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Finance and stochastics

SCI

中文名称：金融和推断统计学

ISSN：0949-2984
出版周期：Quarterly

发文量：342

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1.Portfolio optimization with insider's initial information and counterparty risk

机译：利用内部人的初始信息和交易对手风险进行投资组合优化
- 作者：Hillairet Caroline;Jiao Ying
- 期刊名称：《Finance and stochastics》 | 2015年第1期
- Asymmetric information;
- Enlargement of filtrations;
- Counterparty risk;
- Optimal investment;
- Duality;
- Dynamic programming;
2.Risk measures for processes and BSDEs

机译：流程和BSDE的风险衡量
- 作者：Penner Irina;Reveillac Anthony
- 期刊名称：《Finance and stochastics》 | 2015年第1期
3.When terminal facelift enforces delta constraints

机译：当终端改造强制实施增量约束时
- 作者：Chassagneux Jean-Francois;Elie Romuald;Kharroubi Idris
- 期刊名称：《Finance and stochastics》 | 2015年第2期
- Superreplication;
- Portfolio constraints;
- Viability;
- Facelift;
- BSDEs;
4.A model for a large investor trading at market indifference prices. I: Single-period case

机译：大型投资者以市场冷淡价格进行交易的模型。一：单期
- 作者：Bank Peter;Kramkov Dmitry
- 期刊名称：《Finance and stochastics》 | 2015年第2期
- Aggregate utility function;
- Bertrand competition;
- Demand pressure;
- Equilibrium;
- Large investor;
- Liquidity;
- Pareto allocation;
- Price impact;
- Risk tolerance;
- Utility indifference prices;
5.Forward equations for option prices in semimartingale models

机译：半市场模型中期权价格的前向方程
- 作者：Bentata Amel;Cont Rama
- 期刊名称：《Finance and stochastics》 | 2015年第3期
- Forward equation;
- Dupire equations;
- Jump process;
- Semimartingale;
- Tanaka-Meyer formula;
- Markovian projection;
- Call option;
- Option pricing;
6.Discretely monitored first passage problems and barrier options: an eigenfunction expansion approach

机译：离散监控的首过问题和障碍选项：本征函数扩展方法
- 作者：Li Lingfei;Linetsky Vadim
- 期刊名称：《Finance and stochastics》 | 2015年第4期
- First passage times;
- Barrier options;
- Diffusions;
- Subordination;
- Eigenfunction expansions;
7.Multi-portfolio time consistency for set-valued convex and coherent risk measures

机译：集值凸和相关风险测度的多组合时间一致性
- 作者：Feinstein Zachary;Rudloff Birgit
- 期刊名称：《Finance and stochastics》 | 2015年第1期
- Dynamic risk measures;
- Transaction costs;
- Set-valued risk measures;
- Time consistency;
- Multi-portfolio time consistency;
- Stability;
8.Hedge and mutual funds' fees and the separation of private investments

机译：对冲基金和共同基金的费用以及私人投资的分离
- 作者：Guasoni Paolo;Wang Gu
- 期刊名称：《Finance and stochastics》 | 2015年第3期
- Hedge funds;
- Portfolio choice;
- High-water marks;
- Performance fees;
- Management fees;
9.On the forward rate concept in multi-state life insurance

机译：关于多州人寿保险中的远期利率概念
- 作者：Christiansen Marcus C.;Niemeyer Andreas
- 期刊名称：《Finance and stochastics》 | 2015年第2期
10.In the insurance business risky investments are dangerous: the case of negative risk sums

机译：在保险业务中，风险投资是危险的：负风险金额的情况
- 作者：Kabanov Yuri;Pergamenshchikov Serguei
- 期刊名称：《Finance and stochastics》 | 2016年第2期
11.An explicit martingale version of the one-dimensional Brenier theorem

机译：一维Brenier定理的显式mar形式
- 作者：Henry-Labordere Pierre;Touzi Nizar
- 期刊名称：《Finance and stochastics》 | 2016年第3期
- Model-independent pricing;
- Martingale optimal transport problem;
- Robust superreplication theorem;
12.Counterparty risk and funding: immersion and beyond

机译：交易对手风险和资金：沉浸式和超越
- 作者：Crepey Stephane;Song Shiqi
- 期刊名称：《Finance and stochastics》 | 2016年第4期
- Counterparty risk;
- Funding;
- BSDE;
- Reduced-form credit modelling;
- Immersion;
- Wrong-way risk;
- Gap risk;
- Collateral;
- Credit derivatives;
- Marked default times;
- Marshall-Olkin copula;
13.Consumption-investment problem with transaction costs for L,vy-driven price processes

机译：L，vy驱动的价格过程中带有交易成本的消费投资问题
- 作者：De Valliere Dimitri;Kabanov Yuri;Lepinette Emmanuel
- 期刊名称：《Finance and stochastics》 | 2016年第3期
- Consumption-investment problem;
- Levy process;
- Transaction costs;
- Bellman function;
- Dynamic programming;
- HJB equation;
- Lyapunov function;
14.Second order multiscale stochastic volatility asymptotics: stochastic terminal layer analysis and calibration

机译：二阶多尺度随机波动渐近性：随机终端层分析和校准
- 作者：Fouque Jean-Pierre;Lorig Matthew;Sircar Ronnie
- 期刊名称：《Finance and stochastics》 | 2016年第3期
- Stochastic volatility;
- Implied volatility;
- Calibration;
- Multiscale asymptotics;
15.Short-term asymptotics for the implied volatility skew under a stochastic volatility model with Levy jumps

机译：具有Levy跳跃的随机波动率模型下隐含波动率偏差的短期渐近性
- 作者：Figueroa-Lopez Jose E.;Olafsson Sveinn
- 期刊名称：《Finance and stochastics》 | 2016年第4期
16.Additive subordination and its applications in finance

机译：可加从属及其在金融中的应用
- 作者：Li Jing;Li Lingfei;Mendoza-Arriaga Rafael
- 期刊名称：《Finance and stochastics》 | 2016年第3期
- Bochner's subordination;
- Additive subordination;
- Time-inhomogeneous Markov processes;
- Spread options;
17.No arbitrage of the first kind and local martingale numeraires

机译：无第一类套利和当地mar算计
- 作者：Kabanov Yuri;Kardaras Constantinos;Song Shiqi
- 期刊名称：《Finance and stochastics》 | 2016年第4期
- Arbitrage;
- Viability;
- Fundamental theorem of asset pricing;
- Numeraire;
- Local martingale deflator;
- sigma-martingale;
18.Almost-sure hedging with permanent price impact

机译：几乎有把握的套期保值和永久性的价格影响
- 作者：Bouchard Bruno;Loeper Gregoire;Zou Yiyi
- 期刊名称：《Finance and stochastics》 | 2016年第3期
- Hedging;
- Price impact;
19.Stability of utility maximization in nonequivalent markets

机译：非对等市场中效用最大化的稳定性
- 作者：Weston Kim
- 期刊名称：《Finance and stochastics》 | 2016年第2期
- Expected utility theory;
- Incompleteness;
- Random endowment;
- Market stability;
- Nonequivalent markets;
20.Dynamic optimal execution in a mixed-market-impact Hawkes price model

机译：具有混合市场影响的霍克斯价格模型中的动态最优执行
- 作者：Alfonsi Aurelien;Blanc Pierre
- 期刊名称：《Finance and stochastics》 | 2016年第1期
- Market impact model;
- Optimal execution;
- Hawkes processes;
- Market microstructure;
- High-frequency trading;
- Price manipulations;
21.Robust pricing and hedging under trading restrictions and the emergence of local martingale models

机译：交易限制下的稳健定价和对冲以及当地mar模型的出现
- 作者：Cox Alexander M. G.;Hou Zhaoxu;Obloj Jan
- 期刊名称：《Finance and stochastics》 | 2016年第3期
22.Editorial: 20th anniversary of Finance and Stochastics

机译：社论：金融与随机二十周年
- 作者：Sondermann Dieter;Schweizer Martin
- 期刊名称：《Finance and stochastics》 | 2016年第4期
23.Another look at the integral of exponential Brownian motion and the pricing of Asian options

机译：再看指数布朗运动的积分和亚洲期权的定价
- 作者：Lyasoff Andrew
- 期刊名称：《Finance and stochastics》 | 2016年第4期
- Exponential Brownian motion;
- Random environment;
- Asian options;
24.Consistent price systems under model uncertainty

机译：模型不确定性下的一致价格系统
- 作者：Bouchard Bruno;Nutz Marcel
- 期刊名称：《Finance and stochastics》 | 2016年第1期
- Transaction costs;
- Arbitrage of the second kind;
- Consistent price system;
- Model uncertainty;
25.The joint distribution of Parisian and hitting times of Brownian motion with application to Parisian option pricing

机译：巴黎运动和布朗运动命中时间的联合分布及其在巴黎期权定价中的应用
- 作者：Dassios Angelos;Zhang You You
- 期刊名称：《Finance and stochastics》 | 2016年第3期
- Parisian options;
- Excursion time;
- Three-state semi-Markov model;
- Laplace transform;
26.Superreplication when trading at market indifference prices

机译：以市场冷淡价格交易时的超级复制
- 作者：Bank Peter;Goekay Selim
- 期刊名称：《Finance and stochastics》 | 2016年第1期
- Utility indifference prices;
- Large investor;
- Liquidity;
- Superreplication;
- Monotone exponential tails;
27.A general HJM framework for multiple yield curve modelling

机译：用于多产量曲线建模的通用HJM框架
- 作者：Cuchiero Christa;Fontana Claudio;Gnoatto Alessandro
- 期刊名称：《Finance and stochastics》 | 2016年第2期
- Multiple yield curves;
- HJM model;
- Semimartingale;
- Forward rate agreement;
- Libor rate;
- Affine processes;
- Multiplicative spreads;
28.A Feynman-Kac-type formula for Levy processes with discontinuous killing rates

机译：具有不连续杀灭率的Levy过程的Feynman-Kac型公式
- 作者：Glau Kathrin
- 期刊名称：《Finance and stochastics》 | 2016年第4期
29.Asymptotic replication with modified volatility under small transaction costs

机译：在小额交易成本下具有渐进式波动性的渐近复制
- 作者：Cai Jiatu;Fukasawa Masaaki
- 期刊名称：《Finance and stochastics》 | 2016年第2期
- Leland's strategy;
- Proportional transaction costs;
- Singular control;
- Homogenization;
- Central limit theorem;
30.Adapting extreme value statistics to financial time series: dealing with bias and serial dependence

机译：使极值统计信息适应金融时间序列：处理偏差和序列依赖性
- 作者：de Haan Laurens;Mercadier Cecile;Zhou Chen
- 期刊名称：《Finance and stochastics》 | 2016年第2期
- Hill estimator;
- Bias correction;
- beta-mixing condition;
- Tail quantile process;
31.Universal arbitrage aggregator in discrete-time markets under uncertainty

机译：不确定性下离散时间市场中的通用套利聚合器
- 作者：Burzoni Matteo;Frittelli Marco;Maggis Marco
- 期刊名称：《Finance and stochastics》 | 2016年第1期
32.Adaptive basket liquidation

机译：自适应篮子清算
- 作者：Schoeneborn Torsten
- 期刊名称：《Finance and stochastics》 | 2016年第2期
- Optimal basket liquidation;
- Dynamic trading strategies;
- Separation theorem;
- Utility maximization;
33.A BSDE approach to fair bilateral pricing under endogenous collateralization

机译：内生抵押下的公平双边定价的BSDE方法
- 作者：Nie Tianyang;Rutkowski Marek
- 期刊名称：《Finance and stochastics》 | 2016年第4期
- Collateral;
- Fair pricing;
- Funding costs;
34.Model-independent superhedging under portfolio constraints

机译：投资组合约束下与模型无关的超级对冲
- 作者：Fahim Arash;Huang Yu-Jui
- 期刊名称：《Finance and stochastics》 | 2016年第1期
35.Optimal portfolio liquidation in target zone models and catalytic superprocesses

机译：目标区域模型和催化超级过程中的最佳投资组合清算
- 作者：Neuman Eyal;Schied Alexander
- 期刊名称：《Finance and stochastics》 | 2016年第2期
- Optimal portfolio liquidation;
- Market impact;
- Target zone models;
- Optimal stochastic control;
- Catalytic superprocess;
36.Short-time expansions for close-to-the-money options under a Levy jump model with stochastic volatility

机译：在具有随机波动率的Levy跳跃模型下，短时扩展近价货币期权
- 作者：Figueroa-Lopez Jose E.;Olafsson Sveinn
- 期刊名称：《Finance and stochastics》 | 2016年第1期
- Exponential Levy models;
- Stochastic volatility models;
- Short-time asymptotics;
- ATM option pricing;
- Implied volatility;
37.Liquidity management with decreasing returns to scale and secured credit line

机译：具有规模收益递减和担保信贷额度的流动性管理
- 作者：Pierre Erwan;Villeneuve Stephane;Warin Xavier
- 期刊名称：《Finance and stochastics》 | 2016年第4期
- Investment;
- Dividend policy;
- Singular control;
- Viscosity solution;
38.Polynomial diffusions and applications in finance

机译：多项式扩散及其在金融中的应用
- 作者：Filipovic Damir;Larsson Martin
- 期刊名称：《Finance and stochastics》 | 2016年第4期
- Polynomial diffusions;
- Polynomial diffusion models in finance;
- Stochastic invariance;
- Boundary attainment;
- Moment problem;
39.Risk measures with the CxLS property

机译：CxLS属性的风险衡量
- 作者：Delbaen Freddy;Bellini Fabio;Bignozzi Valeria;Ziegel Johanna F.
- 期刊名称：《Finance and stochastics》 | 2016年第2期
- Decision theory;
- Elicitability;
- Convex level sets;
- Mixture continuity;
- Robustness;
40.The distribution of the maximum of a variance gamma process and path-dependent option pricing (Retraction of vol 19, pg 979, 2015)

机译：差异伽玛过程和与路径相关的期权定价的最大值的分布（第19卷的撤稿，第979页，2015年）
- 作者：Ivanov Roman V.
- 期刊名称：《Finance and stochastics》 | 2016年第3期
41.Weakly time consistent concave valuations and their dual representations

机译：时间一致的凹凹估值及其双重表示
- 作者：Roorda Berend;Schumacher Johannes M.
- 期刊名称：《Finance and stochastics》 | 2016年第1期
- Convex risk measures;
- Concave valuations;
- Duality;
- Weak time consistency;
- Risk aversion;
42.Facelifting in utility maximization

机译：效用最大化中的整容
- 作者：Larsen Kasper;Soner Halil Mete;Zitkovic Gordan
- 期刊名称：《Finance and stochastics》 | 2016年第1期
- Boundary layer;
- Convex analysis;
- Convex duality;
- Facelift;
- Financial mathematics;
- Incomplete markets;
- Markov processes;
- Utility maximization;
- Unspanned endowment;
43.An example of a stochastic equilibrium with incomplete markets

机译：市场不完整的随机均衡例子
- 作者：?itkovi? G.
- 期刊名称：《Finance and stochastics》 | 2012年第2期
- Equilibrium;
- Exponential utility;
- Incomplete markets;
- Mathematical finance;
44.Risk assessment for uncertain cash flows: Model ambiguity, discounting ambiguity, and the role of bubbles

机译：不确定现金流量的风险评估：模型歧义，折现歧义以及泡沫的作用
- 作者：Acciaio B.;F?llmer H.;Penner I.
- 期刊名称：《Finance and stochastics》 | 2012年第4期
45.Deterministic criteria for the absence of arbitrage in one-dimensional diffusion models

机译：一维扩散模型中不存在套利的确定性标准
- 作者：Mijatovi? A.;Urusov M.
- 期刊名称：《Finance and stochastics》 | 2012年第2期
- Free lunch with vanishing risk;
- Generalised arbitrage;
- One-dimensional diffusions;
- Relative arbitrage;
46.Polynomial processes and their applications to mathematical finance

机译：多项式过程及其在数学金融中的应用
- 作者：Cuchiero C.;Keller-Ressel M.;Teichmann J.
- 期刊名称：《Finance and stochastics》 | 2012年第4期
- Affine processes;
- Analytic tractability;
- Diffusions with jumps;
- Hedging;
- Markov processes;
- Pricing;
47.Tangent Lévy market models

机译：TangentLévy市场模型
- 作者：Carmona R.;Nadtochiy S.
- 期刊名称：《Finance and stochastics》 | 2012年第1期
48.Model-independent hedging strategies for variance swaps

机译：与模型无关的套期保值对冲策略
- 作者：Hobson D.;Klimmek M.
- 期刊名称：《Finance and stochastics》 | 2012年第4期
- Hedging strategies;
- Jumps;
- Model-independent bounds;
- No-arbitrage prices;
- Skorokhod embedding;
- Variance swaps;
49.Pricing and hedging of credit derivatives via the innovations approach to nonlinear filtering

机译：通过非线性滤波的创新方法对信用衍生产品进行定价和对冲
- 作者：Frey R.;Schmidt T.
- 期刊名称：《Finance and stochastics》 | 2012年第1期
- Credit derivatives;
- Hedging;
- Incomplete information;
- Nonlinear filtering;
50.Maximum entropy distributions inferred from option portfolios on an asset

机译：从资产的期权组合推断出的最大熵分布
- 作者：Neri C.;Schneider L.
- 期刊名称：《Finance and stochastics》 | 2012年第2期
- Asset distribution;
- Entropy;
- I-divergence;
- Information theory;
- Option pricing;
- Volatility smile;
51.Variance swaps on time-changed Lévy processes

机译：时变Lévy流程的方差互换
- 作者：Carr P.;Lee R.;Wu L.
- 期刊名称：《Finance and stochastics》 | 2012年第2期
- Lévy process;
- Time change;
- Variance swap;
52.Horizon dependence of utility optimizers in incomplete models

机译：残缺模型中效用优化器的水平依赖性
- 作者：Larsen K.;Yu H.
- 期刊名称：《Finance and stochastics》 | 2012年第4期
- Brownian motion;
- Expected utility theory;
- Incompleteness;
- Interest rate process;
- Market price of risk process;
53.Market viability via absence of arbitrage of the first kind

机译：没有第一类套利的市场生存能力
- 作者：Kardaras C.
- 期刊名称：《Finance and stochastics》 | 2012年第4期
54.An optimal stopping problem with a reward constraint

机译：具有奖励约束的最优停止问题
- 作者：Detemple J.;Tian W.;Xiong J.
- 期刊名称：《Finance and stochastics》 | 2012年第3期
- Endogenous constraint;
- Equity-trigger protection;
- Optimal stopping;
- Protective covenant;
55.A pure martingale dual for multiple stopping

机译：纯mar双重停止
- 作者：Schoenmakers J.
- 期刊名称：《Finance and stochastics》 | 2012年第2期
- Dual representations;
- Multiple callable derivatives;
- Multiple stopping;
56.Optimal dividend distribution under Markov regime switching

机译：马尔可夫政权切换下的最优股利分配
- 作者：Jiang Z.;Pistorius M.
- 期刊名称：《Finance and stochastics》 | 2012年第3期
- Optimal dividend distribution;
- Regime switching;
- Stochastic control;
57.Pricing growth-rate risk

机译：定价增长率风险
- 作者：Hansen L.P.;Scheinkman J.A.
- 期刊名称：《Finance and stochastics》 | 2012年第1期
- Elasticities;
- Growth-rate risk;
- Markov process;
- Pricing dynamics;
58.Singular risk-neutral valuation equations

机译：奇异的风险中性估值方程
- 作者：Costantini C.;Papi M.;DIppoliti F.
- 期刊名称：《Finance and stochastics》 | 2012年第2期
- Asian options;
- Degenerate integro-differential equations;
- Jump-diffusion;
- Stochastic volatility;
- Viscosity solutions;
59.Generalized stochastic target problems for pricing and partial hedging under loss constraints-application in optimal book liquidation

机译：损失约束下定价与部分套期的广义随机目标问题-在最佳清算中的应用
- 作者：Bouchard B.;Dang N.-M.
- 期刊名称：《Finance and stochastics》 | 2013年第1期
- Book liquidation;
- Pricing under risk constraint;
- State constraints;
- Stochastic target problems;
60.On the game interpretation of a shadow price process in utility maximization problems under transaction costs

机译：交易成本下效用最大化问题中影子价格过程的博弈解释
- 作者：Rokhlin D.B.
- 期刊名称：《Finance and stochastics》 | 2013年第4期
- Duality;
- Lower semicontinuous envelope;
- Saddle point;
- Shadow price process;
- Transaction costs;
- Utility maximization;
61.Bounds for the sum of dependent risks and worst Value-at-Risk with monotone marginal densities

机译：具有单调边际密度的相关风险和最差风险价值之和的界限
- 作者：Wang R.;Peng L.;Yang J.
- 期刊名称：《Finance and stochastics》 | 2013年第2期
- Complete mixability;
- Monotone density;
- Sum of dependent risks;
- Value-at-Risk;
62.Quantitative error estimates for a least-squares Monte Carlo algorithm for American option pricing

机译：用于美国期权定价的最小二乘蒙特卡洛算法的量化误差估计
- 作者：Zanger D.Z.
- 期刊名称：《Finance and stochastics》 | 2013年第3期
- American options;
- Dynamic programming;
- Least-squares Monte Carlo;
- Longstaff-Schwartz algorithm;
- Statistical learning;
63.Robust utility maximization for a diffusion market model with misspecified coefficients

机译：系数不正确的扩散市场模型的鲁棒效用最大化
- 作者：Tevzadze R.;Toronjadze T.;Uzunashvili T.
- 期刊名称：《Finance and stochastics》 | 2013年第3期
- Generalized control;
- Hamilton-Jacobi-Bellman-Isaacs equation;
- Maximin problem;
- Robust utility maximization;
- Saddle point;
64.Market selection with learning and catching up with the Joneses

机译：通过学习和追赶琼斯的市场选择
- 作者：Muraviev R.
- 期刊名称：《Finance and stochastics》 | 2013年第2期
- Catching up with the Joneses;
- Diverse beliefs;
- Heterogeneous equilibrium;
- Learning;
- Natural selection;
- Survival index;
65.The dual optimizer for the growth-optimal portfolio under transaction costs

机译：交易成本下用于增长最优投资组合的双重优化器
- 作者：Gerhold S.;Muhle-Karbe J.;Schachermayer W.
- 期刊名称：《Finance and stochastics》 | 2013年第2期
- Growth-optimal portfolio;
- Shadow price;
- Transaction costs;
66.Exercise boundary of the American put near maturity in an exponential Lévy model

机译：美国人的运动边界在指数Lévy模型中趋于成熟
- 作者：Lamberton D.;Mikou M.A.
- 期刊名称：《Finance and stochastics》 | 2013年第2期
- American put;
- Free boundary;
- Optimal stopping;
- Variational inequality;
67.Variation and share-weighted variation swaps on time-changed Lévy processes

机译：时变Lévy流程的变异和份额加权变异交换
- 作者：Carr P.;Lee R.
- 期刊名称：《Finance and stochastics》 | 2013年第4期
- Gamma swap;
- Hedging;
- Lévy process;
- Moment swap;
- Time change;
- Variance swap;
- Weighted variation swap;
68.Model-independent bounds for option prices-a mass transport approach

机译：期权价格的模型无关范围-大众运输方式
- 作者：Beiglb?ck M.;Henry-Labordère P.;Penkner F.
- 期刊名称：《Finance and stochastics》 | 2013年第3期
69.Optimal dividend policies with transaction costs for a class of jump-diffusion processes

机译：具有一类跳跃扩散过程的交易成本的最优股利政策
- 作者：Hunting M.;Paulsen J.
- 期刊名称：《Finance and stochastics》 | 2013年第1期
- Barrier strategy;
- Impulse control;
- Jump-diffusion models;
- Numerical solution;
- Optimal dividends;
- Singular control;
70.Erratum to Asset price bubbles from heterogeneous beliefs about mean reversion rates (Finance Stoch, (2011), 15, (221-241), 10.1007/s00780-010-0124-x)

机译：从关于平均恢复率的异构信念到资产价格泡沫的勘误表（Finance Stoch，（2011），15，（221-241），10.1007 / s00780-010-0124-x）
- 作者：Chen X.;Kohn R.V.
- 期刊名称：《Finance and stochastics》 | 2013年第1期
71.Outperformance portfolio optimization via the equivalence of pure and randomized hypothesis testing

机译：通过等同于纯假设和随机假设检验的业绩优化投资组合
- 作者：Leung T.;Song Q.;Yang J.
- 期刊名称：《Finance and stochastics》 | 2013年第4期
- Hypothesis testing;
- Neyman-Pearson lemma;
- Portfolio optimization;
- Quantile hedging;
- Stochastic benchmark;
72.Bubbles and crashes in a Black-Scholes model with delay

机译：Black-Scholes模型中的气泡和崩溃具有延迟
- 作者：Appleby J.A.D.;Riedle M.;Swords C.
- 期刊名称：《Finance and stochastics》 | 2013年第1期
73.Duality and convergence for binomial markets with friction

机译：具有摩擦的二项式市场的二元性和收敛性
- 作者：Dolinsky Y.;Soner H.M.
- 期刊名称：《Finance and stochastics》 | 2013年第3期
- Binomial model;
- G-Expectation;
- Limit theorems;
- Liquidity;
- Super-replication;
74.On the existence of shadow prices

机译：关于影子价格的存在
- 作者：Benedetti G.;Campi L.;Kallsen J.;Muhle-Karbe J.
- 期刊名称：《Finance and stochastics》 | 2013年第4期
- Shadow prices;
- Short selling constraints;
- Transaction costs;
75.Dynamic no-good-deal pricing measures and extension theorems for linear operators on L~∞

机译：L〜∞上线性算子的动态不良交易定价方法和扩展定理
- 作者：Bion-Nadal J.;Di Nunno G.
- 期刊名称：《Finance and stochastics》 | 2013年第3期
- Dynamic risk measure;
- Equivalent martingale measure;
- Extension theorem;
- Fundamental theorem;
- Good deal;
- Price operator;
- Representation theorem;
76.Optimal consumption and investment for markets with random coefficients

机译：具有随机系数的市场的最优消费和投资
- 作者：Berdjane B.;Pergamenshchikov S.
- 期刊名称：《Finance and stochastics》 | 2013年第2期
77.A reading guide for last passage times with financial applications in view

机译：有关最后通过时间的阅读指南，并考虑了财务应用
- 作者：Nikeghbali A.;Platen E.
- 期刊名称：《Finance and stochastics》 | 2013年第3期
- Class Σ;
- Last passage times;
- Running maximum;
78.Mean-variance hedging with oil futures

机译：石油期货均值对冲
- 作者：Wang L.;Wissel J.
- 期刊名称：《Finance and stochastics》 | 2013年第4期
- Energy futures market;
- Fuel hedging;
- Mean-variance hedging;
79.Time-consistent mean-variance portfolio selection in discrete and continuous time

机译：离散和连续时间中时间一致的均方差投资组合选择
- 作者：Czichowsky C.
- 期刊名称：《Finance and stochastics》 | 2013年第2期
80.The optimal-drift model: An accelerated binomial scheme

机译：最优漂移模型：加速二项式方案
- 作者：Korn R.;Müller S.
- 期刊名称：《Finance and stochastics》 | 2013年第1期
- Accelerated convergence;
- Binomial model;
- Black-Scholes model;
- Option pricing;
- Weak convergence;
81.Asymptotic and exact pricing of options on variance

机译：差异期权的渐近和精确定价
- 作者：Keller-Ressel M.;Muhle-Karbe J.
- 期刊名称：《Finance and stochastics》 | 2013年第1期
- Fourier-Laplace methods;
- Option pricing;
- Quadratic variation;
- Realized variance;
- Small-time asymptotics;
82.Optimal hedging of demographic risk in life insurance

机译：人寿保险中人口风险的最佳对冲
- 作者：Norberg R.
- 期刊名称：《Finance and stochastics》 | 2013年第1期
- Mean-variance hedging;
- Mortality derivatives;
- Optimal design of derivatives;
- Stochastic mortality;
83.Equilibrium model with default and dynamic insider information

机译：具有默认和动态内部人信息的均衡模型
- 作者：Campi L.;?etin U.;Danilova A.
- 期刊名称：《Finance and stochastics》 | 2013年第3期
- Default time;
- Defaultable claim;
- Dynamic Bessel bridge;
- Dynamic information;
- Equilibrium;
- Insider trading;
84.Drift dependence of optimal trade execution strategies under transient price impact

机译：瞬时价格影响下最优交易执行策略的漂移依赖性
- 作者：Lorenz C.;Schied A.
- 期刊名称：《Finance and stochastics》 | 2013年第4期
- Optimal order execution;
- Optimal trade execution;
- Singular control;
- Transient price impact;
- Verification argument;
85.Correction note for 'The large-maturity smile for the Heston model'

机译：“ Heston模型的大笑容”更正说明
- 作者：Bernard C.;Cui Z.;Forde M.;Jacquier A.;McLeish D.;Mijatovi? A.
- 期刊名称：《Finance and stochastics》 | 2013年第1期
- Heston model;
- Tail probabilities;
86.Discretely sampled variance and volatility swaps versus their continuous approximations

机译：离散采样的方差和波动率互换与它们的连续近似值
- 作者：Jarrow R.;Kchia Y.;Larsson M.;Protter P.
- 期刊名称：《Finance and stochastics》 | 2013年第2期
- NFLVR;
- Semimartingales;
- Variance swaps;
- Volatility swaps;
87.Portfolio optimisation under non-linear drawdown constraints in a semimartingale financial model

机译：半市场金融模型中非线性亏损约束下的投资组合优化
- 作者：Cherny V.;Ob?ój J.
- 期刊名称：《Finance and stochastics》 | 2013年第4期
- Asymptotic growth rate;
- Azéma-Yor processes;
- Drawdown constraint;
- Portfolio optimisation;
88.Multilevel dual approach for pricing American style derivatives

机译：多级双重定价美式衍生产品定价
- 作者：Belomestny D.;Schoenmakers J.;Dickmann F.
- 期刊名称：《Finance and stochastics》 | 2013年第4期
- Dual approach;
- Multilevel Monte Carlo;
- Optimal stopping;
89.Consumption-portfolio optimization with recursive utility in incomplete markets

机译：不完全市场中具有递归效用的消费组合优化
- 作者：Kraft H.;Seifried F.T.;Steffensen M.
- 期刊名称：《Finance and stochastics》 | 2013年第1期
90.Stochastic mortality models: an infinite-dimensional approach

机译：随机死亡率模型：无穷维方法
- 作者：Stefan Tappe;StefanWeber
- 期刊名称：《Finance and stochastics》 | 2014年第1期
91.On arbitrages arising with honest times

机译：诚实时代带来的套利
- 作者：Claudio Fontana;Monique Jeanblanc;Shiqi Song
- 期刊名称：《Finance and stochastics》 | 2014年第3期
- Honest time;
- Progressive enlargement of filtrations;
- Arbitrage;
- Free lunch with vanishing risk;
- Local martingale deflator;
92.Bilateral credit valuation adjustment for large credit derivatives portfolios

机译：大型信用衍生产品组合的双边信用评估调整
- 作者：Lijun Bo;Agostino Capponi
- 期刊名称：《Finance and stochastics》 | 2014年第2期
- Credit valuation adjustment;
- Weak convergence;
- Doubly stochastic processes;
- Credit default swaps;
93.On q-optimal martingale measures in exponential Levy models

机译：关于指数征税模型中的q-最优mar测度
- 作者：Bender C;Niethammer CR
- 期刊名称：《Finance and stochastics》 | 2008年第3期
- stochastic duality;
- q-optimal martingale measure;
- minimal entropy martingale measure;
- Levy processes;
- UTILITY PROBLEM;
- CONVERGENCE;
- PROPERTY;
94.Universal bounds for asset prices in heterogeneous economies

机译：异构经济体中资产价格的普遍界限
- 作者：Malamud S
- 期刊名称：《Finance and stochastics》 | 2008年第3期
- heterogeneity;
- asset prices;
- yield curve;
- bounds;
- HABIT FORMATION;
- TERM STRUCTURE;
- INTEREST-RATES;
- AGGREGATION;
- PREFERENCES;
- JONESES;
- MODEL;
95.Long run forward rates and long yields of bonds and options in heterogeneous equilibria

机译：异质均衡中的长期远期利率和债券及期权的长期收益
- 作者：Malamud S
- 期刊名称：《Finance and stochastics》 | 2008年第2期
- heterogeneity;
- asset prices;
- yield curve;
- forward rates;
- option;
- ASSET PRICES;
- HABIT FORMATION;
- TERM STRUCTURE;
- NEVER FALL;
- MODEL;
- PREFERENCES;
- UNIQUENESS;
- EXISTENCE;
96.Arbitrage-free market models for option prices: the multi-strike case

机译：期权价格的无套利市场模型：多执行案例
- 作者：Schweizer M;Wissel J
- 期刊名称：《Finance and stochastics》 | 2008年第4期
- option prices;
- market model;
- implied volatility;
- static arbitrage;
- dynamic arbitrage;
- drift restrictions;
- existence result;
- STOCHASTIC VOLATILITY;
- IMPLIED VOLATILITY;
- BOND;
97.Optimal lifetime consumption and investment under a drawdown constraint

机译：缩水约束下的最佳使用寿命消耗和投资
- 作者：Elie R;Touzi N
- 期刊名称：《Finance and stochastics》 | 2008年第3期
- portfolio allocation;
- drawdown constraint;
- duality;
- verification;
- PORTFOLIO SELECTION;
- DIFFUSION PROCESS;
- COSTS;
98.Dynamic risk measures: Time consistency and risk measures from BMO martingales

机译：动态风险衡量：BMO Time的时间一致性和风险衡量
- 作者：Bion-Nadal J
- 期刊名称：《Finance and stochastics》 | 2008年第2期
- dynamic risk measures;
- conditional risk measures;
- time consistency;
- BMO martingales;
99.No arbitrage and closure results for trading cones with transaction costs

机译：没有带交易成本的交易锥体的套利和平仓结果
- 作者：Jacka S;Berkaoui A;Warren J
- 期刊名称：《Finance and stochastics》 | 2008年第4期
- arbitrage;
- proportional transaction costs;
- fundamental theorem of asset pricing;
- convex cone;
- FINITE DISCRETE-TIME;
- FUNDAMENTAL THEOREM;
- MARKETS;
100.Free boundary and optimal stopping problems for American Asian options

机译：美国亚洲期权的自由边界和最佳止损问题
- 作者：Pascucci A
- 期刊名称：《Finance and stochastics》 | 2008年第1期
- American option;
- Asian option;
- free boundary problem;
- optimal stopping;
- DISCONTINUOUS COEFFICIENTS;
- DIFFERENTIAL EQUATIONS;
- VALUATION;

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