Finance and Stochastics View Homepage


Ontology type: schema:Periodical     


Journal Info

START YEAR

1996

PUBLISHER

Springer Berlin Heidelberg

LANGUAGE

en

HOMEPAGE

https://link.springer.com/journal/780

Recent publications latest 20 shown

  • 2022-11-23 Martingale Schrödinger bridges and optimal semistatic portfolios
  • 2022-09-19 Jacobi stochastic volatility factor for the LIBOR market model
  • 2022-09-16 The characteristic function of Gaussian stochastic volatility models: an analytic expression
  • 2022-09-15 Simulation of the drawdown and its duration in Lévy models via stick-breaking Gaussian approximation
  • 2022-09-13 Bubbles in discrete-time models
  • 2022-09-13 A concept of copula robustness and its applications in quantitative risk management
  • 2022-09-05 On ruin probabilities with investments in a risky asset with a regime-switching price
  • 2022-09-05 Semimartingale price systems in models with transaction costs beyond efficient friction
  • 2022-06-28 On the role of skewness and kurtosis in tempered stable (CGMY) Lévy models in finance
  • 2022-06-28 A class of short-term models for the oil industry that accounts for speculative oil storage
  • 2022-06-10 Solving optimal stopping problems under model uncertainty via empirical dual optimisation
  • 2022-06-08 A continuous-time asset market game with short-lived assets
  • 2022-05-13 A least-squares Monte Carlo approach to the estimation of enterprise risk
  • 2022-05-06 Log-optimal and numéraire portfolios for market models stopped at a random time
  • 2022-04-29 Set-valued dynamic risk measures for processes and for vectors
  • 2022-03-15 Dynamic mean–variance problem with frictions
  • 2022-03-09 Optimal consumption with reference to past spending maximum
  • 2022-03-01 A scaling limit for utility indifference prices in the discretised Bachelier model
  • 2022-02-04 Scaled insurance cash flows: representation and computation via change of measure techniques
  • 2022-01-28 An analytical study of participating policies with minimum rate guarantee and surrender option
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    To see a list of forthcoming papers, please check the "Journal updates" 
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    \nSpringer and the publishing team of "Finance and Stochastics" are interested in your experience with our journal. Please follow this link and tell us how you see "Finance and Stochastics" as reader and/or author: https://springernature.eu.qualtrics.com/jfe/form/SV_cLPIWWcn0kpyk9o?s=9.
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    \nFinance and Stochastics
    presents research in all areas of finance based on stochastic methods as well as on specific topics in mathematics motivated by the analysis of problems in finance (in particular probability theory, statistics and stochastic analysis).

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    The journal also publishes surveys on financial topics of general interest if they clearly picture and illuminate the basic ideas and techniques at work, the interrelationship of different approaches and the central questions which remain open.

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    In addition, Finance and Stochastics features special issues devoted to specific topics in rapidly growing research areas. The journal serves as an ideal publication platform for both theoretical and applied financial economists using advanced stochastic methods and researchers in stochastics motivated by and interested in applications in finance and insurance.

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    Officially cited as: Finance Stoch

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    History
    \nThe first Editor-in-Chief was Dieter Sondermann (1996), who was succeeded by Martin Schweizer (2004).

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