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@article{DBLP:journals/fs/AlfonsiB16,
author = {Aur{\'{e}}lien Alfonsi and
Pierre Blanc},
title = {Dynamic optimal execution in a mixed-market-impact Hawkes price model},
journal = {Finance Stochastics},
volume = {20},
number = {1},
pages = {183--218},
year = {2016},
url = {https://doi.org/10.1007/s00780-015-0282-y},
doi = {10.1007/S00780-015-0282-Y},
timestamp = {Thu, 14 Oct 2021 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/fs/AlfonsiB16.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/fs/BankG16,
author = {Peter Bank and
Selim G{\"{o}}kay},
title = {Superreplication when trading at market indifference prices},
journal = {Finance Stochastics},
volume = {20},
number = {1},
pages = {153--182},
year = {2016},
url = {https://doi.org/10.1007/s00780-015-0278-7},
doi = {10.1007/S00780-015-0278-7},
timestamp = {Wed, 22 Jul 2020 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/fs/BankG16.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/fs/BouchardLZ16,
author = {Bruno Bouchard and
Gr{\'{e}}goire Loeper and
Yiyi Zou},
title = {Almost-sure hedging with permanent price impact},
journal = {Finance Stochastics},
volume = {20},
number = {3},
pages = {741--771},
year = {2016},
url = {https://doi.org/10.1007/s00780-016-0295-1},
doi = {10.1007/S00780-016-0295-1},
timestamp = {Wed, 22 Jul 2020 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/fs/BouchardLZ16.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/fs/BouchardN16,
author = {Bruno Bouchard and
Marcel Nutz},
title = {Consistent price systems under model uncertainty},
journal = {Finance Stochastics},
volume = {20},
number = {1},
pages = {83--98},
year = {2016},
url = {https://doi.org/10.1007/s00780-015-0286-7},
doi = {10.1007/S00780-015-0286-7},
timestamp = {Tue, 29 Dec 2020 00:00:00 +0100},
biburl = {https://dblp.org/rec/journals/fs/BouchardN16.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/fs/BurzoniFM16,
author = {Matteo Burzoni and
Marco Frittelli and
Marco Maggis},
title = {Universal arbitrage aggregator in discrete-time markets under uncertainty},
journal = {Finance Stochastics},
volume = {20},
number = {1},
pages = {1--50},
year = {2016},
url = {https://doi.org/10.1007/s00780-015-0283-x},
doi = {10.1007/S00780-015-0283-X},
timestamp = {Wed, 22 Jul 2020 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/fs/BurzoniFM16.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/fs/CaiF16,
author = {Jiatu Cai and
Masaaki Fukasawa},
title = {Asymptotic replication with modified volatility under small transaction
costs},
journal = {Finance Stochastics},
volume = {20},
number = {2},
pages = {381--431},
year = {2016},
url = {https://doi.org/10.1007/s00780-016-0294-2},
doi = {10.1007/S00780-016-0294-2},
timestamp = {Wed, 22 Jul 2020 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/fs/CaiF16.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/fs/CoxHO16,
author = {Alexander M. G. Cox and
Zhaoxu Hou and
Jan Obl{\'{o}}j},
title = {Robust pricing and hedging under trading restrictions and the emergence
of local martingale models},
journal = {Finance Stochastics},
volume = {20},
number = {3},
pages = {669--704},
year = {2016},
url = {https://doi.org/10.1007/s00780-016-0293-3},
doi = {10.1007/S00780-016-0293-3},
timestamp = {Wed, 22 Jul 2020 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/fs/CoxHO16.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/fs/CrepeyS16,
author = {St{\'{e}}phane Cr{\'{e}}pey and
Shiqi Song},
title = {Counterparty risk and funding: immersion and beyond},
journal = {Finance Stochastics},
volume = {20},
number = {4},
pages = {901--930},
year = {2016},
url = {https://doi.org/10.1007/s00780-016-0305-3},
doi = {10.1007/S00780-016-0305-3},
timestamp = {Wed, 22 Jul 2020 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/fs/CrepeyS16.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/fs/CuchieroFG16,
author = {Christa Cuchiero and
Claudio Fontana and
Alessandro Gnoatto},
title = {A general {HJM} framework for multiple yield curve modelling},
journal = {Finance Stochastics},
volume = {20},
number = {2},
pages = {267--320},
year = {2016},
url = {https://doi.org/10.1007/s00780-016-0291-5},
doi = {10.1007/S00780-016-0291-5},
timestamp = {Wed, 22 Jul 2020 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/fs/CuchieroFG16.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/fs/DassiosZ16,
author = {Angelos Dassios and
You You Zhang},
title = {The joint distribution of Parisian and hitting times of Brownian motion
with application to Parisian option pricing},
journal = {Finance Stochastics},
volume = {20},
number = {3},
pages = {773--804},
year = {2016},
url = {https://doi.org/10.1007/s00780-016-0302-6},
doi = {10.1007/S00780-016-0302-6},
timestamp = {Wed, 22 Jul 2020 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/fs/DassiosZ16.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/fs/DelbaenBBZ16,
author = {Freddy Delbaen and
Fabio Bellini and
Valeria Bignozzi and
Johanna F. Ziegel},
title = {Risk measures with the CxLS property},
journal = {Finance Stochastics},
volume = {20},
number = {2},
pages = {433--453},
year = {2016},
url = {https://doi.org/10.1007/s00780-015-0279-6},
doi = {10.1007/S00780-015-0279-6},
timestamp = {Mon, 26 Oct 2020 00:00:00 +0100},
biburl = {https://dblp.org/rec/journals/fs/DelbaenBBZ16.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/fs/FahimH16,
author = {Arash Fahim and
Yu{-}Jui Huang},
title = {Model-independent superhedging under portfolio constraints},
journal = {Finance Stochastics},
volume = {20},
number = {1},
pages = {51--81},
year = {2016},
url = {https://doi.org/10.1007/s00780-015-0284-9},
doi = {10.1007/S00780-015-0284-9},
timestamp = {Wed, 22 Jul 2020 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/fs/FahimH16.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/fs/Figueroa-LopezO16,
author = {Jos{\'{e}} E. Figueroa{-}L{\'{o}}pez and
Sveinn {\'{O}}lafsson},
title = {Short-time expansions for close-to-the-money options under a L{\'{e}}vy
jump model with stochastic volatility},
journal = {Finance Stochastics},
volume = {20},
number = {1},
pages = {219--265},
year = {2016},
url = {https://doi.org/10.1007/s00780-015-0281-z},
doi = {10.1007/S00780-015-0281-Z},
timestamp = {Wed, 22 Jul 2020 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/fs/Figueroa-LopezO16.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/fs/Figueroa-LopezO16a,
author = {Jos{\'{e}} E. Figueroa{-}L{\'{o}}pez and
Sveinn {\'{O}}lafsson},
title = {Short-term asymptotics for the implied volatility skew under a stochastic
volatility model with L{\'{e}}vy jumps},
journal = {Finance Stochastics},
volume = {20},
number = {4},
pages = {973--1020},
year = {2016},
url = {https://doi.org/10.1007/s00780-016-0313-3},
doi = {10.1007/S00780-016-0313-3},
timestamp = {Wed, 22 Jul 2020 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/fs/Figueroa-LopezO16a.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/fs/FilipovicL16,
author = {Damir Filipovic and
Martin Larsson},
title = {Polynomial diffusions and applications in finance},
journal = {Finance Stochastics},
volume = {20},
number = {4},
pages = {931--972},
year = {2016},
url = {https://doi.org/10.1007/s00780-016-0304-4},
doi = {10.1007/S00780-016-0304-4},
timestamp = {Wed, 22 Jul 2020 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/fs/FilipovicL16.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/fs/FouqueLS16,
author = {Jean{-}Pierre Fouque and
Matthew J. Lorig and
Ronnie Sircar},
title = {Second order multiscale stochastic volatility asymptotics: stochastic
terminal layer analysis and calibration},
journal = {Finance Stochastics},
volume = {20},
number = {3},
pages = {543--588},
year = {2016},
url = {https://doi.org/10.1007/s00780-016-0298-y},
doi = {10.1007/S00780-016-0298-Y},
timestamp = {Wed, 22 Jul 2020 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/fs/FouqueLS16.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/fs/Glau16,
author = {Kathrin Glau},
title = {A Feynman-Kac-type formula for L{\'{e}}vy processes with discontinuous
killing rates},
journal = {Finance Stochastics},
volume = {20},
number = {4},
pages = {1021--1059},
year = {2016},
url = {https://doi.org/10.1007/s00780-016-0301-7},
doi = {10.1007/S00780-016-0301-7},
timestamp = {Wed, 22 Jul 2020 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/fs/Glau16.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/fs/HaanMZ16,
author = {Laurens de Haan and
C{\'{e}}cile Mercadier and
Chen Zhou},
title = {Adapting extreme value statistics to financial time series: dealing
with bias and serial dependence},
journal = {Finance Stochastics},
volume = {20},
number = {2},
pages = {321--354},
year = {2016},
url = {https://doi.org/10.1007/s00780-015-0287-6},
doi = {10.1007/S00780-015-0287-6},
timestamp = {Wed, 22 Jul 2020 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/fs/HaanMZ16.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/fs/Henry-Labordere16,
author = {Pierre Henry{-}Labord{\`{e}}re and
Nizar Touzi},
title = {An explicit martingale version of the one-dimensional Brenier theorem},
journal = {Finance Stochastics},
volume = {20},
number = {3},
pages = {635--668},
year = {2016},
url = {https://doi.org/10.1007/s00780-016-0299-x},
doi = {10.1007/S00780-016-0299-X},
timestamp = {Wed, 22 Jul 2020 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/fs/Henry-Labordere16.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/fs/Ivanov16,
title = {Retraction Note to: The distribution of the maximum of a variance
gamma process and path-dependent option pricing},
journal = {Finance Stochastics},
volume = {20},
number = {3},
pages = {805},
year = {2016},
url = {https://doi.org/10.1007/s00780-016-0296-0},
doi = {10.1007/S00780-016-0296-0},
timestamp = {Wed, 22 Jul 2020 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/fs/Ivanov16.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/fs/KabanovKS16,
author = {Yuri Kabanov and
Constantinos Kardaras and
Shiqi Song},
title = {No arbitrage of the first kind and local martingale num{\'{e}}raires},
journal = {Finance Stochastics},
volume = {20},
number = {4},
pages = {1097--1108},
year = {2016},
url = {https://doi.org/10.1007/s00780-016-0310-6},
doi = {10.1007/S00780-016-0310-6},
timestamp = {Wed, 22 Jul 2020 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/fs/KabanovKS16.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/fs/KabanovP16,
author = {Yuri Kabanov and
Serguei Pergamenshchikov},
title = {In the insurance business risky investments are dangerous: the case
of negative risk sums},
journal = {Finance Stochastics},
volume = {20},
number = {2},
pages = {355--379},
year = {2016},
url = {https://doi.org/10.1007/s00780-016-0292-4},
doi = {10.1007/S00780-016-0292-4},
timestamp = {Wed, 22 Jul 2020 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/fs/KabanovP16.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/fs/LarsenSZ16,
author = {Kasper Larsen and
Halil Mete Soner and
Gordan Zitkovic},
title = {Facelifting in utility maximization},
journal = {Finance Stochastics},
volume = {20},
number = {1},
pages = {99--121},
year = {2016},
url = {https://doi.org/10.1007/s00780-015-0274-y},
doi = {10.1007/S00780-015-0274-Y},
timestamp = {Wed, 22 Jul 2020 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/fs/LarsenSZ16.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/fs/LiLM16,
author = {Jing Li and
Lingfei Li and
Rafael Mendoza{-}Arriaga},
title = {Additive subordination and its applications in finance},
journal = {Finance Stochastics},
volume = {20},
number = {3},
pages = {589--634},
year = {2016},
url = {https://doi.org/10.1007/s00780-016-0300-8},
doi = {10.1007/S00780-016-0300-8},
timestamp = {Sat, 30 Sep 2023 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/fs/LiLM16.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/fs/Lyasoff16,
author = {Andrew Lyasoff},
title = {Another look at the integral of exponential Brownian motion and the
pricing of Asian options},
journal = {Finance Stochastics},
volume = {20},
number = {4},
pages = {1061--1096},
year = {2016},
url = {https://doi.org/10.1007/s00780-016-0307-1},
doi = {10.1007/S00780-016-0307-1},
timestamp = {Wed, 22 Jul 2020 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/fs/Lyasoff16.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/fs/NeumanS16,
author = {Eyal Neuman and
Alexander Schied},
title = {Optimal portfolio liquidation in target zone models and catalytic
superprocesses},
journal = {Finance Stochastics},
volume = {20},
number = {2},
pages = {495--509},
year = {2016},
url = {https://doi.org/10.1007/s00780-015-0280-0},
doi = {10.1007/S00780-015-0280-0},
timestamp = {Wed, 22 Jul 2020 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/fs/NeumanS16.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/fs/NieR16,
author = {Tianyang Nie and
Marek Rutkowski},
title = {A {BSDE} approach to fair bilateral pricing under endogenous collateralization},
journal = {Finance Stochastics},
volume = {20},
number = {4},
pages = {855--900},
year = {2016},
url = {https://doi.org/10.1007/s00780-016-0306-2},
doi = {10.1007/S00780-016-0306-2},
timestamp = {Wed, 22 Jul 2020 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/fs/NieR16.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/fs/PierreVW16,
author = {Erwan Pierre and
St{\'{e}}phane Villeneuve and
Xavier Warin},
title = {Liquidity management with decreasing returns to scale and secured
credit line},
journal = {Finance Stochastics},
volume = {20},
number = {4},
pages = {809--854},
year = {2016},
url = {https://doi.org/10.1007/s00780-016-0312-4},
doi = {10.1007/S00780-016-0312-4},
timestamp = {Wed, 22 Jul 2020 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/fs/PierreVW16.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/fs/RoordaS16,
author = {Berend Roorda and
Johannes M. Schumacher},
title = {Weakly time consistent concave valuations and their dual representations},
journal = {Finance Stochastics},
volume = {20},
number = {1},
pages = {123--151},
year = {2016},
url = {https://doi.org/10.1007/s00780-015-0285-8},
doi = {10.1007/S00780-015-0285-8},
timestamp = {Wed, 10 Aug 2022 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/fs/RoordaS16.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/fs/Schoneborn16,
author = {Torsten Sch{\"{o}}neborn},
title = {Adaptive basket liquidation},
journal = {Finance Stochastics},
volume = {20},
number = {2},
pages = {455--493},
year = {2016},
url = {https://doi.org/10.1007/s00780-016-0290-6},
doi = {10.1007/S00780-016-0290-6},
timestamp = {Wed, 22 Jul 2020 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/fs/Schoneborn16.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/fs/SchweizerS16,
author = {Martin Schweizer and
Dieter Sondermann},
title = {Editorial: 20th anniversary of Finance and Stochastics},
journal = {Finance Stochastics},
volume = {20},
number = {4},
pages = {807--808},
year = {2016},
url = {https://doi.org/10.1007/s00780-016-0311-5},
doi = {10.1007/S00780-016-0311-5},
timestamp = {Wed, 22 Jul 2020 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/fs/SchweizerS16.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/fs/ValliereKL16,
author = {Dimitri De Valli{\`{e}}re and
Yuri Kabanov and
Emmanuel L{\'{e}}pinette},
title = {Consumption-investment problem with transaction costs for L{\'{e}}vy-driven
price processes},
journal = {Finance Stochastics},
volume = {20},
number = {3},
pages = {705--740},
year = {2016},
url = {https://doi.org/10.1007/s00780-016-0303-5},
doi = {10.1007/S00780-016-0303-5},
timestamp = {Wed, 22 Jul 2020 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/fs/ValliereKL16.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/fs/Weston16,
author = {Kim Weston},
title = {Stability of utility maximization in nonequivalent markets},
journal = {Finance Stochastics},
volume = {20},
number = {2},
pages = {511--541},
year = {2016},
url = {https://doi.org/10.1007/s00780-016-0289-z},
doi = {10.1007/S00780-016-0289-Z},
timestamp = {Wed, 22 Jul 2020 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/fs/Weston16.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
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