Most Recent Articles: Probability, Uncertainty and Quantitative Riskhttps://probability-risk.springeropen.comMost Recent Articles: Probability, Uncertainty and Quantitative RiskInformation uncertainty related to marked random times and optimal investmenthttps://probability-risk.springeropen.com/articles/10.1186/s41546-018-0029-8We study an optimal investment problem under default risk where related information such as loss or recovery at default is considered as an exogenous random mark added at default time. Two types of agents who ...ResearchThu, 10 May 2018 00:00:00 GMThttps://probability-risk.springeropen.com/articles/10.1186/s41546-018-0029-8Ying Jiao and Idris Kharroubi2018-05-10T00:00:00ZArbitrage-free pricing of derivatives in nonlinear market modelshttps://probability-risk.springeropen.com/articles/10.1186/s41546-018-0027-xThe objective of this paper is to provide a comprehensive study of the no-arbitrage pricing of financial derivatives in the presence of funding costs, the counterparty credit risk and market frictions affectin...ResearchSat, 21 Apr 2018 00:00:00 GMThttps://probability-risk.springeropen.com/articles/10.1186/s41546-018-0027-xTomasz R. Bielecki, Igor Cialenco and Marek Rutkowski2018-04-21T00:00:00ZContinuous tenor extension of affine LIBOR models with multiple curves and applications to XVAhttps://probability-risk.springeropen.com/articles/10.1186/s41546-017-0025-4We consider the class of affine LIBOR models with multiple curves, which is an analytically tractable class of discrete tenor models that easily accommodates positive or negative interest rates and positive sp...ResearchWed, 10 Jan 2018 00:00:00 GMThttps://probability-risk.springeropen.com/articles/10.1186/s41546-017-0025-4Antonis Papapantoleon and Robert Wardenga2018-01-10T00:00:00ZGood deal hedging and valuation under combined uncertainty about drift and volatilityhttps://probability-risk.springeropen.com/articles/10.1186/s41546-017-0024-5We study robust notions of good-deal hedging and valuation under combined uncertainty about the drifts and volatilities of asset prices. Good-deal bounds are determined by a subset of risk-neutral pricing meas...ResearchFri, 29 Dec 2017 00:00:00 GMThttps://probability-risk.springeropen.com/articles/10.1186/s41546-017-0024-5Dirk Becherer and Klebert Kentia2017-12-29T00:00:00ZFinancial asset price bubbles under model uncertaintyhttps://probability-risk.springeropen.com/articles/10.1186/s41546-017-0026-3ResearchFri, 22 Dec 2017 00:00:00 GMThttps://probability-risk.springeropen.com/articles/10.1186/s41546-017-0026-3Francesca Biagini and Jacopo Mancin2017-12-22T00:00:00Z