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Blackwell Publishing

Mathematical Finance

Contact information of Blackwell Publishing:
Web page: http://www.blackwellpublishing.com/journal.asp?ref=0960-1627

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Web: http://www.blackwellpublishing.com/subs.asp?ref=0960-1627
Editor: Dilip B. Madan
For technical questions regarding this series, please contact (Christopher F. Baum)
Series handle: repec:bla:mathfi

2007, Volume 17, Issue 3

319-343 Portfolio Management With Constraints
by Phelim Boyle & Weidong Tian [Downloadable! (restricted)]
345-379 Large Deviations In Multifactor Portfolio Credit Risk
by Paul Glasserman & Wanmo Kang & Perwez Shahabuddin [Downloadable! (restricted)]
381-397 Properties Of Option Prices In Models With Jumps
by Erik Ekström & Johan Tysk [Downloadable! (restricted)]
399-426 A State-Space Partitioning Method For Pricing High-Dimensional American-Style Options
by Xing Jin & Hwee Huat Tan & Junhua Sun [Downloadable! (restricted)]
427-447 Heath-Jarrow-Morton Interest Rate Dynamics And Approximately Consistent Forward Rate Curves
by Claudia La Chioma & Benedetto Piccoli [Downloadable! (restricted)]
449-476 An Old-New Concept Of Convex Risk Measures: The Optimized Certainty Equivalent
by Aharon Ben-Tal & Marc Teboulle [Downloadable! (restricted)]

2007, Volume 17, Issue 2

155-173 Correlated Defaults In Intensity-Based Models
by Fan Yu [Downloadable! (restricted)]
175-203 Optimal Continuous-Time Hedging With Leptokurtic Returns
by Ales Černý [Downloadable! (restricted)]
205-224 Portfolio Optimization With Jumps And Unobservable Intensity Process
by Nicole Bäuerle & Ulrich Rieder [Downloadable! (restricted)]
225-247 Duality In Optimal Investment And Consumption Problems With Market Frictions
by I. Klein & L. C. G. Rogers [Downloadable! (restricted)]
249-265 Exact Solution Of A Martingale Stochastic Volatility Option Problem And Its Empirical Evaluation
by Y. Maghsoodi [Downloadable! (restricted)]
267-283 On The Timing Option In A Futures Contract
by Francesca Biagini & Tomas Björk [Downloadable! (restricted)]
285-306 Diffusion Models For Exchange Rates In A Target Zone
by Kristian Stegenborg Larsen & Michael Sørensen [Downloadable! (restricted)]
307-317 Stock Loans
by Jianming Xia & Xun Yu Zhou [Downloadable! (restricted)]

2007, Volume 17, Issue 1

1-14 The Range Of Traded Option Prices
by Mark H. A. Davis & David G. Hobson [Downloadable! (restricted)]
15-29 Modeling Liquidity Effects In Discrete Time
by Umut Çetin & L. C. G. Rogers [Downloadable! (restricted)]
31-57 Self-Decomposability And Option Pricing
by Peter Carr & Hélyette Geman & Dilip B. Madan & Marc Yor [Downloadable! (restricted)]
59-79 Hedging Under Gamma Constraints By Optimal Stopping And Face-Lifting
by H. Mete Soner & Nizar Touzi [Downloadable! (restricted)]
81-109 Optimal Dividend Policy With Mean-Reverting Cash Reservoir
by Abel Cadenillas & Sudipto Sarkar & Fernando Zapatero [Downloadable! (restricted)]
111-141 Theory And Calibration Of Swap Market Models
by S. Galluccio & J.-M. Ly & Z. Huang & O. Scaillet [Downloadable! (restricted)]
143-153 Monotonicity Properties Of Optimal Investment Strategies For Log-Brownian Asset Prices
by Christer Borell [Downloadable! (restricted)]

2006, Volume 16, Issue 4

589-612 Risk Measures And Capital Requirements For Processes
by Marco Frittelli & Giacomo Scandolo [Downloadable! (restricted)]
613-633 A Multinomial Approximation For American Option Prices In Lévy Process Models
by Ross A. Maller & David H. Solomon & Alex Szimayer [Downloadable! (restricted)]
635-645 Lifting Quadratic Term Structure Models To Infinite Dimension
by Jirô Akahori & Keisuke Hara [Downloadable! (restricted)]
647-671 Asset Allocation And Annuity-Purchase Strategies To Minimize The Probability Of Financial Ruin
by Moshe A. Milevsky & Kristen S. Moore & Virginia R. Young [Downloadable! (restricted)]
673-694 Pricing Swaptions And Coupon Bond Options In Affine Term Structure Models
by David F. Schrager & Antoon A. J. Pelsser [Downloadable! (restricted)]

2006, Volume 16, Issue 3

469-494 Pricing A Class Of Exotic Options Via Moments And Sdp Relaxations
by J. B. Lasserre & T. Prieto-Rumeau & M. Zervos [Downloadable! (restricted)]
495-517 Hedging With Energy
by Francesco Corielli [Downloadable! (restricted)]
519-547 Model Uncertainty And Its Impact On The Pricing Of Derivative Instruments
by Rama Cont [Downloadable! (restricted)]
549-568 NEWS-GENERATED DEPENDENCE AND OPTIMAL PORTFOLIOS FOR "n" STOCKS IN A MARKET OF BARNDORFF-NIELSEN AND SHEPHARD TYPE
by Carl Lindberg [Downloadable! (restricted)]
569-582 No Arbitrage Under Transaction Costs, With Fractional Brownian Motion And Beyond
by Paolo Guasoni [Downloadable! (restricted)]
583-588 A Comment On Market Free Lunch And Free Lunch
by Irene Klein [Downloadable! (restricted)]

2006, Volume 16, Issue 2

237-254 Valuation Of Floating Range Notes In Lévy Term-Structure Models
by Ernst Eberlein & Wolfgang Kluge [Downloadable! (restricted)]
255-282 Pricing Equity Derivatives Subject To Bankruptcy
by Vadim Linetsky [Downloadable! (restricted)]
283-299 Portfolio Optimization With Downside Constraints
by Peter Lakner & Lan Ma Nygren [Downloadable! (restricted)]
301-335 Multidimensional Portfolio Optimization With Proportional Transaction Costs
by Kumar Muthuraman & Sunil Kumar [Downloadable! (restricted)]
337-357 Nonparametric Kernel-Based Sequential Investment Strategies
by László Györfi & Gábor Lugosi & Frederic Udina [Downloadable! (restricted)]
359-385 Optimal Static-Dynamic Hedges For Barrier Options
by Aytaç İlhan & Ronnie Sircar [Downloadable! (restricted)]
387-417 Portfolio Insurance And Volatility Regime Switching
by Joel M. Vanden [Downloadable! (restricted)]
419-441 Distribution-Invariant Risk Measures, Information, And Dynamic Consistency
by Stefan Weber [Downloadable! (restricted)]
443-467 Disutility, Optimal Retirement, And Portfolio Selection
by Kyoung Jin Choi & Gyoocheol Shim [Downloadable! (restricted)]

2006, Volume 16, Issue 1

1-19 More On Minimal Entropy-Hellinger Martingale Measure
by Tahir Choulli & Christophe Stricker [Downloadable! (restricted)]
21-52 Approximating Garch-Jump Models, Jump-Diffusion Processes, And Option Pricing
by Jin-Chuan Duan & Peter Ritchken & Zhiqiang Sun [Downloadable! (restricted)]
53-61 A Note On Semivariance
by Hanqing Jin & Harry Markowitz & Xun Yu Zhou [Downloadable! (restricted)]
63-82 Characterization Of Optimal Stopping Regions Of American Asian And Lookback Options
by Min Dai & Yue Kuen Kwok [Downloadable! (restricted)]
83-101 Optimal Lot Solution To Cardinality Constrained Mean-Variance Formulation For Portfolio Selection
by Duan Li & Xiaoling Sun & Jun Wang [Downloadable! (restricted)]
103-117 Constrained Optimization With Respect To Stochastic Dominance: Application To Portfolio Insurance
by Nicole El Karoui & Asma Meziou [Downloadable! (restricted)]
119-129 A Universal Optimal Consumption Rate For An Insider
by Bernt Øksendal [Downloadable! (restricted)]
131-151 A Benchmark Approach To Finance
by Eckhard Platen [Downloadable! (restricted)]
153-179 Utility Maximization In An Insider Influenced Market
by Arturo Kohatsu-Higa & Agnès Sulem [Downloadable! (restricted)]
181-202 Classical And Impulse Stochastic Control For The Optimization Of The Dividend And Risk Policies Of An Insurance Firm
by Abel Cadenillas & Tahir Choulli & Michael Taksar & Lei Zhang [Downloadable! (restricted)]
203-216 Markowitz'S Portfolio Optimization In An Incomplete Market
by Jianming Xia & Jia-An Yan [Downloadable! (restricted)]
217-236 Stock Liquidation Via Stochastic Approximation Using Nasdaq Daily And Intra-Day Data
by G. Yin & Q. Zhang & F. Liu & R. H. Liu & Y. Cheng [Downloadable! (restricted)]

2005, Volume 15, Issue 4

539-568 Closed-Form Solutions For Optimal Portfolio Selection With Stochastic Interest Rate And Investment Constraints
by Jérˆme Detemple & Marcel Rindisbacher [Downloadable! (restricted)]
569-587 Options And Efficiency In Multidate Security Markets
by Alexandre M. Baptista [Downloadable! (restricted)]
589-612 Coherent Acceptability Measures In Multiperiod Models
by Berend Roorda & J. M. Schumacher & Jacob Engwerda [Downloadable! (restricted)]
613-634 A Representation Result For Concave Schur Concave Functions
by Rose-Anne Dana [Downloadable! (restricted)]
635-647 Lattice Option Pricing By Multidimensional Interpolation
by Vladislav Kargin [Downloadable! (restricted)]
649-651 A Short Note On Second-Order Stochastic Dominance Preserving Coherent Risk Measures
by Johannes Leitner [Downloadable! (restricted)]

2005, Volume 15, Issue 3

393-424 Pseudodiffusions And Quadratic Term Structure Models
by Sergei Levendorski&icaron; [Downloadable! (restricted)]
425-437 An Axiomatic Approach To Capital Allocation
by Michael Kalkbrener [Downloadable! (restricted)]
439-463 Critical Price Near Maturity For An American Option On A Dividend-Paying Stock In A Local Volatility Model
by Etienne Chevalier [Downloadable! (restricted)]
465-490 Minimal Entropy-Hellinger Martingale Measure In Incomplete Markets
by Tahir Choulli & Christophe Stricker [Downloadable! (restricted)]
491-531 Laguerre Series In Contingent Claim Valuation, With Applications To Asian Options
by Michael Schröder [Downloadable! (restricted)]
533-538 Mean-Variance Portfolio Choice: Quadratic Partial Hedging
by Jianming Xia [Downloadable! (restricted)]

2005, Volume 15, Issue 2

203-212 On Utility-Based Pricing Of Contingent Claims In Incomplete Markets
by Julien Hugonnier & Dmitry Kramkov & Walter Schachermayer [Downloadable! (restricted)]
213-244 Continuous-Time Mean-Variance Portfolio Selection With Bankruptcy Prohibition
by Tomasz R. Bielecki & Hanqing Jin & Stanley R. Pliska & Xun Yu Zhou [Downloadable! (restricted)]
245-259 A New Method Of Pricing Lookback Options
by Peter Buchen & Otto Konstandatos [Downloadable! (restricted)]
261-308 Optimal Reinsurance And Dividend Distribution Policies In The Cramér-Lundberg Model
by Pablo Azcue & Nora Muler [Downloadable! (restricted)]
309-343 Evaluating Hedging Errors: An Asymptotic Approach
by Takaki Hayashi & Per A. Mykland [Downloadable! (restricted)]
345-357 On The Error In The Monte Carlo Pricing Of Some Familiar European Path-Dependent Options
by Per Hörfelt [Downloadable! (restricted)]
359-371 Universal Investment In Markets With Transaction Costs
by Garud Iyengar [Downloadable! (restricted)]
373-391 The Black-Scholes Equation Revisited: Asymptotic Expansions And Singular Perturbations
by Martin Widdicks & Peter W. Duck & Ari D. Andricopoulos & David P. Newton [Downloadable! (restricted)]

2005, Volume 15, Issue 1

1-26 Default Risk And Diversification: Theory And Empirical Implications
by Robert A. Jarrow & David Lando & Fan Yu [Downloadable! (restricted)]
27-47 Stochastic Hyperbolic Dynamics For Infinite-Dimensional Forward Rates And Option Pricing
by Shin Ichi Aihara & Arunabha Bagchi [Downloadable! (restricted)]
49-59 Analytical Comparisons Of Option Prices In Stochastic Volatility Models
by Vicky Henderson [Downloadable! (restricted)]
61-97 Mean Variance Preferences, Expectations Formation, And The Dynamics Of Random Asset Prices
by Volker Böhm & Carl Chiarella [Downloadable! (restricted)]
99-117 EXISTENCE OF AN EQUILIBRIUM WITH DISCONTINUOUS PRICES, ASYMMETRIC INFORMATION, AND NONTRIVIAL INITIAL σ-FIELDS
by Caroline Hillairet [Downloadable! (restricted)]
119-168 A Quantization Tree Method For Pricing And Hedging Multidimensional American Options
by Vlad Bally & Gilles Pagès & Jacques Printems [Downloadable! (restricted)]
169-181 On The American Option Problem
by Goran Peskir [Downloadable! (restricted)]
183-189 A Note On Arbitrage And Closed Convex Cones
by Walter Schachermayer [Downloadable! (restricted)]
191-201 A Note On Nonaffine Solutions Of Term Structure Equations With Applications To Power Exchanges
by Josef Teichmann [Downloadable! (restricted)]

2004, Volume 14, Issue 4

487-513 The Squared Ornstein-Uhlenbeck Market
by J. Aquilina & L. C. G. Rogers [Downloadable! (restricted)]
515-536 Quadratic Term Structure Models For Risk-Free And Defaultable Rates
by Li Chen & Damir Filipović & H. Vincent Poor [Downloadable! (restricted)]
537-556 STOCHASTIC VOLATILITY MODELS, CORRELATION, AND THE "q"-OPTIMAL MEASURE
by David Hobson [Downloadable! (restricted)]
557-583 Monte Carlo Methods For The Valuation Of Multiple-Exercise Options
by N. Meinshausen & B. M. Hambly [Downloadable! (restricted)]
585-604 VASIČEK BEYOND THE NORMAL
by Ragnar Norberg [Downloadable! (restricted)]
605-618 Dynamic Minimization of Worst Conditional Expectation of Shortfall
by Jun Sekine [Downloadable! (restricted)]

2004, Volume 14, Issue 3

317-350 A General Framework For Pricing Credit Risk
by Alain BÉlanger & Steven E. Shreve & Dennis Wong [Downloadable! (restricted)]
351-357 Some Remarks On Arbitrage And Preferences In Securities Market Models
by Marco Frittelli [Downloadable! (restricted)]
359-381 Pricing In An Incomplete Market With An Affine Term Structure
by Virginia R. Young [Downloadable! (restricted)]
383-401 Optimal Shouting Policies Of Options With Strike Reset Right
by Min Dai & Yue Kuen Kwok & Lixin Wu [Downloadable! (restricted)]
403-414 On The Stability Of Continuous-Time Portfolio Problems With Stochastic Opportunity Set
by Ralf Korn & Holger Kraft [Downloadable! (restricted)]
415-444 A Family Of Term-Structure Models For Long-Term Risk Management And Derivative Pricing
by Andrew J. G. Cairns [Downloadable! (restricted)]
445-467 Quanto Lookback Options
by Min Dai & Hoi Ying Wong & Yue Kuen Kwok [Downloadable! (restricted)]
469-480 The Moment Formula For Implied Volatility At Extreme Strikes
by Roger W. Lee [Downloadable! (restricted)]
481-485 Choquet Insurance Pricing: A Caveat
by Erio Castagnoli & Fabio Maccheroni & Massimo Marinacci [Downloadable! (restricted)]

2004, Volume 14, Issue 2

141-161 Fundamental Theorems of Asset Pricing for Good Deal Bounds
by Jeremy Staum [Downloadable! (restricted)]
163-172 Pareto Equilibria with coherent measures of risk
by David Heath & Hyejin Ku [Downloadable! (restricted)]
173-200 Stochastic Volatility Corrections for Interest Rate Derivatives
by Peter Cotton & Jean-Pierre Fouque & George Papanicolaou & Ronnie Sircar [Downloadable! (restricted)]
201-221 On The Fundamental Theorem Of Asset Pricing: Random Constraints And Bang-Bang No-Arbitrage Criteria
by Igor V. Evstigneev & Klaus Schürger & Michael I. Taksar [Downloadable! (restricted)]
223-248 Valuation by Simulation of Contingent Claims with Multiple Early Exercise Opportunities
by Alfredo Ibáñez [Downloadable! (restricted)]
249-269 Exercise Regions And Efficient Valuation Of American Lookback Options
by Tze Leung Lai & Tiong Wee Lim [Downloadable! (restricted)]
271-293 Asymptotics of the price oscillations of a European call option in a tree model
by Francine Diener & MARC Diener [Downloadable! (restricted)]
295-315 A note on completeness in large financial markets
by Marzia De Donno [Downloadable! (restricted)]

2004, Volume 14, Issue 1

1-18 Hedging and Portfolio Optimization in Financial Markets with a Large Trader
by Peter Bank & Dietmar Baum [Downloadable! (restricted)]
19-48 The Fundamental Theorem of Asset Pricing under Proportional Transaction Costs in Finite Discrete Time
by Walter Schachermayer [Downloadable! (restricted)]
49-78 Black's Model of Interest Rates as Options, Eigenfunction Expansions and Japanese Interest Rates
by Viatcheslav Gorovoi & Vadim Linetsky [Downloadable! (restricted)]
79-97 MultiFactor Valuation of Floating Range Notes
by João Pedro Vidal Nunes [Downloadable! (restricted)]
99-113 Approximation of Optimal Reinsurance and Dividend Payout Policies
by Nicole Bäuerle [Downloadable! (restricted)]
115-129 Nonparametric Estimation and Sensitivity Analysis of Expected Shortfall
by O. Scaillet [Downloadable! (restricted)]
131-139 Should Stochastic Volatility Matter to the Cost-Constrained Investor?
by Scott M. Weiner [Downloadable! (restricted)]

2003, Volume 13, Issue 4

445-466 Option Pricing in Stochastic Volatility Models of the Ornstein-Uhlenbeck type
by Elisa Nicolato & Emmanouil Venardos [Downloadable! (restricted)]
467-480 Nonconvergence in the Variation of the Hedging Strategy of a European Call Option
by R. Th. Peters [Downloadable! (restricted)]
481-501 A Dynamic Investment Model with Control on the Portfolio's Worst Case Outcome
by Yonggan Zhao & Ulrich Haussmann & William T. Ziemba [Downloadable! (restricted)]
503-524 Pricing Discrete European Barrier Options Using Lattice Random Walks
by Per Hörfelt [Downloadable! (restricted)]

2003, Volume 13, Issue 3

345-382 Stochastic Volatility for Lévy Processes
by Peter Carr & Hélyette Geman & Dilip B. Madan & Marc Yor [Downloadable! (restricted)]
383-410 The Term Structure of Simple Forward Rates with Jump Risk
by Paul Glasserman & S. G. Kou [Downloadable! (restricted)]
411-444 A Partially Observed Model for Micromovement of Asset Prices with Bayes Estimation via Filtering
by Yong Zeng [Downloadable! (restricted)]

2003, Volume 13, Issue 2

215-244 Merton's portfolio optimization problem in a Black and Scholes market with non-Gaussian stochastic volatility of Ornstein-Uhlenbeck type
by Fred Espen Benth & Kenneth Hvistendahl Karlsen & Kristin Reikvam [Downloadable! (restricted)]
245-276 Efficient Universal Portfolios for Past-Dependent Target Classes
by Jason E. Cross & Andrew R. Barron [Downloadable! (restricted)]
277-300 The Defaultable Lévy Term Structure: Ratings and Restructuring
by Ernst Eberlein & Fehmi Özkan [Downloadable! (restricted)]
301-330 A General Fractional White Noise Theory And Applications To Finance
by Robert J. Elliott & John van der Hoek [Downloadable! (restricted)]
331-344 An optimal Strategy for Hedging with Short-Term Futures Contracts
by G. Larcher & G. Leobacher [Downloadable! (restricted)]

2003, Volume 13, Issue 1

1-16 First-Order Schemes in the Numerical Quantization Method
by V. Bally & G. Pagès & J. Printems [Downloadable! (restricted)]
17-35 The Price-Volatility Feedback Rate: An Implementable Mathematical Indicator of Market Stability
by Emilio Barucci & Paul Malliavin & Maria Elvira Mancino & Roberto Renò & Anton Thalmaier [Downloadable! (restricted)]
37-53 Optimal Malliavin Weighting Function for the Computation of the Greeks
by Eric Benhamou [Downloadable! (restricted)]
55-72 Explicit Representation of the Minimal Variance Portfolio in Markets Driven by Lévy Processes
by Fred Espen Benth & Giulia Di Nunno & Arne Løkka & Bernt Øksendal & Frank Proske [Downloadable! (restricted)]
73-84 Hedging Options: The Malliavin Calculus Approach versus the Δ-Hedging Approach
by Hans-Peter Bermin [Downloadable! (restricted)]
85-97 Local Vega Index and Variance Reduction Methods
by Hans-Peter Bermin & Arturo Kohatsu-Higa & Miquel Montero [Downloadable! (restricted)]
99-113 Monte Carlo Evaluation of Greeks for Multidimensional Barrier and Lookback Options
by Guillaume Bernis & Emmanuel Gobet & Arturo Kohatsu-Higa [Downloadable! (restricted)]
115-134 Error Calculus and Path Sensitivity in Financial Models
by Nicolas Bouleau [Downloadable! (restricted)]
135-151 Efficient Computation of Hedging Portfolios for Options with Discontinuous Payoffs
by Jaksa Cvitanić & Jin Ma & Jianfeng Zhang [Downloadable! (restricted)]
153-169 Malliavin's Calculus in Insider Models: Additional Utility and Free Lunches
by Peter Imkeller [Downloadable! (restricted)]
171-185 An Anticipating Calculus Approach to the Utility Maximization of an Insider
by Jorge A. León & Reyla Navarro & David Nualart [Downloadable! (restricted)]
187-199 Quantiles of the Euler Scheme for Diffusion Processes and Financial Applications
by Denis Talay & Ziyu Zheng [Downloadable! (restricted)]
201-214 Analysis of Error with Malliavin Calculus: Application to Hedging
by E. Temam [Downloadable! (restricted)]
iii-v Preface
by D. Lamberton & B. Lapeyre & A. Sulem [Downloadable! (restricted)]

2002, Volume 12, Issue 3

199-218 A General Approach to Hedging Options: Applications to Barrier and Partial Barrier Options
by Hans-Peter Bermin [Downloadable! (restricted)]
199-218 A General Approach to Hedging Options: Applications to Barrier and Partial Barrier Options
by Hans-Peter Bermin [Downloadable! (restricted)]

2002, Volume 12, Issue 2

99-123 Exponential Hedging and Entropic Penalties
by Freddy Delbaen & Peter Grandits & Thorsten Rheinländer & Dominick Samperi & Martin Schweizer & Christophe Stricker [Downloadable! (restricted)]
125-134 On the optimal portfolio for the exponential utility maximization: remarks to the six-author paper
by Yuri M. Kabanov & Christophe Stricker [Downloadable! (restricted)]
135-142 Put Option Premiums and Coherent Risk Measures
by Robert Jarrow [Downloadable! (restricted)]
143-154 The Use of Archimedean Copulas to Model Portfolio Allocations
by David A. Hennessy & Harvey E. Lapan [Downloadable! (restricted)]

2002, Volume 12, Issue 1

1-21 On the Existence of Minimax Martingale Measures
by Fabio Bellini & Marco Frittelli [Downloadable! (restricted)]
23-43 Principal Component Value at Risk
by R. Brummelhuis & A. Cãrdoba & M. Quintanilla & L. Seco [Downloadable! (restricted)]
45-61 Hedging under Transaction Costs in Currency Markets: a Discrete-Time Model
by Freddy Delbaen & Yuri M. Kabanov & Esko Valkeila [Downloadable! (restricted)]
63-70 Hedging under Transaction Costs in Currency Markets: a Continuous-Time Model
by Yuri M. Kabanov & Günter Last [Downloadable! (restricted)]
71-87 Calibrating a Diffusion Pricing Model with Uncertain Volatility: Regularization and Stability
by Dominick Samperi [Downloadable! (restricted)]
89-97 Dynamic Arbitrage-Free Asset Pricing with Proportional Transaction Costs
by Shunming Zhang & Chunlei Xu & Xiaotie Deng [Downloadable! (restricted)]

2001, Volume 11, Issue 4

365-384 Optimal Portfolios with Bounded Capital at Risk
by Susanne Emmer & Claudia Klüppelberg & Ralf Korn [Downloadable! (restricted)]
385-413 A Comparison of Two Quadratic Approaches to Hedging in Incomplete Markets
by David Heath & Eckhard Platen & Martin Schweizer [Downloadable! (restricted)]
415-445 Return Dynamics when Persistence is Unobservable
by Timothy C. Johnson [Downloadable! (restricted)]
447-474 The Liquidity Discount
by Ajay Subramanian & Robert A. Jarrow [Downloadable! (restricted)]
475-494 A Generalized Cameron-Martin Formula with Applications to Partially Observed Dynamic Portfolio Optimization
by Gady Zohar [Downloadable! (restricted)]

2001, Volume 11, Issue 3

267-284 Pricing of New Securities in an Incomplete Market: the Catch 22 of No-Arbitrage Pricing
by Phelim Boyle & Tan Wang [Downloadable! (restricted)]
285-314 Robust Hedging of Barrier Options
by Haydyn Brown & David Hobson & L. C. G. Rogers [Downloadable! (restricted)]
315-329 No Arbitrage in Discrete Time Under Portfolio Constraints
by Laurence Carassus & Huyeˆn Pham & Nizar Touzi [Downloadable! (restricted)]
331-346 Bounds on Derivative Prices in an Intertemporal Setting with Proportional Transaction Costs and Multiple Securities
by George M. Constantinides & Thaleia Zariphopoulou [Downloadable! (restricted)]
347-355 Leland's Approach to Option Pricing: The Evolution of a Discontinuity
by Peter Grandits & Werner Schachinger [Downloadable! (restricted)]
357-363 A Note on the Boyle-Vorst Discrete-Time Option Pricing Model with Transactions Costs
by Ken Palmer [Downloadable! (restricted)]

2001, Volume 11, Issue 2

153-188 Dynamic Optimization of Long-Term Growth Rate for a Portfolio with Transaction Costs and Logarithmic Utility
by Marianne Akian & Agnès Sulem & Michael I. Taksar [Downloadable! (restricted)]
189-203 MSM Estimators of European Options on Assets with Jumps
by João Amaro de Matos [Downloadable! (restricted)]
205-243 On the Existence of Finite-Dimensional Realizations for Nonlinear Forward Rate Models
by Tomas Björk & Lars Svensson [Downloadable! (restricted)]
245-265 Finding Generators for Markov Chains via Empirical Transition Matrices, with Applications to Credit Ratings
by Robert B. Israel & Jeffrey S. Rosenthal & Jason Z. Wei [Downloadable! (restricted)]

2001, Volume 11, Issue 1

1-31 On the Existence of Linear Equilibria in Models of Market Making
by Mark Bagnoli & S. Viswanathan & Craig Holden [Downloadable! (restricted)]
33-77 Randomized Stopping Times and American Option Pricing with Transaction Costs
by Prasad Chalasani & Somesh Jha [Downloadable! (restricted)]
79-96 Time Changes for Lévy Processes
by Hélyette Geman & Dilip B. Madan & Marc Yor [Downloadable! (restricted)]
97-115 Analytical Valuation of American Options on Jump-Diffusion Processes
by Chandrasekhar Reddy Gukhal [Downloadable! (restricted)]
117-151 The Asymptotic Expansion Approach to the Valuation of Interest Rate Contingent Claims
by Naoto Kunitomo & Akihiko Takahashi [Downloadable! (restricted)]

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