Most Recent Articles: Probability, Uncertainty and Quantitative Riskhttps://probability-risk.springeropen.comMost Recent Articles: Probability, Uncertainty and Quantitative RiskContinuous 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 Mancin2017-12-22T00:00:00ZPortfolio optimization of credit swap under funding costshttps://probability-risk.springeropen.com/articles/10.1186/s41546-017-0023-6We develop a dynamic optimization framework to assess the impact of funding costs on credit swap investments. A defaultable investor can purchase CDS upfronts, borrow at a rate depending on her credit quality,...ResearchMon, 04 Dec 2017 00:00:00 GMThttps://probability-risk.springeropen.com/articles/10.1186/s41546-017-0023-6Lijun Bo2017-12-04T00:00:00ZCharacterization of optimal feedback for stochastic linear quadratic control problemshttps://probability-risk.springeropen.com/articles/10.1186/s41546-017-0022-7One of the fundamental issues in Control Theory is to design feedback controls. It is well-known that, the purpose of introducing Riccati equations in the study of deterministic linear quadratic control proble...ResearchWed, 27 Sep 2017 00:00:00 GMThttps://probability-risk.springeropen.com/articles/10.1186/s41546-017-0022-7Qi Lü, Tianxiao Wang and Xu Zhang2017-09-27T00:00:00Z