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Blackwell Publishing

Mathematical Finance

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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

More pages of listings: 0|1

2009, Volume 19, Issue 3

343-378 Credit Spreads, Optimal Capital Structure, And Implied Volatility With Endogenous Default And Jump Risk
by Nan Chen & S. G. Kou [Downloadable! (restricted)]
379-401 Constant Proportion Portfolio Insurance In The Presence Of Jumps In Asset Prices
by Rama Cont & Peter Tankov [Downloadable! (restricted)]
403-421 Pricing Corporate Securities Under Noisy Asset Information
by Rüdiger Frey & Thorsten Schmidt [Downloadable! (restricted)]
423-455 Maximizing The Growth Rate Under Risk Constraints
by Traian A. Pirvu & Gordan Žitković [Downloadable! (restricted)]
457-486 Singular Perturbation Techniques Applied To Multiasset Option Pricing
by Peter W. Duck & Chao Yang & David P. Newton & Martin Widdicks [Downloadable! (restricted)]
487-521 Portfolio Selection With Monotone Mean-Variance Preferences
by Fabio Maccheroni & Massimo Marinacci & Aldo Rustichini & Marco Taboga [Downloadable! (restricted)]

2009, Volume 19, Issue 2

161-187 No-Free-Lunch Equivalences For Exponential Lévy Models Under Convex Constraints On Investment
by Constantinos Kardaras [Downloadable! (restricted)]
189-214 Risk Measures On Orlicz Hearts
by Patrick Cheridito & Tianhui Li [Downloadable! (restricted)]
215-236 Optimal Consumption And Portfolio Decisions With Partially Observed Real Prices
by Alain Bensoussan & Jussi Keppo & Suresh P. Sethi [Downloadable! (restricted)]
237-250 Continuity Of Utility-Maximization With Respect To Preferences
by Kasper Larsen [Downloadable! (restricted)]
251-279 Explicit Solutions Of Consumption-Investment Problems In Financial Markets With Regime Switching
by Luz Rocío Sotomayor & Abel Cadenillas [Downloadable! (restricted)]
281-302 Estimation Of Value At Risk And Ruin Probability For Diffusion Processes With Jumps
by Laurent Denis & Begoña Fernández & Ana Meda [Downloadable! (restricted)]
303-327 Implied Volatility In The Hull-White Model
by Archil Gulisashvili & Elias M. Stein [Downloadable! (restricted)]
329-333 Risk Measures For Non-Integrable Random Variables
by Freddy Delbaen [Downloadable! (restricted)]
335-342 An Axiomatization Of Quantiles On The Domain Of Distribution Functions
by Christopher P. Chambers [Downloadable! (restricted)]

2009, Volume 19, Issue 1

1-12 Regular Variation And Smile Asymptotics
by S. Benaim & P. Friz [Downloadable! (restricted)]
13-40 Capital Allocation And Risk Contribution With Discrete-Time Coherent Risk
by Alexander S. Cherny [Downloadable! (restricted)]
41-52 Consistent Market Extensions Under The Benchmark Approach
by Damir Filipović & Eckhard Platen [Downloadable! (restricted)]
53-71 True Upper Bounds For Bermudan Products Via Non-Nested Monte Carlo
by Denis Belomestny & Christian Bender & John Schoenmakers [Downloadable! (restricted)]
73-97 Modeling The Recovery Rate In A Reduced Form Model
by Xin Guo & Robert A. Jarrow & Yan Zeng [Downloadable! (restricted)]
99-128 Accounting For Risk Aversion, Vesting, Job Termination Risk And Multiple Exercises In Valuation Of Employee Stock Options
by Tim Leung & Ronnie Sircar [Downloadable! (restricted)]
129-159 Optimal Investment With An Unbounded Random Endowment And Utility-Based Pricing
by Mark P. Owen & Gordan Žitković [Downloadable! (restricted)]

2008, Volume 18, Issue 4

493-518 Defaultable Options In A Markovian Intensity Model Of Credit Risk
by Tomasz R. Bielecki & Stéphane Crépey & Monique Jeanblanc & Marek Rutkowski [Downloadable! (restricted)]
519-543 An Equilibrium Guide To Designing Affine Pricing Models
by Bjørn Eraker & Ivan Shaliastovich [Downloadable! (restricted)]
545-567 Optimal Timing For An Indivisible Asset Sale
by Jonathan Evans & Vicky Henderson & David Hobson [Downloadable! (restricted)]
569-593 Optioned Portfolio Selection: Models And Analysis
by Jianfeng Liang & Shuzhong Zhang & Duan Li [Downloadable! (restricted)]
595-611 Guaranteed Minimum Withdrawal Benefit In Variable Annuities
by Min Dai & Yue Kuen Kwok & Jianping Zong [Downloadable! (restricted)]
613-627 A Model Of Optimal Consumption Under Liquidity Risk With Random Trading Times
by Huyên Pham & Peter Tankov [Downloadable! (restricted)]
629-648 Liquidation Of A Large Block Of Stock With Regime Switching
by Moustapha Pemy & Qing Zhang & G. George Yin [Downloadable! (restricted)]
649-667 Optimal Multi-Agent Performance Measures For Team Contracts
by Hyeng Keun Koo & Gyoocheol Shim & Jaeyoung Sung [Downloadable! (restricted)]

2008, Volume 18, Issue 3

337-384 Pricing Discretely Monitored Barrier Options And Defaultable Bonds In Lévy Process Models: A Fast Hilbert Transform Approach
by Liming Feng & Vadim Linetsky [Downloadable! (restricted)]
385-426 Behavioral Portfolio Selection In Continuous Time
by Hanqing Jin & Xun Yu Zhou [Downloadable! (restricted)]
427-443 Bivariate Support Of Forward Libor And Swap Rates
by Farshid Jamshidian [Downloadable! (restricted)]
445-472 Optimal Portfolio, Consumption-Leisure And Retirement Choice Problem With Ces Utility
by Kyoung Jin Choi & Gyoocheol Shim & Yong Hyun Shin [Downloadable! (restricted)]
473-492 Mean-Variance Hedging And Optimal Investment In Heston'S Model With Correlation
by Ales Černý & Jan Kallsen [Downloadable! (restricted)]

2008, Volume 18, Issue 2

199-238 Optimality And State Pricing In Constrained Financial Markets With Recursive Utility Under Continuous And Discontinuous Information
by Mark Schroder & Costis Skiadas [Downloadable! (restricted)]
239-268 Optimal Multiple Stopping And Valuation Of Swing Options
by René Carmona & Nizar Touzi [Downloadable! (restricted)]
269-292 Optimal Risk Sharing For Law Invariant Monetary Utility Functions
by E. Jouini & W. Schachermayer & N. Touzi [Downloadable! (restricted)]
293-303 On The Consistency Of The Lucas Pricing Formula
by Knut K. Aase [Downloadable! (restricted)]
305-316 A Counterexample Concerning The Variance-Optimal Martingale Measure
by Ales Černý & Jan Kallsen [Downloadable! (restricted)]
317-331 Optimal Portfolios With Lower Partial Moment Constraints And Lpm-Risk-Optimal Martingale Measures
by Johannes Leitner [Downloadable! (restricted)]
333-336 Optimal Numeraires For Risk Measures
by Damir Filipović [Downloadable! (restricted)]

2008, Volume 18, Issue 1

1-22 Valuations And Dynamic Convex Risk Measures
by A. Jobert & L. C. G. Rogers [Downloadable! (restricted)]
23-54 Asset Pricing With No Exogenous Probability Measure
by Gianluca Cassese [Downloadable! (restricted)]
55-76 Optimal Capital And Risk Transfers For Group Diversification
by Damir Filipović & Michael Kupper [Downloadable! (restricted)]
77-114 Term Structures Of Implied Volatilities: Absence Of Arbitrage And Existence Results
by Martin Schweizer & Johannes Wissel [Downloadable! (restricted)]
115-134 Simulation-Based Portfolio Optimization For Large Portfolios With Transaction Costs
by Kumar Muthuraman & Haining Zha [Downloadable! (restricted)]
135-153 Solvable Affine Term Structure Models
by Martino Grasselli & Claudio Tebaldi [Downloadable! (restricted)]
155-170 How Close Are The Option Pricing Formulas Of Bachelier And Black-Merton-Scholes?
by Walter Schachermayer & Josef Teichmann [Downloadable! (restricted)]
171-183 A Convex Stochastic Optimization Problem Arising From Portfolio Selection
by Hanqing Jin & Zuo Quan Xu & Xun Yu Zhou [Downloadable! (restricted)]
185-197 Convexity Of The Exercise Boundary Of The American Put Option On A Zero Dividend Asset
by Xinfu Chen & John Chadam & Lishang Jiang & Weian Zheng [Downloadable! (restricted)]

2007, Volume 17, Issue 4

477-485 A Note On The Effects Of Taxes On Optimal Investment
by Cristin Buescu & Abel Cadenillas & Stanley R. Pliska [Downloadable! (restricted)]
487-502 Callable Puts As Composite Exotic Options
by Christoph Kühn & Andreas E. Kyprianou [Downloadable! (restricted)]
503-539 The Eigenfunction Expansion Method In Multi-Factor Quadratic Term Structure Models
by Nina Boyarchenko & Sergei Levendorski&icaron; [Downloadable! (restricted)]
541-573 Intensity-Based Valuation Of Residential Mortgages: An Analytically Tractable Model
by Vyacheslav Gorovoy & Vadim Linetsky [Downloadable! (restricted)]
575-598 Linear-Quadratic Jump-Diffusion Modeling
by Peng Cheng & Olivier Scaillet [Downloadable! (restricted)]
599-627 Dynamic Indifference Valuation Via Convex Risk Measures
by Susanne Klöppel & Martin Schweizer [Downloadable! (restricted)]

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)]

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