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Springer

Finance and Stochastics

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Web page: http://www.springerlink.com/content/101164/

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Web: http://link.springer.de/orders.htm
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For technical questions regarding this series, please contact (Christopher F Baum)
Series handle: repec:spr:finsto

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2002, Volume 6, Issue 1

2001, Volume 5, Issue 4

419-446 Risk-minimizing hedging strategies for insurance payment processes
by Thomas Møller [Downloadable! (restricted)]
447-467 Optimal portfolio management rules in a non-Gaussian market with durability and intertemporal substitution
by Kristin Reikvam & Fred Espen Benth & Kenneth Hvistendahl Karlsen [Downloadable! (restricted)]
469-486 Equity portfolios generated by functions of ranked market weights
by Robert Fernholz [Downloadable! (restricted)]
487-509 Existence and structure of stochastic equilibria with intertemporal substitution
by Frank Riedel & Peter Bank [Downloadable! (restricted)]
511-525 Stochastic flows and the forward measure
by Robert J. Elliott & John van der Hoek [Downloadable! (restricted)]
527-547 Optimal risk control for a large corporation in the presence of returns on investments
by Bjarne Højgaard & Michael Taksar [Downloadable! (restricted)]
549-555 Black and Scholes pricing and markets with transaction costs: An example
by Haim Reisman [Downloadable! (restricted)]
557-581 Minimax and minimal distance martingale measures and their relationship to portfolio optimization
by Thomas Goll & Ludger Rüschendorf [Downloadable! (restricted)]

2001, Volume 5, Issue 3

275-303 Optimal portfolio selection with consumption and nonlinear integro-differential equations with gradient constraint: A viscosity solution approach
by Kristin Reikvam & Fred Espen Benth & Kenneth Hvistendahl Karlsen [Downloadable! (restricted)]
305-325 Arbitrage and investment opportunities
by Elyès Jouini [Downloadable! (restricted)]
327-341 The numeraire portfolio for unbounded semimartingales
by Dirk Becherer [Downloadable! (restricted)]
343-355 Fractional Brownian motion, random walks and binary market models
by Tommi Sottinen [Downloadable! (restricted)]
357-367 Discrete time hedging errors for options with irregular payoffs
by Emmanuel Temam & Emmanuel Gobet [Downloadable! (restricted)]
369-387 A deterministic-shift extension of analytically-tractable and time-homogeneous short-rate models
by Damiano Brigo & Fabio Mercurio [Downloadable! (restricted)]
389-412 A general characterization of one factor affine term structure models
by Damir Filipovic [Downloadable! (restricted)]
413-417 A note on calculating the optimal risky portfolio
by Reha H. Tütüncü [Downloadable! (restricted)]

2001, Volume 5, Issue 2

131-154 The relaxed investor and parameter uncertainty
by L.C.G. Rogers [Downloadable! (restricted)]
155-180 Analytical value-at-risk with jumps and credit risk
by Jun Pan & Darrell Duffie [Downloadable! (restricted)]
181-200 Coherent risk measures and good-deal bounds
by Stefan Jaschke & Uwe Küchler [Downloadable! (restricted)]
201-236 Applications of Malliavin calculus to Monte-Carlo methods in finance. II
by Eric Fournié & Jean-Michel Lasry & Pierre-Louis Lions & Jérôme Lebuchoux [Downloadable! (restricted)]
237-257 Forward rate dependent Markovian transformations of the Heath-Jarrow-Morton term structure model
by Carl Chiarella & Oh Kang Kwon [Downloadable! (restricted)]
259-272 Utility maximization in incomplete markets with random endowment
by (**), Hui Wang & Jaksa Cvitanic & (*), Walter Schachermayer [Downloadable! (restricted)]

2001, Volume 5, Issue 1

1-2 Editorial
by A.N. Shiryaev & S.E. Shreve & D. Sondermann [Downloadable! (restricted)]
3-32 Bachelier and his times: A conversation with Bernard Bru
by Murad S. Taqqu [Downloadable! (restricted)]
33-59 Optimal investment in derivative securities
by Dilip B. Madan & Xing Jin & Peter Carr [Downloadable! (restricted)]
61-82 A solution approach to valuation with unhedgeable risks
by Thaleia Zariphopoulou [Downloadable! (restricted)]
83-101 Semimartingale representation of fractional Riesz-Bessel motion
by V.V. Anh & C.N. Nguyen [Downloadable! (restricted)]
103-113 Apparent scaling
by Ole E. Barndorff-Nielsen & Karsten Prause [Downloadable! (restricted)]
115-128 A class of risk neutral densities with heavy tails
by Niels VÖver Hartvig & Jens Ledet Jensen & Jan Pedersen [Downloadable! (restricted)]

2000, Volume 4, Issue 4

371-389 Bond pricing in a hidden Markov model of the short rate
by Camilla LandÊn [Downloadable! (restricted)]
391-408 Markov-functional interest rate models
by Joanne Kennedy & Phil Hunt & Antoon Pelsser [Downloadable! (restricted)]
409-429 A simple regime switching term structure model
by Asbjørn T. Hansen & Rolf Poulsen [Downloadable! (restricted)]
431-442 Implied savings accounts are unique
by Martin Schweizer & Christophe Stricker & Frank DÃberlein [Downloadable! (restricted)]
443-463 Game options
by Yuri Kifer [Downloadable! (restricted)]
465-496 White noise generalizations of the Clark-Haussmann-Ocone theorem with application to mathematical finance
by Jan Ubøe & Bernt Øksendal & Knut Aase & Nicolas Privault [Downloadable! (restricted)]

2000, Volume 4, Issue 3

255-274 Options on a traded account: Vacation calls, vacation puts and passport options
by Steven E. Shreve & Jan Vecer [Downloadable! (restricted)]
275-297 Introduction to a theory of value coherent with the no-arbitrage principle
by Marco Frittelli [Downloadable! (restricted)]
299-324 Optimal risk control and dividend distribution policies. Example of excess-of loss reinsurance for an insurance corporation
by Bjarne Højgaard & Søren Asmussen & Michael Taksar [Downloadable! (restricted)]
325-341 Robustness of the Black-Scholes approach in the case of options on several assets
by Tiziano Vargiolu & Silvia Romagnoli [Downloadable! (restricted)]
343-369 Modelling of stock price changes: A real analysis approach
by Rimas Norvaisa [Downloadable! (restricted)]

2000, Volume 4, Issue 2

117-146 Efficient hedging: Cost versus shortfall risk
by Hans FÃllmer & Peter Leukert [Downloadable! (restricted)]
147-159 Option pricing impact of alternative continuous-time dynamics for discretely-observed stock prices
by Damiano Brigo & Fabio Mercurio [Downloadable! (restricted)]
161-187 Superreplication in stochastic volatility models and optimal stopping
by RØdiger Frey [Downloadable! (restricted)]
189-207 Discrete time option pricing with flexible volatility estimation
by Christian M. Hafner & Wolfgang HÄrdle [Downloadable! (restricted)]
209-222 Incompleteness of markets driven by a mixed diffusion
by N. Bellamy & M. Jeanblanc [Downloadable! (restricted)]
223-250 Irreversible investment problems
by Anders ûksendal [Downloadable! (restricted)]

2000, Volume 4, Issue 1

1-33 Risk sensitive asset management with transaction costs
by Stanley R. Pliska & Tomasz R. Bielecki [Downloadable! (restricted)]
35-68 Arbitrage-free discretization of lognormal forward Libor and swap rate models
by Xiaoliang Zhao & Paul Glasserman [Downloadable! (restricted)]
69-80 Local time, coupling and the passport option
by Vicky Henderson & David Hobson [Downloadable! (restricted)]
81-93 Convergence of discrete time option pricing models under stochastic interest rates
by O. Scaillet & J.-L. Prigent & J.-P. Lesne [Downloadable! (restricted)]
95-104 Pricing double barrier options using Laplace transforms
by Antoon Pelsser [Downloadable! (restricted)]
105-107 Comment on `Pricing double barrier options using Laplace transforms' by Antoon Pelsser
by C.H. Hui & P.H. Yuen & C.F. Lo [Downloadable! (restricted)]
109-111 A correction note on the first passage time of an Ornstein-Uhlenbeck process to a boundary
by O. Renault & O. Scaillet & B. Leblanc [Downloadable! (restricted)]

1999, Volume 3, Issue 4

373-390 A theory of bonus in life insurance
by Ragnar Norberg [Downloadable! (restricted)]
391-412 Applications of Malliavin calculus to Monte Carlo methods in finance
by Eric Fournié & Jean-Michel Lasry & Pierre-Louis Lions & Jérôme Lebuchoux & Nizar Touzi [Downloadable! (restricted)]
413-432 Minimal realizations of interest rate models
by Tomas BjÃrk & Andrea Gombani [Downloadable! (restricted)]
433-449 On the relationship of the dynamic programming approach and the contingent claim approach to asset valuation
by Mihail Zervos & Bernhard Meister & Thomas S. Knudsen [Downloadable! (restricted)]
451-482 On dynamic measures of risk
by Ioannis Karatzas & Jaksa Cvitanic [Downloadable! (restricted)]
483-492 Invariant measures for the Musiela equation with deterministic diffusion term
by Tiziano Vargiolu [Downloadable! (restricted)]

1999, Volume 3, Issue 3

251-273 Quantile hedging
by Hans FÃllmer & Peter Leukert [Downloadable! (restricted)]
275-294 Beating a moving target: Optimal portfolio strategies for outperforming a stochastic benchmark
by Sid Browne [Downloadable! (restricted)]
295-322 Exercise regions of American options on several assets
by Stephane Villeneuve [Downloadable! (restricted)]
323-344 Convergence of strategies: An approach using Clark-Haussmann's formula
by Jan Pedersen [Downloadable! (restricted)]
345-369 Bounds on prices of contingent claims in an intertemporal economy with proportional transaction costs and general preferences
by (*), Thaleia Zariphopoulou & George M. Constantinides [Downloadable! (restricted)]

1999, Volume 3, Issue 2

137-165 Optimal trading of a security when there are taxes and transaction costs
by Abel Cadenillas & Stanley R. Pliska [Downloadable! (restricted)]
167-185 A generalization of the mutual fund theorem
by Martin Kulldorff & Ajay Khanna [Downloadable! (restricted)]
187-201 Exploding hedging errors for digital options
by Christoph Gallus [Downloadable! (restricted)]
203-214 Complete markets with discontinuous security price
by Philip Protter & Michael Dritschel [Downloadable! (restricted)]
215-225 A short term interest rate model
by Eckhard Platen [Downloadable! (restricted)]
227-236 Optimal stopping for a diffusion with jumps
by Ernesto Mordecki [Downloadable! (restricted)]
237-248 Hedging and liquidation under transaction costs in currency markets
by Y.M. Kabanov [Downloadable! (restricted)]

1999, Volume 3, Issue 1

1-13 Stock market prices and long-range dependence
by Murad S. Taqqu & Vadim Teverovsky & Walter Willinger [Downloadable! (restricted)]
15-34 Turnpike behavior of long-term investments
by Chi-fu Huang & Thaleia Zariphopoulou [Downloadable! (restricted)]
35-54 A closed-form solution to the problem of super-replication under transaction costs
by HuyËn Pham & Nizar Touzi & Jaksa Cvitanic [Downloadable! (restricted)]
55-82 Connecting discrete and continuous path-dependent options
by Paul Glasserman & S.G. Kou & Mark Broadie [Downloadable! (restricted)]
83-110 Dynamic programming and mean-variance hedging
by HuyËn Pham & Jean Paul Laurent [Downloadable! (restricted)]
111-134 Hedging contingent claims on semimartingales
by Robert Jarrow & Dilip B. Madan [Downloadable! (restricted)]

1998, Volume 2, Issue 4

329-347 Robust hedging of the lookback option
by David G. Hobson [Downloadable! (restricted)]
349-367 Path dependent options on yields in the affine term structure model
by Olivier Scaillet & Boris Leblanc [Downloadable! (restricted)]
369-397 Option pricing with transaction costs and a nonlinear Black-Scholes equation
by Halil Mete Soner & Guy Barles [Downloadable! (restricted)]
399-408 Lévy processes in finance: a remedy to the non-stationarity of continuous martingales
by Marc Yor & Boris Leblanc [Downloadable! (restricted)]
409-440 Optimization of consumption with labor income
by Nicole El Karoui & Monique Jeanblanc-Picqué [Downloadable! (restricted)]

1998, Volume 2, Issue 3

215-258 Hedging American contingent claims with constrained portfolios
by Ioannis Karatzas & (*), S. G. Kou [Downloadable! (restricted)]
259-273 Local martingales and the fundamental asset pricing theorems in the discrete-time case
by J. Jacod & A.N. Shiryaev [Downloadable! (restricted)]
275-293 Implied interest rate pricing models
by J.E. Kennedy & P.J. Hunt [Downloadable! (restricted)]
295-310 Optimal time to invest when the price processes are geometric Brownian motions
by Yaozhong Hu & Bernt Øksendal [Downloadable! (restricted)]
311-327 Functional convergence of Snell envelopes: Applications to American options approximations
by Maurizio Pratelli & Sabrina Mulinacci [Downloadable! (restricted)]

1998, Volume 2, Issue 2

85-114 Portfolio optimisation with strictly positive transaction costs and impulse control
by Ralf Korn [Downloadable! (restricted)]
115-141 Perfect option hedging for a large trader
by RØdiger Frey [Downloadable! (restricted)]
143-172 Asymptotic arbitrage in large financial markets
by Y.M. Kabanov & D.O. Kramkov [Downloadable! (restricted)]
173-198 Mean-variance hedging for continuous processes: New proofs and examples
by Martin Schweizer & HuyËn Pham & (*), Thorsten RheinlÄnder [Downloadable! (restricted)]
199-211 Volatility of the short rate in the rational lognormal model
by Lisa R. Goldberg [Downloadable! (restricted)]

1997, Volume 2, Issue 1

3-17 Fast accurate binomial pricing
by L.C.G. Rogers & E.J. Stapleton [Downloadable! (restricted)]
19-28 A note on the forward measure
by Mark Davis [Downloadable! (restricted)]
29-40 Arbitrage bounds for the term structure of interest rates
by Stefan R. Jaschke [Downloadable! (restricted)]
41-68 Processes of normal inverse Gaussian type
by Ole E. Barndorff-Nielsen [Downloadable! (restricted)]
69-81 Optional decomposition and Lagrange multipliers
by H. Föllmer & Y.M. Kabanov [Downloadable! (restricted)]

1997, Volume 1, Issue 4

261-291 Continuous-time term structure models: Forward measure approach (*)
by Marek Rutkowski & Marek Musiela [Downloadable! (restricted)]
293-330 LIBOR and swap market models and measures (*)
by Farshid Jamshidian [Downloadable! (restricted)]
331-344 Option pricing in the presence of natural boundaries and a quadratic diffusion term (*)
by Sven Rady [Downloadable! (restricted)]
345-352 A note on pricing interest rate derivatives when forward LIBOR rates are lognormal
by Beniamin Goldys [Downloadable! (restricted)]

1997, Volume 1, Issue 3

181-227 Weighted norm inequalities and hedging in incomplete markets
by Martin Schweizer & Christophe Stricker & Freddy Delbaen & Pascale Monat & Walter Schachermayer [Downloadable! (restricted)]
229-238 An application of hidden Markov models to asset allocation problems (*)
by Robert J. Elliott & John van der Hoek [Downloadable! (restricted)]
239-250 On Leland's strategy of option pricing with transactions costs
by Yuri M. Kabanov & (*), Mher M. Safarian [Downloadable! (restricted)]
251-257 A note on the existence of unique equivalent martingale measures in a Markovian setting
by Tina Hviid Rydberg [Downloadable! (restricted)]

1997, Volume 1, Issue 2

95-129 From the bird's eye to the microscope: A survey of new stylized facts of the intra-daily foreign exchange markets (*)
by Richard B. Olsen & Ulrich A. Müller & Michel M. Dacorogna & Olivier V. Pictet & Rakhal R. Davé & Dominique M. Guillaume [Downloadable! (restricted)]
131-140 On the range of options prices (*)
by Ernst Eberlein & Jean Jacod [Downloadable! (restricted)]
141-174 Towards a general theory of bond markets (*)
by Giovanni Di Masi & Tomas Björk & Wolfgang Runggaldier & Yuri Kabanov [Downloadable! (restricted)]

1996, Volume 1, Issue 1

3-24 On a general class of one-factor models for the term structure of interest rates (*)
by W.M. Schmidt [Downloadable! (restricted)]
25-41 A hyperbolic diffusion model for stock prices (*)
by Bo Martin Bibby & Michael SÛrensen [Downloadable! (restricted)]
43-67 Scenario Simulation: Theory and methodology (*)
by Farshid Jamshidian & Yu Zhu [Downloadable! (restricted)]
69-89 Irreversible investment and industry equilibrium (*)
by Ioannis Karatzas & Fridrik M. Baldursson [Downloadable! (restricted)]

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