114--145 Giuseppe Campolieti and Roman N. Makarov Solvable Diffusion Models with Linear and Mean-Reverting Nonlinear Drifts . . 146--170 Rene Carmona and Yi Ma and Sergey Nadtochiy Simulation of Implied Volatility Surfaces via Tangent Lévy Models . . . . 171--213 Xue Dong He and Roy Kouwenberg and Xun Yu Zhou Rank-Dependent Utility and Risk Taking in Complete Markets . . . . . . . . . . 214--239 Anatoliy Swishchuk and Nelson Vadori A Semi-Markovian Modeling of Limit Order Markets . . . . . . . . . . . . . . . . 240--273 Yannick Armenti and Stéphane Crépey Central Clearing Valuation Adjustment 274--313 Ulrich Horst and Dörte Kreher A Weak Law of Large Numbers for a Limit Order Book Model with Fully State Dependent Order Dynamics . . . . . . . . 314--343 Gechun Liang and Thaleia Zariphopoulou Representation of Homothetic Forward Performance Processes in Stochastic Factor Models via Ergodic and Infinite Horizon BSDE . . . . . . . . . . . . . . 344--372 Elisa Al\`os and Jorge A. León On the Curvature of the Smile in Stochastic Volatility Models . . . . . . 373--399 Scott Robertson and Hao Xing Long-Term Optimal Investment in Matrix Valued Factor Models . . . . . . . . . . 400--434 Jana Bielagk and Arnaud Lionnet and Gonçalo Dos Reis Equilibrium Pricing Under Relative Performance Concerns . . . . . . . . . . 435--482 Michael Mania and Revaz Tevzadze On Regularity of Primal and Dual Dynamic Value Functions Related to Investment Problems and Their Representations as Backward Stochastic PDE Solutions . . . 483--503 Anja Richter and Josef Teichmann Discrete Time Term Structure Theory and Consistent Recalibration Models . . . . 504--531 Roxana Dumitrescu and Marie-Claire Quenez and Agn\`es Sulem Game Options in an Imperfect Market with Default . . . . . . . . . . . . . . . . 532--559 Josselin Garnier and Knut Sòlna Correction to Black--Scholes Formula Due to Fractional Stochastic Volatility . . 560--588 Alexander Schied and Elias Strehle and Tao Zhang High-Frequency Limit of Nash Equilibria in a Market Impact Game with Transient Price Impact . . . . . . . . . . . . . . 589--634 Álvaro Cartea and Ryan Donnelly and Sebastian Jaimungal Algorithmic Trading with Model Uncertainty . . . . . . . . . . . . . . 635--671 Zachary Feinstein and Birgit Rudloff and Stefan Weber Measures of Systemic Risk . . . . . . . 672--708 S. De Marco and C. Hillairet and A. Jacquier Shapes of Implied Volatility with Positive Mass at Zero . . . . . . . . . 709--737 Patrick Cheridito and Michael Kupper and Ludovic Tangpi Duality Formulas for Robust Pricing and Hedging in Discrete Time . . . . . . . . 738--765 Maximilian Gaß and Kathrin Glau and Maximilian Mair Magic Points in Finance: Empirical Integration for Parametric Option Pricing . . . . . . . . . . . . . . . . 766--803 Yao Tung Huang and Pingping Zeng and Yue Kuen Kwok Optimal Initiation of Guaranteed Lifelong Withdrawal Benefit with Dynamic Withdrawals . . . . . . . . . . . . . . 804--840 Alberto Bressan and Antonio Marigonda and Khai T. Nguyen and Michele Palladino A Stochastic Model of Optimal Debt Management and Bankruptcy . . . . . . . 841--873 Weibing Huang and Mathieu Rosenbaum Ergodicity and Diffusivity of Markovian Order Book Models: a General Framework 874--900 Yuji Shinozaki Construction of a Third-Order $K$-Scheme and Its Application to Financial Models 901--932 Justin Sirignano and Konstantinos Spiliopoulos Stochastic Gradient Descent in Continuous Time . . . . . . . . . . . . 933--961 Ben Hambly and Nikolaos Kolliopoulos Stochastic Evolution Equations for Large Portfolios of Stochastic Volatility Models . . . . . . . . . . . . . . . . . 962--1014
Sergei Levendorskii Pricing Arithmetic Asian Options Under Lévy Models by Backward Induction in the Dual Space . . . . . . . . . . . . . . . 1--27 Carsten Chong and Claudia Klüppelberg Contagion in Financial Systems: a Bayesian Network Approach . . . . . . . 28--53 Minsuk Kwak and Traian A. Pirvu Cumulative Prospect Theory with Generalized Hyperbolic Skewed $t$ Distribution . . . . . . . . . . . . . . 54--89 Yannick Armenti and Stéphane Crépey and Samuel Drapeau and Antonis Papapantoleon Multivariate Shortfall Risk Allocation and Systemic Risk . . . . . . . . . . . 90--126 Andrei Cozma and Matthieu Mariapragassam and Christoph Reisinger Convergence of an Euler Scheme for a Hybrid Stochastic-Local Volatility Model with Stochastic Rates in Foreign Exchange Markets . . . . . . . . . . . . 127--170 Antoine Jacquier and Martin Keller-Ressel Implied Volatility in Strict Local Martingale Models . . . . . . . . . . . 171--189 Lujun Li and Hui Shao and Ruodu Wang and Jingping Yang Worst-Case Range Value-at-Risk with Partial Information . . . . . . . . . . 190--218 Jerome Detemple and Yerkin Kitapbayev American Options with Discontinuous Two-Level Caps . . . . . . . . . . . . . 219--250 Anastasia Borovykh and Andrea Pascucci and Cornelis W. Oosterlee Efficient Computation of Various Valuation Adjustments Under Local Lévy Models . . . . . . . . . . . . . . . . . 251--273 Shumin Chen and Zhongfei Li and Yan Zeng Optimal Dividend Strategy for a General Diffusion Process with Time-Inconsistent Preferences and Ruin Penalty . . . . . . 274--314 Zongjun Tan and Peter Tankov Optimal Trading Policies for Wind Energy Producer . . . . . . . . . . . . . . . . 315--346 José E. Figueroa-López and Ruoting Gong and Matthew Lorig Short-Time Expansions for Call Options on Leveraged ETFs Under Exponential Lévy Models with Local Volatility . . . . . . 347--380 Patrick Beissner and Laurent Denis Duality and General Equilibrium Theory Under Knightian Uncertainty . . . . . . 381--400
A. Papanicolaou Extreme-Strike Comparisons and Structural Bounds for SPX and VIX Options . . . . . . . . . . . . . . . . 401--434 Ankush Agarwal and Ronnie Sircar Portfolio Benchmarking Under Drawdown Constraint and Stochastic Sharpe Ratio 435--464 J. Frédéric Bonnans and Axel Kröner Variational Analysis for Options with Stochastic Volatility and Multiple Factors . . . . . . . . . . . . . . . . 465--492 Jérôme Lelong Dual Pricing of American Options by Wiener Chaos Expansion . . . . . . . . . 493--519 Zhenyu Cui and J. Lars Kirkby and Duy Nguyen A General Valuation Framework for SABR and Stochastic Local Volatility Models 520--563 Jean-Pierre Fouque and Ruimeng Hu Optimal Portfolio under Fast Mean-Reverting Fractional Stochastic Environment . . . . . . . . . . . . . . 564--601 Erhan Bayraktar and Yan Dolinsky and Jia Guo Recombining Tree Approximations for Optimal Stopping for Diffusions . . . . 602--633 M. Chazal and R. Loeffen and P. Patie Option Pricing in a One-Dimensional Affine Term Structure Model via Spectral Representations . . . . . . . . . . . . 634--664 Denis Belomestny and Stefan Häfner and Mikhail Urusov Regression-Based Complexity Reduction of the Nested Monte Carlo Methods . . . . . 665--689 Darinka Dentcheva and Andrzej Ruszczy\'nski Time-Coherent Risk Measures for Continuous-Time Markov Chains . . . . . 690--715 Blanka Horvath and Oleg Reichmann Dirichlet Forms and Finite Element Methods for the SABR Model . . . . . . . 716--754 Rohini Kumar and Hussein Nasralah Asymptotic Approximation of Optimal Portfolio for Small Time Horizons . . . 755--774 Thibaut Mastrolia and Zhenjie Ren Principal-Agent Problem with Common Agency Without Communication . . . . . . 775--799 Francesca Biagini and Andrea Mazzon and Thilo Meyer-Brandis Liquidity Induced Asset Bubbles via Flows of ELMMs . . . . . . . . . . . . . 800--834 Stefano De Marco and Peter K. Friz Local Volatility, Conditioned Diffusions, and Varadhan's Formula . . . 835--874
Antoine Jacquier and Hao Liu Optimal Liquidation in a Level-I Limit Order Book for Large-Tick Stocks . . . . 875--906 Damir Filipovi\'c and Sander Willems Exact Smooth Term-Structure Estimation 907--929 Maximilian Gaß and Kathrin Glau A Flexible Galerkin Scheme for Option Pricing in Lévy Models . . . . . . . . . 930--965 Gilles Pag\`es and Olivier Pironneau and Guillaume Sall The Parareal Algorithm for American Options . . . . . . . . . . . . . . . . 966--993 John Armstrong The Markowitz Category . . . . . . . . . 994--1016 Hamza Guennoun and Antoine Jacquier and Patrick Roome and Fangwei Shi Asymptotic Behavior of the Fractional Heston Model . . . . . . . . . . . . . . 1017--1045 David Landriault and Bin Li and Danping Li and Virginia R. Young Equilibrium Strategies for the Mean-Variance Investment Problem over a Random Horizon . . . . . . . . . . . . . 1046--1073 Alexander Schied and Leo Speiser and Iryna Voloshchenko Model-Free Portfolio Theory and Its Functional Master Formula . . . . . . . 1074--1101 Archil Gulisashvili Large Deviation Principle for Volterra Type Fractional Stochastic Volatility Models . . . . . . . . . . . . . . . . . 1102--1136
Jimmy Risk and Michael Ludkovski Sequential Design and Spatial Modeling for Portfolio Tail Risk Measurement . . 1137--1174 Jean-Pierre Fouque and Ning Ning Uncertain Volatility Models with Stochastic Bounds . . . . . . . . . . . 1175--1207 Takaki Hayashi and Yuta Koike Wavelet-Based Methods for High-Frequency Lead-Lag Analysis . . . . . . . . . . . 1208--1248 Ganna Marchenko and Patrick Gagliardini and Illia Horenko Towards a Computationally Tractable Maximum Entropy Principle for Nonstationary Financial Time Series . . 1249--1285 Zachary Feinstein and Weijie Pang and Birgit Rudloff and Eric Schaanning and Stephan Sturm and Mackenzie Wildman Sensitivity of the Eisenberg--Noe Clearing Vector to Individual Interbank Liabilities . . . . . . . . . . . . . . 1286--1325
Longjie Jia and Martijn Pistorius and Harry Zheng Dynamic Portfolio Optimization with Looping Contagion Risk . . . . . . . . . 1--36 Michael Kusnetsov and Luitgard Anna Maria Veraart Interbank Clearing in Financial Networks with Multiple Maturities . . . . . . . . 37--67 Maxim Bichuch and Zachary Feinstein Optimization of Fire Sales and Borrowing in Systemic Risk . . . . . . . . . . . . 68--88 Antoine Jacquier and Fangwei Shi The Randomized Heston Model . . . . . . 89--129 Cong Qin and Xinfu Chen On Balanced Growth Path Solutions of a Knowledge Diffusion and Growth Model . . 130--155 Alain Bensoussan and SingRu Celine Hoe and Zhongfeng Yan A Mean-Variance Approach to Capital Investment Optimization . . . . . . . . 156--180 Andrei Cozma and Matthieu Mariapragassam and Christoph Reisinger Calibration of a Hybrid Local-Stochastic Volatility Stochastic Rates Model with a Control Variate Particle Method . . . . 181--213 Ailing Zeng and Jungong Xue Multilevel Monte Carlo Method for Path-Dependent Barrier Interest Rate Derivatives . . . . . . . . . . . . . . 214--242 Baojun Bian and Xinfu Chen and Zuo Quan Xu Utility Maximization Under Trading Constraints with Discontinuous Utility 243--260 Damien Lamberton and Giulia Terenzi Variational Formulation of American Option Prices in the Heston Model . . . 261--308
Eduardo Abi Jaber and Omar El Euch Multifactor Approximation of Rough Volatility Models . . . . . . . . . . . 309--349 Ulrich Horst and Wei Xu A Scaling Limit for Limit Order Books Driven by Hawkes Processes . . . . . . . 350--393 Bin Li and Peng Luo and Dewen Xiong Equilibrium Strategies for Alpha-Maxmin Expected Utility Maximization . . . . . 394--429 Francesca Biagini and Andrea Mazzon and Thilo Meyer-Brandis Financial Asset Bubbles in Banking Networks . . . . . . . . . . . . . . . . 430--465 Paolo Guasoni and Antonella Tolomeo and Gu Wang Should Commodity Investors Follow Commodities' Prices? . . . . . . . . . . 466--490 Omar El Euch and Masaaki Fukasawa and Jim Gatheral and Mathieu Rosenbaum Short-Term At-the-Money Asymptotics under Stochastic Volatility Models . . . 491--511 Sühan Altay and Katia Colaneri and Zehra Eksi Portfolio Optimization for a Large Investor Controlling Market Sentiment Under Partial Information . . . . . . . 512--546 Bahman Angoshtari and Erhan Bayraktar and Virginia R. Young Optimal Dividend Distribution Under Drawdown and Ratcheting Constraints on Dividend Rates . . . . . . . . . . . . . 547--577 Nils Detering and Thilo Meyer-Brandis and Konstantinos Panagiotou and Daniel Ritter Managing Default Contagion in Inhomogeneous Financial Networks . . . . 578--614 Michael Schatz and Didier Sornette A Nonuniformly Integrable Martingale Bubble with a Crash . . . . . . . . . . 615--631 Kexin Chen and Mei Choi Chiu and Hoi Ying Wong Time-Consistent Mean-Variance Pairs-Trading Under Regime-Switching Cointegration . . . . . . . . . . . . . 632--665
Erhan Bayraktar and Jingjie Zhang and Zhou Zhou Time Consistent Stopping for the Mean-Standard Deviation Problem --- The Discrete Time Case . . . . . . . . . . . 667--697 Sergey Nadtochiy and Thaleia Zariphopoulou Optimal Contract for a Fund Manager with Capital Injections and Endogenous Trading Constraints . . . . . . . . . . 698--722 Peter Bank and Moritz Voß Optimal Investment with Transient Price Impact . . . . . . . . . . . . . . . . . 723--768 Paolo Guasoni and Zsolt Nika and Miklós Rásonyi Trading Fractional Brownian Motion . . . 769--789 Álvaro Cartea and Luhui Gan and Sebastian Jaimungal Hedge and Speculate: Replicating Option Payoffs with Limit and Market Orders . . 790--814 Pieter M. van Staden and Duy-Minh Dang and Peter A. Forsyth Mean-Quadratic Variation Portfolio Optimization: a Desirable Alternative to Time-Consistent Mean-Variance Optimization? . . . . . . . . . . . . . 815--856 Ben Hambly and Nikolaos Kolliopoulos Erratum: Stochastic Evolution Equations for Large Portfolios of Stochastic Volatility Models . . . . . . . . . . . 857--876
Zachary Feinstein Obligations with Physical Delivery in a Multilayered Financial Network . . . . . 877--906 Laurence Carassus and Jan Ob\lój and Johannes Wiesel The Robust Superreplication Problem: a Dynamic Approach . . . . . . . . . . . . 907--941 Aurélien Alfonsi and David Krief and Peter Tankov Long-Time Large Deviations for the Multiasset Wishart Stochastic Volatility Model and Option Pricing . . . . . . . . 942--976 Kexin Chen and Mei Choi Chiu and Yong Hyun Shin and Hoi Ying Wong Stochastic Volatility Asymptotics for Optimal Subsistence Consumption and Investment with Bankruptcy . . . . . . . 977--1005
Sebastian Herrmann and Johannes Muhle-Karbe and Dapeng Shang and Chen Yang Inventory Management for High-Frequency Trading with Imperfect Competition . . . 1--26 Anna Aksamit and Zhaoxu Hou and Jan Ob\lój Robust Framework for Quantifying the Value of Information in Pricing and Hedging . . . . . . . . . . . . . . . . 27--59 Hamed Amini and Damir Filipovi\'c and Andreea Minca Systemic Risk in Networks with a Central Node . . . . . . . . . . . . . . . . . . 60--98 Stéphane Crépey and Wissal Sabbagh and Shiqi Song When Capital Is a Funding Source: The Anticipated Backward Stochastic Differential Equations of $X$-Value Adjustments . . . . . . . . . . . . . . 99--130 Micha\l Barski and Jerzy Zabczyk On CIR Equations with General Factors 131--147 Dorje Brody and Lane Hughston and Bernhard Meister Theory of Cryptocurrency Interest Rates 148--168 Tiantian Mao and Ruodu Wang Risk Aversion in Regulatory Capital Principles . . . . . . . . . . . . . . . 169--200 David Farahany and Kenneth R. Jackson and Sebastian Jaimungal Mixing LSMC and PDE Methods to Price Bermudan Options . . . . . . . . . . . . 201--239 Nicole Bäuerle and Sascha Desmettre Portfolio Optimization in Fractional and Rough Heston Models . . . . . . . . . . 240--273 Josselin Garnier and Knut Sòlna Optimal Hedging Under Fast-Varying Stochastic Volatility . . . . . . . . . 274--325 Beatrice Acciaio and Julien Guyon Short Communication: Inversion of Convex Ordering: Local Volatility Does Not Maximize the Price of VIX Futures . . . SC1--SC13
Luis Carlos Garcia del Molino and Iacopo Mastromatteo and Michael Benzaquen and Jean-Philippe Bouchaud The Multivariate Kyle Model: More is Different . . . . . . . . . . . . . . . 327--357 Peter A. Forsyth Multiperiod Mean Conditional Value at Risk Asset Allocation: Is It Advantageous to Be Time Consistent? . . 358--384 Junbeom Lee and Stephan Sturm and Chao Zhou A Risk-Sharing Framework of Bilateral Contracts . . . . . . . . . . . . . . . 385--410 Chonghu Guan and Xun Li and Wenxin Zhou An Optimal Investment Problem with Nonsmooth and Nonconcave Utility over a Finite Time Horizon . . . . . . . . . . 411--436 Blanka Horvath and Antoine Jacquier and Peter Tankov Volatility Options in Rough Volatility Models . . . . . . . . . . . . . . . . . 437--469 Jasdeep Kalsi and Terry Lyons and Imanol Perez Arribas Optimal Execution with Rough Path Signatures . . . . . . . . . . . . . . . 470--493 Sigrid Källblad Black's Inverse Investment Problem and Forward Criteria with Consumption . . . 494--525 Paolo Bartesaghi and Michele Benzi and Gian Paolo Clemente and Rosanna Grassi and Ernesto Estrada Risk-Dependent Centrality in Economic and Financial Networks . . . . . . . . . 526--565 Christian Fries and Lorenzo Torricelli An Analytical Valuation Framework for Financial Assets with Trading Suspensions . . . . . . . . . . . . . . 566--592 Ka Ho Tsang and Hoi Ying Wong Deep-Learning Solution to Portfolio Selection with Serially Dependent Returns . . . . . . . . . . . . . . . . 593--619 Jocelyne Bion-Nadal and Giulia Di Nunno Fully-Dynamic Risk-Indifference Pricing and No-Good-Deal Bounds . . . . . . . . 620--658
Jaime A. Londoño Duesenberry Equilibrium and Heterogeneous Agents . . . . . . . . . . 659--689 Álvaro Cartea and Sebastian Jaimungal and Tianyi Jia Trading Foreign Exchange Triplets . . . 690--719 Monique Jeanblanc and Libo Li Characteristics and Constructions of Default Times . . . . . . . . . . . . . 720--749 Karel Janecek and Zheng Li and Mihai S\^\irbu Optimal Investment with High-Watermark Fee in a Multidimensional Jump Diffusion Model . . . . . . . . . . . . . . . . . 750--787 Claudia Ceci and Katia Colaneri and Rüdiger Frey and Verena Köck Value Adjustments and Dynamic Hedging of Reinsurance Counterparty Risk . . . . . 788--814 Alessandro Calvia and Emanuela Rosazza Gianin Risk Measures and Progressive Enlargement of Filtration: a BSDE Approach . . . . . . . . . . . . . . . . 815--848 Miryana Grigorova and Marie-Claire Quenez and Agn\`es Sulem European Options in a Nonlinear Incomplete Market Model with Default . . 849--880 Johannes Ruf and Kangjianan Xie The Impact of Proportional Transaction Costs on Systematically Generated Portfolios . . . . . . . . . . . . . . . 881--896 Kathrin Glau and Daniel Kressner and Francesco Statti Low-Rank Tensor Approximation for Chebyshev Interpolation in Parametric Option Pricing . . . . . . . . . . . . . 897--927 Xi Kleisinger-Yu and Vlatka Komaric and Martin Larsson and Markus Regez A Multifactor Polynomial Framework for Long-Term Electricity Forwards with Delivery Period . . . . . . . . . . . . 928--957 Yuri F. Saporito Short Communication: Pricing Path-Dependent Derivatives under Multiscale Stochastic Volatility Models: a Malliavin Representation . . . . . . . SC-14--SC-25 Matthew Dixon and Nick Polson Short Communication: Deep Fundamental Factor Models . . . . . . . . . . . . . SC-26--SC-37
Robert Jarrow and Martin Larsson Informational Efficiency with Trading Constraints: a Characterization . . . . 959--973 Henrik T. Dam and Andrea Macrina and David Skovmand and David Sloth Rational Models for Inflation-Linked Derivatives . . . . . . . . . . . . . . 974--1006 Vicky Henderson and Kamil Kladívko and Michael Monoyios and Christoph Reisinger Executive Stock Option Exercise with Full and Partial Information on a Drift Change Point . . . . . . . . . . . . . . 1007--1062 Maryam Vahid Dastgerdi and Ali Foroush Bastani Solving Parametric Fractional Differential Equations Arising from the Rough Heston Model Using Quasi-Linearization and Spectral Collocation . . . . . . . . . . . . . . 1063--1097 Florian Bourgey and Emmanuel Gobet and Clément Rey Metamodel of a Large Credit Risk Portfolio in the Gaussian Copula Model 1098--1136 Antoine Jacquier and Lorenzo Torricelli Anomalous Diffusions in Option Prices: Connecting Trade Duration and the Volatility Term Structure . . . . . . . 1137--1167 Jean-François Bégin and Diego Amaya and Genevi\`eve Gauthier and Marie-\`Eve Malette On the Estimation of Jump-Diffusion Models Using Intraday Data: a Filtering-Based Approach . . . . . . . . 1168--1208
Martin Redmann and Christian Bayer and Pawan Goyal Low-Dimensional Approximations of High-Dimensional Asset Price Models . . 1--28 Asaf Cohen and Virginia R. Young Optimal Dividend Problem: Asymptotic Analysis . . . . . . . . . . . . . . . . 29--46 Zhou Zhou Utility Maximization When Shorting American Options . . . . . . . . . . . . 47--78 Ning Ning and Jing Wu Well-Posedness and Stability Analysis of Two Classes of Generalized Stochastic Volatility Models . . . . . . . . . . . 79--109 Cyril Bénézet and Jean-François Chassagneux and Christoph Reisinger A Numerical Scheme for the Quantile Hedging Problem . . . . . . . . . . . . 110--157 Stephan Eckstein and Gaoyue Guo and Tongseok Lim and Jan Ob\lój Robust Pricing and Hedging of Options on Multiple Assets and Its Numerics . . . . 158--188 Nicole El Karoui and Mohamed Mrad Recover Dynamic Utility from Observable Process: Application to the Economic Equilibrium . . . . . . . . . . . . . . 189--225 Fernanda Cipriano and Nuno F. M. Martins and Diogo Pereira Optimal Portfolio for the $ \alpha $-Hypergeometric Stochastic Volatility Model . . . . . . . . . . . . . . . . . 226--253 Álvaro Cartea and Leandro Sánchez-Betancourt The Shadow Price of Latency: Improving Intraday Fill Ratios in Foreign Exchange Markets . . . . . . . . . . . . . . . . 254--294 Peter Cotton Inferring Relative Ability from Winning Probability in Multientrant Contests . . 295--317 Fabio Bellini and Pablo Koch-Medina and Cosimo Munari and Gregor Svindland Law-Invariant Functionals on General Spaces of Random Variables . . . . . . . 318--341 Sergey Lototsky and Austin Pollok Kelly Criterion: From a Simple Random Walk to Lévy Processes . . . . . . . . . 342--368 Eduardo Abi Jaber and Enzo Miller and Huyên Pham Markowitz Portfolio Selection for Multivariate Affine and Quadratic Volterra Models . . . . . . . . . . . . 369--409 Chi Seng Pun A Sparse Learning Approach to Relative-Volatility-Managed Portfolio Selection . . . . . . . . . . . . . . . 410--445 Bastien Baldacci and Dylan Possama\"\i and Mathieu Rosenbaum Optimal Make-Take Fees in a Multi Market-Maker Environment . . . . . . . . 446--486 Simon J. A. Malham and Jiaqi Shen and Anke Wiese Series Expansions and Direct Inversion for the Heston Model . . . . . . . . . . 487--549
Stefano De Marco On the Harmonic Mean Representation of the Implied Volatility . . . . . . . . . 551--565 Pieter M. van Staden and Duy-Minh Dang and Peter A. Forsyth On the Distribution of Terminal Wealth under Dynamic Mean-Variance Optimal Investment Strategies . . . . . . . . . 566--603 Hitoshi Ishii and Alexandre Roch Existence and Uniqueness of Viscosity Solutions of an Integro-differential Equation Arising in Option Pricing . . . 604--640 Oleksii Mostovyi Stability of the Indirect Utility Process . . . . . . . . . . . . . . . . 641--671 Peter Carr and Roger Lee and Matthew Lorig Pricing Variance Swaps on Time-Changed Markov Processes . . . . . . . . . . . . 672--689 Elisa Al\`os and Frido Rolloos and Kenichiro Shiraya On the Difference Between the Volatility Swap Strike and the Zero Vanna Implied Volatility . . . . . . . . . . . . . . . 690--723 Jamie Fox and Giray Ökten Brownian Path Generation and Polynomial Chaos . . . . . . . . . . . . . . . . . 724--743 Rama Cont and Marvin S. Müller A Stochastic Partial Differential Equation Model for Limit Order Book Dynamics . . . . . . . . . . . . . . . . 744--787 Julia Ackermann and Thomas Kruse and Mikhail Urusov Optimal Trade Execution in an Order Book Model with Stochastic Liquidity Parameters . . . . . . . . . . . . . . . 788--822 Cheng Cai and Tiziano De Angelis and Jan Palczewski Optimal Hedging of a Perpetual American Put with a Single Trade . . . . . . . . 823--866 Mehdi El Amrani and Antoine Jacquier and Claude Martini Short Communication: Dynamics of Symmetric SSVI Smiles and Implied Volatility Bubbles . . . . . . . . . . . SC1--SC15 Paolo Guasoni and Yu-Jui Huang and Saeed Khalili Short Communication: American Student Loans: Repayment and Valuation . . . . . SC16--SC30 Peter Bank and Yan Dolinsky Short Communication: a Note on Utility Indifference Pricing with Delayed Information . . . . . . . . . . . . . . SC31--SC43 Benjamin M. Bolker and Matheus R. Grasselli and Emma Holmes Short Communication: Sensitivity Analysis of an Integrated Climate-Economic Model . . . . . . . . . SC44--SC57
Juan Li and Wenqiang Li and Gechun Liang A Game Theoretical Approach to Homothetic Robust Forward Investment Performance Processes in Stochastic Factor Models . . . . . . . . . . . . . 867--897 Djaffar Lessy and Nahla Dhib and Francine Diener and Marc Diener May Microcredit Lead to Inclusion? . . . 898--911 Yuri F. Saporito and Zhaoyu Zhang Path-Dependent Deep Galerkin Method: a Neural Network Approach to Solve Path-Dependent Partial Differential Equations . . . . . . . . . . . . . . . 912--940 Xinfu Chen and Jin Liang A Free Boundary Problem for Corporate Bond Pricing and Credit Rating Under Different Upgrade and Downgrade Thresholds . . . . . . . . . . . . . . . 941--966 Alessandro Gnoatto and Nicole Seiffert Cross Currency Valuation and Hedging in the Multiple Curve Framework . . . . . . 967--1012 Francesca Biagini and Alessandro Gnoatto and Immacolata Oliva A Unified Approach to xVA with CSA Discounting and Initial Margin . . . . . 1013--1053 Xiangyu Wang and Jianming Xia Expected Utility Maximization with Stochastic Dominance Constraints in Complete Markets . . . . . . . . . . . . 1054--1111 Dante Mata López and José Luis Pérez and Kazutoshi Yamazaki Effects of Positive Jumps of Assets on Endogenous Bankruptcy and Optimal Capital Structure: Continuous- and Periodic-Observation Models . . . . . . 1112--1149 Paul Jusselin Optimal Market Making with Persistent Order Flow . . . . . . . . . . . . . . . 1150--1200 Christian Bayer and Denis Belomestny and Paul Hager and Paolo Pigato and John Schoenmakers Randomized Optimal Stopping Algorithms and Their Convergence Analysis . . . . . 1201--1225 Tao Chen and Michael Ludkovski A Machine Learning Approach to Adaptive Robust Utility Maximization and Hedging 1226--1256 Christian Bayer and Fabian A. Harang and Paolo Pigato Log-Modulated Rough Stochastic Volatility Models . . . . . . . . . . . 1257--1284 Robert J. Elliott and Dilip B. Madan and King Wang Filtering Response Directions . . . . . 1285--1306 Marc Chataigner and Areski Cousin and Stéphane Crépey and Matthew Dixon and Djibril Gueye Short Communication: Beyond Surrogate Modeling: Learning the Local Volatility via Shape Constraints . . . . . . . . . SC58--SC69 Matteo Burzoni and Marco Frittelli and Federico Zorzi Short Communication: Robust Market-Adjusted Systemic Risk Measures SC70--SC82
Ariel Neufeld and Julian Sester Model-Free Price Bounds Under Dynamic Option Trading . . . . . . . . . . . . . 1307--1339 Cheng-Der Fuh and Chu-Lan Michael Kao Credit Risk Propagation in Structural-Form Models . . . . . . . . . 1340--1373 Fred Espen Benth and Silvia Lavagnini Correlators of Polynomial Processes . . 1374--1415 Lorenzo Mercuri and Andrea Perchiazzo and Edit Rroji Finite Mixture Approximation of $ {\rm CARMA}(p, q) $ Models . . . . . . . . . 1416--1458 Alessandro Doldi and Marco Frittelli Conditional Systemic Risk Measures . . . 1459--1507 Subas Acharya and Alain Bensoussan and Dmitrii Rachinskii and Alejandro Rivera Real Options Problem with Nonsmooth Obstacle . . . . . . . . . . . . . . . . 1508--1552 Bingyan Han and Hoi Ying Wong Time-Inconsistency with Rough Volatility 1553--1595 Minglian Lin and Indranil SenGupta Analysis of Optimal Portfolio on Finite and Small-Time Horizons for a Stochastic Volatility Market Model . . . . . . . . 1596--1624 Zachary Feinstein and Andreas Sòjmark Short Communication: Dynamic Default Contagion in Heterogeneous Interbank Systems . . . . . . . . . . . . . . . . SC83--SC97 Filipe Fontanela and Antoine Jacquier and Mugad Oumgari Short Communication: a Quantum Algorithm for Linear PDEs Arising in Finance . . . SC98--SC114 Erhan Bayraktar and Christoph Czichowsky and Leonid Dolinskyi and Yan Dolinsky Short Communication: a Note on Utility Maximization with Proportional Transaction Costs and Stability of Optimal Portfolios . . . . . . . . . . . SC115--SC125
Ivan Guo and Grégoire Loeper and Jan Ob\lój and Shiyi Wang Joint Modeling and Calibration of SPX and VIX by Optimal Transport . . . . . . 1--31 Elisa Al\`os and David García-Lorite and Aitor Muguruza Gonzalez On Smile Properties of Volatility Derivatives: Understanding the VIX Skew 32--69 Nils Detering and Thilo Meyer-Brandis and Konstantinos Panagiotou and Daniel Ritter Suffocating Fire Sales . . . . . . . . . 70--108 Jean-Pierre Fouque and Ruimeng Hu and Ronnie Sircar Sub- and Supersolution Approach to Accuracy Analysis of Portfolio Optimization Asymptotics in Multiscale Stochastic Factor Markets . . . . . . . 109--128 Marcel Nutz and Yuchong Zhang Reward Design in Risk-Taking Contests 129--146 Yunzhang Li A High-Order Numerical Method for BSPDEs with Applications to Mathematical Finance . . . . . . . . . . . . . . . . 147--178 Christian Bayer and Jinniao Qiu and Yao Yao Pricing Options under Rough Volatility with Backward SPDEs . . . . . . . . . . 179--212 Sebastian Jaimungal and Silvana M. Pesenti and Ye Sheng Wang and Hariom Tatsat Robust Risk-Aware Reinforcement Learning 213--226 Claude Martini and Arianna Mingone No Arbitrage SVI . . . . . . . . . . . . 227--261 Álvaro Cartea and Maria Flora and Tiziano Vargiolu and Georgi Slavov Optimal Cross-Border Electricity Trading 262--294 Elena Vigna Tail Optimality and Preferences Consistency for Intertemporal Optimization Problems . . . . . . . . . 295--320 Bahman Angoshtari and Erhan Bayraktar and Virginia R. Young Optimal Investment and Consumption under a Habit-Formation Constraint . . . . . . 321--352 Philippe Bergault and Fayçal Drissi and Olivier Guéant Multi-asset Optimal Execution and Statistical Arbitrage Strategies under Ornstein--Uhlenbeck Dynamics . . . . . . 353--390 Toshihiro Yamada Short Communication: A Gaussian Kusuoka Approximation without Solving Random ODEs . . . . . . . . . . . . . . . . . . SC1--SC11 Yan Dolinsky and Shir Moshe Short Communication: Utility Indifference Pricing with High Risk Aversion and Small Linear Price Impact SC12--SC25 Fabio Bellini and Ilaria Peri Short Communication: An Axiomatization of $ \Lambda $-Quantiles . . . . . . . . SC26--SC38
Yang Shen and Bin Zou Mean-Variance Portfolio Selection in Contagious Markets . . . . . . . . . . . 391--425 Etienne Chevalier and Sergio Pulido and Elizabeth Zúñiga American Options in the Volterra Heston Model . . . . . . . . . . . . . . . . . 426--458 Masaaki Fujii and Akihiko Takahashi Strong Convergence to the Mean Field Limit of a Finite Agent Equilibrium . . 459--490 Michel Vellekoop and Marcellino Gaudenzi Exact Solutions and Approximations for Optimal Investment Strategies and Indifference Prices . . . . . . . . . . 491--520 Lisa R. Goldberg and Alex Papanicolaou and Alex Shkolnik The Dispersion Bias . . . . . . . . . . 521--550 Eyal Neuman and Moritz Voß Optimal Signal-Adaptive Trading with Temporary and Transient Price Impact . . 551--575 Steven Campbell and Ting-Kam Leonard Wong Functional Portfolio Optimization in Stochastic Portfolio Theory . . . . . . 576--618 Gu Wang Performance Fees with Stochastic Benchmark . . . . . . . . . . . . . . . 619--652 Laurence Carassus and Jan Ob\lój and Johannes Wiesel Erratum: The Robust Superreplication Problem: a Dynamic Approach . . . . . . 653--655 Mauricio Elizalde and Carlos Escudero Short Communication: Chances for the Honest in Honest versus Insider Trading SC39--SC52 Romain Blanchard and Laurence Carassus Short Communication: Super-Replication Prices with Multiple Priors in Discrete Time . . . . . . . . . . . . . . . . . . SC53--SC65 Christian Bayer and Masaaki Fukasawa and Shonosuke Nakahara Short Communication: On the Weak Convergence Rate in the Discretization of Rough Volatility Models . . . . . . . SC66--SC73 Valentin Tissot-Daguette Short Communication: Projection of Functionals and Fast Pricing of Exotic Options . . . . . . . . . . . . . . . . SC74--SC86
Hansjörg Albrecher and Pablo Azcue and Nora Muler Optimal Ratcheting of Dividends in a Brownian Risk Model . . . . . . . . . . 657--701 Marco Avellaneda and Brian Healy and Andrew Papanicolaou and George Papanicolaou Principal Eigenportfolios for U.S. Equities . . . . . . . . . . . . . . . . 702--744 Julio Backhoff Veraguas and A. Max Reppen and Ludovic Tangpi Stochastic Control of Optimized Certainty Equivalents . . . . . . . . . 745--772 Pavel V. Gapeev and Libo Li Perpetual American Standard and Lookback Options with Event Risk and Asymmetric Information . . . . . . . . . . . . . . 773--801 Kyunghyun Park and Hoi Ying Wong Robust Consumption-Investment with Return Ambiguity: a Dual Approach with Volatility Ambiguity . . . . . . . . . . 802--843 Gonçalo dos Reis and Vadim Platonov Forward Utility and Market Adjustments in Relative Investment-Consumption Games of Many Players . . . . . . . . . . . . 844--876 Delia Coculescu and Aditi Dandapani Insiders and Their Free Lunches: The Role of Short Positions . . . . . . . . 877--902 Hui Meng and Pengyu Wei and Wanlu Zhang and Sheng Chao Zhuang Optimal Dynamic Reinsurance Under Heterogeneous Beliefs and CARA Utility 903--943 Jean-Pierre Fouque and Sebastian Jaimungal and Yuri F. Saporito Optimal Trading with Signals and Stochastic Price Impact . . . . . . . . 944--968 Christoph Belak and An Chen and Carla Mereu and Robert Stelzer Optimal Investment with Time-Varying Stochastic Endowments . . . . . . . . . 969--1003 Sara Biagini and Fausto Gozzi and Margherita Zanella Robust Portfolio Choice with Sticky Wages . . . . . . . . . . . . . . . . . 1004--1039 Levon Avanesyan and Ronnie Sircar Power Mixture Forward Performance Processes . . . . . . . . . . . . . . . 1040--1062 Linghui Kong and Cong Qin and Xingye Yue Realization Utility with Path-Dependent Reference Points . . . . . . . . . . . . 1063--1111 Hubeyb Gurdogan and Alec Kercheval Multiple Anchor Point Shrinkage for the Sample Covariance Matrix . . . . . . . . 1112--1143 Gongqiu Zhang and Lingfei Li Analysis of Markov Chain Approximation for Diffusion Models with Nonsmooth Coefficients . . . . . . . . . . . . . . 1144--1190 Steven Shreve and Jing Wang Escrow and Clawback . . . . . . . . . . 1191--1229 Felix-Benedikt Liebrich and Marco Maggis and Gregor Svindland Model Uncertainty: a Reverse Approach 1230--1269 Xiangyu Wang and Jianming Xia and Zuo Quan Xu and Zhou Yang Short Communication: Minimal Quantile Functions Subject to Stochastic Dominance Constraints . . . . . . . . . SC87--SC98
Michail Anthropelos and Tianran Geng and Thaleia Zariphopoulou Competition in Fund Management and Forward Relative Performance Criteria 1271--1301 Peter Bank and Laura Körber Merton's Optimal Investment Problem with Jump Signals . . . . . . . . . . . . . . 1302--1325 Jin Hyuk Choi and Kim Weston Endogenous Noise Trackers in a Radner Equilibrium . . . . . . . . . . . . . . 1326--1343 Felix-Benedikt Liebrich and Max Nendel Separability Versus Robustness of Orlicz Spaces: Financial and Economic Perspectives . . . . . . . . . . . . . . 1344--1378 Álvaro Cartea and Imanol Pérez Arribas and Leandro Sánchez-Betancourt Double-Execution Strategies Using Path Signatures . . . . . . . . . . . . . . . 1379--1417 Julien Guyon The VIX Future in Bergomi Models: Fast Approximation Formulas and Joint Calibration with S&P 500 Skew . . . . . . 1418--1485 Yang Shen and Bin Zou Short Communication: Cone-Constrained Monotone Mean-Variance Portfolio Selection under Diffusion Models . . . . SC99--SC112 Zachary Feinstein Short Communication: Clearing Prices under Margin Calls and the Short Squeeze SC113--SC122 Erhan Bayraktar and Zhenhua Wang and Zhou Zhou Short Communication: Stability of Time-Inconsistent Stopping for One-Dimensional Diffusions . . . . . . . SC123--SC135
Dörte Kreher and Cassandra Milbradt Jump Diffusion Approximation for the Price Dynamics of a Fully State Dependent Limit Order Book Model . . . . 1--51 Florian Aichinger and Sascha Desmettre Utility Maximization in Multivariate Volterra Models . . . . . . . . . . . . 52--98 Piergiacomo Sabino Normal Tempered Stable Processes and the Pricing of Energy Derivatives . . . . . 99--126 Godeliva Petrina Marisu and Chi Seng Pun Bayesian Estimation and Optimization for Learning Sequential Regularized Portfolios . . . . . . . . . . . . . . . 127--157 Zachary Feinstein and Thomas R. Hurd Contingent Convertible Obligations and Financial Stability . . . . . . . . . . 158--187 Diogo Gomes and Julian Gutierrez and Ricardo Ribeiro A Random-Supply Mean Field Game Price Model . . . . . . . . . . . . . . . . . 188--222 Alexandre Richard and Xiaolu Tan and Fan Yang On the Discrete-Time Simulation of the Rough Heston Model . . . . . . . . . . . 223--249 Dejian Tian Pricing Principle via Tsallis Relative Entropy in Incomplete Markets . . . . . 250--278 Pablo Azcue and Xiaoqing Liang and Nora Muler and Virginia R. Young Optimal Reinsurance to Minimize the Probability of Drawdown under the Mean-Variance Premium Principle: Asymptotic Analysis . . . . . . . . . . 279--313 Claudio Fontana Short Communication: Caplet Pricing in Affine Models for Alternative Risk-Free Rates . . . . . . . . . . . . . . . . . SC1--SC16 Guillermo Angeris and Tarun Chitra and Alex Evans and Matthew Lorig Short Communication: A Primer on Perpetuals . . . . . . . . . . . . . . . SC17--SC30
Antoine Jacquier and Mugad Oumgari Deep Curve-Dependent PDEs for Affine Rough Volatility . . . . . . . . . . . . 353--382 Christian Bayer and Martin Eigel and Leon Sallandt and Philipp Trunschke Pricing High-Dimensional Bermudan Options with Hierarchical Tensor Formats 383--406 Pieter M. Van Staden and Peter A. Forsyth and Yuying Li Beating a Benchmark: Dynamic Programming May Not Be the Right Numerical Approach 407--451 Orcan Ögetbil and Bernhard Hientzsch Extensions of Dupire Formula: Stochastic Interest Rates and Stochastic Local Volatility . . . . . . . . . . . . . . . 452--474 Paul Gassiat Weak Error Rates of Numerical Schemes for Rough Volatility . . . . . . . . . . 475--496 Prakash Chakraborty and Asaf Cohen and Virginia R. Young Optimal Dividends Under Model Uncertainty . . . . . . . . . . . . . . 497--524 Hou-Duo Qi Geometric Characterization of Maximum Diversification Return Portfolio via Rao's Quadratic Entropy . . . . . . . . 525--556 Bahman Angoshtari and Erhan Bayraktar and Virginia R. Young Optimal Consumption Under a Habit-Formation Constraint: The Deterministic Case . . . . . . . . . . . 557--597 Fabrizio Lillo and Giulia Livieri and Stefano Marmi and Anton Solomko and Sandro Vaienti Analysis of Bank Leverage via Dynamical Systems and Deep Neural Networks . . . . 598--643 Tolulope Fadina and Peng Liu and Ruodu Wang One Axiom to Rule Them All: a Minimalist Axiomatization of Quantiles . . . . . . 644--662 Frank Bosserhoff and Mitja Stadje Robustness of Delta Hedging in a Jump-Diffusion Model . . . . . . . . . . 663--703 Daniel Bartl and Johannes Wiesel Sensitivity of Multiperiod Optimization Problems with Respect to the Adapted Wasserstein Distance . . . . . . . . . . 704--720
Zhou Yang and Jing Zhang and Chao Zhou Robust Control Problems of BSDEs Coupled with Value Functions . . . . . . . . . . 721--750 Rene Carmona and Laura Leal Optimal Execution with Quadratic Variation Inventories . . . . . . . . . 751--776 David Landriault and Bin Li and José M. Pedraza Optimal Stopping for Exponential Lévy Models with Weighted Discounting . . . . 777--811 Mikhail Zhitlukhin Capital Growth and Survival Strategies in a Market with Endogenous Prices . . . 812--837 Ying Hu and Xiaomin Shi and Zuo Quan Xu Constrained Monotone Mean-Variance Problem with Random Coefficients . . . . 838--854 Guillermo Alonso Alvarez and Sergey Nadtochiy and Kevin Webster Optimal Brokerage Contracts in Almgren-Chriss Model with Multiple Clients . . . . . . . . . . . . . . . . 855--878 Luu H. Duc and Jürgen Jost How Rough Path Lifts Affect Expected Return and Volatility: a Rough Model under Transaction Cost . . . . . . . . . 879--909 Christa Cuchiero and Guido Gazzani and Sara Svaluto-Ferro Signature-Based Models: Theory and Calibration . . . . . . . . . . . . . . 910--957 Yan Dolinsky and Or Zuk Short Communication: Exponential Utility Maximization in a Discrete Time Gaussian Framework . . . . . . . . . . . . . . . SC31--SC41
Qi Feng and Jianfeng Zhang Cubature Method for Stochastic Volterra Integral Equations . . . . . . . . . . . 959--1003 Brian (Xin) Ning and Sebastian Jaimungal and Xiaorong Zhang and Maxime Bergeron Arbitrage-Free Implied Volatility Surface Generation with Variational Autoencoders . . . . . . . . . . . . . . 1004--1027 Erhan Bayraktar and Asaf Cohen and April Nellis A Neural Network Approach to High-Dimensional Optimal Switching Problems with Jumps in Energy Markets 1028--1061 Guillaume Bernis and Matthieu Garcin and Simone Scotti and Carlo Sgarra Interest Rates Term Structure Models Driven by Hawkes Processes . . . . . . . 1062--1079 Bastien Baldacci and Philippe Bergault and Dylan Possama\"\i A Mean-Field Game of Market-Making against Strategic Traders . . . . . . . 1080--1112 Zineb El Filali Ech-Chafiq and Pierre Henry Labord\`ere and Jérôme Lelong Pricing Bermudan Options Using Regression Trees/Random Forests . . . . 1113--1139 Jing Peng and Pengyu Wei and Zuo Quan Xu Relative Growth Rate Optimization Under Behavioral Criterion . . . . . . . . . . 1140--1174 Silvana M. Pesenti and Sebastian Jaimungal Portfolio Optimization within a Wasserstein Ball . . . . . . . . . . . . 1175--1214 Bastien Baldacci and Philippe Bergault and Joffrey Derchu and Mathieu Rosenbaum On Bid and Ask Side-Specific Tick Sizes 1215--1248 Anthony Coache and Sebastian Jaimungal and Álvaro Cartea Conditionally Elicitable Dynamic Risk Measures for Deep Reinforcement Learning 1249--1289 Chengfan Gao and Siping Gao and Ruimeng Hu and Zimu Zhu Convergence of the Backward Deep BSDE Method with Applications to Optimal Stopping Problems . . . . . . . . . . . 1290--1303 Francesca Biagini and Andrea Mazzon and Thilo Meyer-Brandis and Katharina Oberpriller Liquidity Based Modeling of Asset Price Bubbles via Random Matching . . . . . . 1304--1342 Jianfeng Zhang Short Communication: Is a Sophisticated Agent Always a Wise One? . . . . . . . . SC42--SC48 Marco Maggis Short Communication: The Birth of (a Robust) Arbitrage Theory in de Finetti's Early Contributions . . . . . . . . . . SC49--SC59 Erhan Bayraktar and Bingyan Han Short Communication: Existence of Markov Equilibrium Control in Discrete Time . . SC60--SC71
Philip E. Protter and Qianfan Wu and Shihao Yang Order Book Queue Hawkes Markovian Modeling . . . . . . . . . . . . . . . . 1--25 Ryan Donnelly and Sebastian Jaimungal Exploratory Control with Tsallis Entropy for Latent Factor Models . . . . . . . . 26--53 Jianming Xia Optimal Investment with Risk Controlled by Weighted Entropic Risk Measures . . . 54--92 Shreya Bose and Ibrahim Ekren Multidimensional Kyle--Back Model with a Risk Averse Informed Trader . . . . . . 93--120 Xun Li and Xiang Yu and Qinyi Zhang Optimal Consumption with Loss Aversion and Reference to Past Spending Maximum 121--160 Jin Hyuk Choi and Jetlir Duraj and Kim Weston A Multi-agent Targeted Trading Equilibrium with Transaction Costs . . . 161--193 Erhan Bayraktar and Qi Feng and Zhaoyu Zhang Deep Signature Algorithm for Multidimensional Path-Dependent Options 194--214 Damiano Brigo and Federico Graceffa and Alexander Kalinin Mild to Classical Solutions for XVA Equations under Stochastic Volatility 215--254 Qinyu Wu and Tiantian Mao and Taizhong Hu Generalized Optimized Certainty Equivalent with Applications in the Rank-Dependent Utility Model . . . . . . 255--294 Cosimo Munari and Justin Plückebaum and Stefan Weber Robust Portfolio Selection under Recovery Average Value at Risk . . . . . 295--314 Alessandro Doldi and Marco Frittelli and Emanuela Rosazza Gianin Short Communication: Are Shortfall Systemic Risk Measures One Dimensional? SC1--SC14 Jingyi Cao and Dongchen Li and Virginia R. Young and Bin Zou Short Communication: Optimal Insurance to Maximize Exponential Utility When Premium Is Computed by a Convex Functional . . . . . . . . . . . . . . . SC15--SC27
Yerkin Kitapbayev and Scott Robertson Mortgage Contracts and Underwater Default . . . . . . . . . . . . . . . . 315--359 Chao Deng and Xizhi Su and Chao Zhou Relative Wealth Concerns with Partial Information and Heterogeneous Priors . . 360--398 Giulia Di Nunno and Emanuela Rosazza Gianin Fully Dynamic Risk Measures: Horizon Risk, Time-Consistency, and Relations with BSDEs and BSVIEs . . . . . . . . . 399--435 Ariel Neufeld and Julian Sester and Daiying Yin Detecting Data-Driven Robust Statistical Arbitrage Strategies with Deep Neural Networks . . . . . . . . . . . . . . . . 436--472 Marcin Pitera and Miklós Rásonyi Short Communication: Utility-Based Acceptability Indices . . . . . . . . . SC28--SC40
Huy N. Chau On Robust Fundamental Theorems of Asset Pricing in Discrete Time . . . . . . . . 571--600 Edouard Motte and Donatien Hainaut Partial Hedging in Rough Volatility Models . . . . . . . . . . . . . . . . . 601--652 Jonathan Chávez-Casillas and José E. Figueroa-López and Chuyi Yu and Yi Zhang Adaptive Optimal Market Making Strategies with Inventory Liquidation Cost . . . . . . . . . . . . . . . . . . 653--699 Sarah Kaaka\"\i and Anis Matoussi and Achraf Tamtalini Estimation of Systemic Shortfall Risk Measure Using Stochastic Algorithms . . 700--733 Francesca Biagini and Lukas Gonon and Niklas Walter Approximation Rates for Deep Calibration of (Rough) Stochastic Volatility Models 734--784 Sebastian Jaimungal and Xiaofei Shi Short Communication: The Price of Information . . . . . . . . . . . . . . SC54--SC67