Last update:
Sat Oct 18 14:50:05 MDT 2025
René 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
Eduardo Abi Jaber and
Nathan De Carvalho Reconciling Rough Volatility with Jumps 785--823
Giulia Di Nunno and
Yuliya Mishura and
Anton Yurchenko-Tytarenko Option Pricing in Sandwiched Volterra
Volatility Model . . . . . . . . . . . . 824--882
Junkee Jeon and
Hyeng Keun Koo and
Minsuk Kwak A Two-Person Zero-Sum Game Approach for
a Retirement Decision with Borrowing
Constraints . . . . . . . . . . . . . . 883--930
Álvaro Cartea and
Fayçal Drissi and
Marcello Monga Decentralized Finance and Automated
Market Making: Predictable Loss and
Optimal Liquidity Provision . . . . . . 931--959
Charles Bertucci and
Louis Bertucci and
Jean-Michel Lasry and
Pierre-Louis Lions A Mean Field Game Approach to Bitcoin
Mining . . . . . . . . . . . . . . . . . 960--987
Sebastian Jaimungal and
Xiaofei Shi Short Communication: The Price of
Information . . . . . . . . . . . . . . SC54--SC67