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Content
June 2019, Volume 22, Issue 04
- 1-33 Equilibrium Price Of Variance Swaps Under Stochastic Volatility With Lévy Jumps And Stochastic Interest Rate
by Ben-Zhang Yang & Jia Yue & Nan-Jing Huang - 1-35 Multi-Currency Credit Default Swaps
by Damiano Brigo & Nicola Pede & Andrea Petrelli
May 2019, Volume 22, Issue 03
- 1-18 Set-Valued Law Invariant Coherent And Convex Risk Measures
by Yanhong Chen & Yijun Hu - 1-19 Rational Approximation Of The Rough Heston Solution
by Jim Gatheral & Radoš Radoičić - 1-26 A Forward Equation For Computing Derivatives Exposure
by Bernard Lapeyre & Marouan Iben Taarit - 1-37 New Model For Pricing Quanto Credit Default Swaps
by A. Itkin & V. Shcherbakov & A. Veygman - 1-41 Sampling Of One-Dimensional Probability Measures In The Convex Order And Computation Of Robust Option Price Bounds
by Aurélien Alfonsi & Jacopo Corbetta & Benjamin Jourdain - 1-44 Volatility Inference And Return Dependencies In Stochastic Volatility Models
by Oliver Pfante & Nils Bertschinger - 1-49 Sinh-Acceleration: Efficient Evaluation Of Probability Distributions, Option Pricing, And Monte Carlo Simulations
by Svetlana Boyarchenko & Sergei Levendorskiĭ
March 2019, Volume 22, Issue 02
- 1-16 Approximation Methods For Inhomogeneous Geometric Brownian Motion
by Luca Capriotti & Yupeng Jiang & Gaukhar Shaimerdenova - 1-17 Hedging Of Synthetic Cdo Tranches With Spread And Default Risk Based On A Combined Forecasting Approach
by Wen-Qiong Liu & Wen-Li Huang - 1-19 Small-Time Asymptotics In Geometric Asian Options For A Stochastic Volatility Jump-Diffusion Model
by Hossein Jafari & Ghazaleh Rahimi - 1-26 Multivariate Marked Poisson Processes And Market Related Multidimensional Information Flows
by Petar Jevtić & Marina Marena & Patrizia Semeraro - 1-28 Optimal Liquidation Under Stochastic Price Impact
by Weston Barger & Matthew Lorig - 1-32 Penalty American Options
by Ziwei Ke & Joanna Goard - 1-43 Equilibrium Asset Returns In Financial Markets
by Dilip B. Madan & Wim Schoutens
February 2019, Volume 22, Issue 01
- 1-4 Preface
by Marco Avellaneda & Bruno Dupire & Jorge P. Zubelli - 1-18 Determination Of The Lévy Exponent In Asset Pricing Models
by George Bouzianis & Lane P. Hughston - 1-21 Measuring Default Risk For A Portfolio Of Equities
by Matheus Pimentel Rodrigues & Andre Cury Maialy - 1-22 The Broad Consequences Of Narrow Banking
by Matheus R. Grasselli & Alexander Lipton - 1-25 Borrowing Capacity, Financial Instability, And Contagion
by Youngna Choi - 1-30 Statistics Of Vix Futures And Applications To Trading Volatility Exchange-Traded Products
by M. Avellaneda & A. Papanicolaou - 1-31 Multidimensional Calibration Of Crude Oil And Refined Products Via Semidefinite Programming Techniques
by Carolina Effio Saldivar & José Herskovits & Juan Pablo Luna & Claudia Sagastizábal
December 2018, Volume 21, Issue 08
- 1-12 Buy-And-Hold Property For Fully Incomplete Markets When Super-Replicating Markovian Claims
by Ariel Neufeld - 1-27 Bayesian Inference For The Tangent Portfolio
by David Bauder & Taras Bodnar & Stepan Mazur & Yarema Okhrin - 1-30 Mathematical Properties Of American Chooser Options
by Shi Qiu & Sovan Mitra - 1-32 Double Spend Races
by Cyril Grunspan & Ricardo Pérez-Marco - 1-34 A Dynamic Model Of Central Counterparty Risk
by Tomasz R. Bielecki & Igor Cialenco & Shibi Feng - 1-36 Decomposition Formula For Jump Diffusion Models
by R. Merino & J. Pospíšil & T. Sobotka & J. Vives - 1-36 Pricing Sovereign Contingent Convertible Debt
by Andrea Consiglio & Michele Tumminello & Stavros A. Zenios
November 2018, Volume 21, Issue 07
- 1-2 Erratum: Efficient Long-Dated Swaption Volatility Approximation In The Forward-Libor Model
by Jacques Van Appel & Thomas A. Mcwalter - 1-13 Predicting Returns In Us Treasuries: Do Tents Matter?
by R. Rebonato - 1-20 Catastrophe Insurance Derivatives Pricing Using A Cox Process With Jump Diffusion Cir Intensity
by Jiwook Jang & Jong Jun Park & Hyun Jin Jang - 1-22 A Subordinated Cir Intensity Model With Application To Wrong-Way Risk Cva
by Cheikh Mbaye & Frédéric Vrins - 1-24 Pairs Trading Under Drift Uncertainty And Risk Penalization
by Sühan Altay & Katia Colaneri & Zehra Eksi - 1-29 The Early Exercise Premium In American Options By Using Nonparametric Regressions
by Weiping Li & Su Chen - 1-36 Portfolio Optimization Under A Quantile Hedging Constraint
by Géraldine Bouveret - 1-42 Drawdown Measures And Return Moments
by Philipp M. Möller
September 2018, Volume 21, Issue 06
- 1-4 Preface
by Marco Avellaneda & Bruno Dupire & Jorge P. Zubelli - 1-18 Pricing Index Options By Static Hedging Under Finite Liquidity
by John Armstrong & Teemu Pennanen & Udomsak Rakwongwan - 1-27 Heterogeneity In Risk Preferences Leads To Stochastic Volatility
by Dietmar P. J. Leisen - 1-27 Out-Of-Sample Stock Return Prediction Using Higher-Order Moments
by José Afonso Faias & Tiago Castel-Branco - 1-28 Pricing Interest Rate Derivatives Under Monetary Changes
by Alan De Genaro & Marco Avellaneda - 1-30 Bank Panics And Fire Sales, Insolvency And Illiquidity
by T. R. Hurd - 1-40 Xva Principles, Nested Monte Carlo Strategies, And Gpu Optimizations
by Lokman A. Abbas-Turki & Stéphane Crépey & Babacar Diallo
August 2018, Volume 21, Issue 05
- 1-13 Generalized Framework For Applying The Kelly Criterion To Stock Markets
by Tim Byrnes & Tristan Barnett - 1-20 Quanto Pricing In Stochastic Correlation Models
by Long Teng & Matthias Ehrhardt & Michael Günther - 1-29 Shortfall Risk Minimization Under Fixed Transaction Costs
by Niv Nayman - 1-32 Optimal Asset Allocation With Stochastic Interest Rates In Regime-Switching Models
by C. Ye & R. H. Liu & D. Ren - 1-32 Most-Likely-Path In Asian Option Pricing Under Local Volatility Models
by Louis-Pierre Arguin & Nien-Lin Liu & Tai-Ho Wang - 1-34 Pricing Temperature Derivatives Under Weather Forecasts
by Markus Hess
June 2018, Volume 21, Issue 04
- 1-4 Corrigendum: “Pricing And Valuation Under The Real-World Measure”
by Gabriel Frahm - 1-18 A Lattice-Based Model For Evaluating Bonds And Interest-Sensitive Claims Under Stochastic Volatility
by Emilio Russo & Alessandro Staino - 1-19 Option Pricing In The Variance-Gamma Model Under The Drift Jump
by Roman V. Ivanov - 1-26 Fourth-Order Compact Scheme For Option Pricing Under The Merton’S And Kou’S Jump-Diffusion Models
by Kuldip Singh Patel & Mani Mehra - 1-26 Efficient Long-Dated Swaption Volatility Approximation In The Forward-Libor Model
by Jacques Van Appel & Thomas A. Mcwalter - 1-41 Algorithmic Differentiation For Discontinuous Payoffs
by Roberto Daluiso & Giorgio Facchinetti - 1-41 Index Options And Volatility Derivatives In A Gaussian Random Field Risk-Neutral Density Model
by Xixuan Han & Boyu Wei & Hailiang Yang - 1-44 Local Risk-Minimization With Multiple Assets Under Illiquidity With Applications In Energy Markets
by Panagiotis Christodoulou & Nils Detering & Thilo Meyer-Brandis
May 2018, Volume 21, Issue 03
- 1-3 Preface
by Marco Avellaneda & Bruno Dupire & Jorge P. Zubelli - 1-21 A Liquidation Risk Adjustment For Value At Risk And Expected Shortfall
by Lakshithe Wagalath & Jorge P. Zubelli - 1-22 First-Order Asymptotics Of Path-Dependent Derivatives In Multiscale Stochastic Volatility Environment
by Yuri F. Saporito - 1-22 An Empirical Approach To Financial Crisis Indicators Based On Random Matrices
by Raphael Douady & Antoine Kornprobst - 1-22 Optimal Portfolio Under State-Dependent Expected Utility
by Carole Bernard & Steven Vanduffel & Jiang Ye - 1-26 Lévy–Vasicek Models And The Long-Bond Return Process
by Dorje C. Brody & Lane P. Hughston & David M. Meier - 1-30 The Potential Approach In Practice
by T. Kluge & L. C. G. Rogers - 1-37 Trading Strategies Within The Edges Of No-Arbitrage
by Álvaro Cartea & Sebastian Jaimungal & Jason Ricci
March 2018, Volume 21, Issue 02
- 1-2 Preface
by José Manuel Corcuera & Wim Schoutens - 1-15 Conditional-Mean Hedging Under Transaction Costs In Gaussian Models
by Tommi Sottinen & Lauri Viitasaari - 1-16 Skewed Lévy Models And Implied Volatility Skew
by Federico De Olivera & José Fajardo & Ernesto Mordecki - 1-20 CONIC CPPIs
by Ine Marquet & Wim Schoutens - 1-26 Multivariate Option Pricing Models With Lévy And Sato Vg Marginal Processes
by Florence Guillaume - 1-38 Dynamic Mean–Variance Optimization Problems With Deterministic Information
by Martin Schweizer & Danijel Zivoi & Mario Šikić - 1-41 Kyle–Back’S Model With A Random Horizon
by José Manuel Corcuera & Giulia Di Nunno - 1-43 Expansion Formulas For European Quanto Options In A Local Volatility Fx-Libor Model
by Julien Hok & Philip Ngare & Antonis Papapantoleon
February 2018, Volume 21, Issue 01
- 1-21 On Some Functionals Of The First Passage Times In Models With Switching Stochastic Volatility
by Pavel V. Gapeev & Oliver Brockhaus & Mathieu Dubois - 1-22 Mean Reversion Trading With Sequential Deadlines And Transaction Costs
by Yerkin Kitapbayev & Tim Leung - 1-25 Sensitivities Of Asian Options In The Black–Scholes Model
by Dan Pirjol & Lingjiong Zhu - 1-30 Multivariate Factor-Based Processes With Sato Margins
by Marina Marena & Andrea Romeo & Patrizia Semeraro - 1-38 Smooth Upper Bounds For The Price Function Of American Style Options
by Louis Bhim & Reiichiro Kawai - 1-41 Deterministic Criteria For The Absence And Existence Of Arbitrage In Multi-Dimensional Diffusion Markets
by David Criens - 1-45 Explicit Heston Solutions And Stochastic Approximation For Path-Dependent Option Pricing
by Michael A. Kouritzin
December 2017, Volume 20, Issue 08
- 1-24 Financial Markets With No Riskless (Safe) Asset
by Svetlozar T. Rachev & Stoyan V. Stoyanov & Frank J. Fabozzi - 1-28 Rise And Fall Of Synthetic Cdo Market: Lessons Learned
by Juliusz Jabłecki - 1-31 Computing Credit Valuation Adjustment For Bermudan Options With Wrong Way Risk
by Qian Feng & Cornelis W. Oosterlee - 1-32 Measuring And Monitoring The Efficiency Of Markets
by Dilip B. Madan & Wim Schoutens & King Wang - 1-32 Integral Representation Of Probability Density Of Stochastic Volatility Models And Timer Options
by Zhenyu Cui & J. Lars Kirkby & Guanghua Lian & Duy Nguyen - 1-37 Behavioral Value Adjustments
by Matteo Bissiri & Riccardo Cogo - 1-39 A Capm With Trading Constraints And Price Bubbles
by Robert Jarrow
November 2017, Volume 20, Issue 07
- 1-22 NUMERICAL PRICING OF CoCo BONDS WITH PARISIAN TRIGGER FEATURE USING THE FORTET METHOD
by Chi Man Leung & Yue Kuen Kwok - 1-24 High Uncertainty Financing
by Nick Georgiopoulos - 1-26 On Robust Multi-Period Pre-Commitment And Time-Consistent Mean-Variance Portfolio Optimization
by F. Cong & C. W. Oosterlee - 1-26 DIFFERENTIABILITY OF BSVIEs AND DYNAMIC CAPITAL ALLOCATIONS
by Eduard Kromer & Ludger Overbeck - 1-26 Irreversible Investments And Ambiguity Aversion
by Álvaro Cartea & Sebastian Jaimungal - 1-32 An Explicit Implied Volatility Formula
by Dan Stefanica & Radoš Radoičić - 1-35 Wrong-Way Risk Cva Models With Analytical Epe Profiles Under Gaussian Exposure Dynamics
by Frédéric Vrins
September 2017, Volume 20, Issue 06
- 1-10 Super-Hedging American Options With Semi-Static Trading Strategies Under Model Uncertainty
by Erhan Bayraktar & Zhou Zhou - 1-18 Barrier Options Pricing With Joint Distribution Of Gaussian Process And Its Maximum
by Pingjin Deng & Xiufang Li - 1-21 Sieve Estimation Of The Minimal Entropy Martingale Marginal Density With Application To Pricing Kernel Estimation
by Denis Belomestny & Wolfgang Karl Härdle & Ekaterina Krymova - 1-22 Stationary Distribution Of The Volume At The Best Quote In A Poisson Order Book Model
by Ioane Muni Toke - 1-24 Logistic Model For Stock Market Bubbles And Anti-Bubbles
by Christopher Lynch & Benjamin Mestel - 1-27 Derivative Pricing With Collateralization And Fx Market Dislocations
by Nicola Moreni & Andrea Pallavicini - 1-33 LONG-TERM GROWTH RATE OF EXPECTED UTILITY FOR LEVERAGED ETFs: MARTINGALE EXTRACTION APPROACH
by Tim Leung & Hyungbin Park
August 2017, Volume 20, Issue 05
- 1-13 Extremal Behavior Of Long-Term Investors With Power Utility
by Nicole Bäuerle & Stefanie Grether - 1-14 Tighter Bounds For Implied Volatility
by Jim Gatheral & Ivan Matić & Radoš Radoičić & Dan Stefanica - 1-21 On Mean–Variance Hedging Under Partial Observations And Terminal Wealth Constraints
by Vitalii Makogin & Alexander Melnikov & Yuliya Mishura - 1-23 Theoretical Sensitivity Analysis For Quantitative Operational Risk Management
by Takashi Kato - 1-26 ANALYTIC PRICING OF CoCo BONDS
by Colin Turfus & Alexander Shubert - 1-27 ULTRA-FAST PRICING BARRIER OPTIONS AND CDSs
by Sergei Levendorskiĭ - 1-48 Set-Valued Shortfall And Divergence Risk Measures
by Çağin Ararat & Andreas H. Hamel & Birgit Rudloff
June 2017, Volume 20, Issue 04
- 1-19 The British Asset-Or-Nothing Put Option
by Min Gao - 1-34 Efficient Piecewise Trees For The Generalized Skew Vasicek Model With Discontinuous Drift
by Xiaoyang Zhuo & Olivier Menoukeu-Pamen - 1-34 Probability Density Of Recovery Rate Given Default Of A Firm’S Debt And Its Constituent Tranches
by Thamayanthi Chellathurai - 1-38 Affine Models With Stochastic Market Price Of Risk
by Riccardo Rebonato - 1-39 Implicit Transaction Costs And The Fundamental Theorems Of Asset Pricing
by Erindi Allaj - 1-41 Expert Opinions And Logarithmic Utility Maximization For Multivariate Stock Returns With Gaussian Drift
by Jörn Sass & Dorothee Westphal & Ralf Wunderlich - 1-48 The Valuation Of Self-Funding Instalment Warrants
by J. N. Dewynne & N. El-Hassan
May 2017, Volume 20, Issue 03
- 1-14 On The Calculation Of Risk Measures Using Least-Squares Monte Carlo
by Giuseppe Benedetti - 1-21 General Semi-Markov Model For Limit Order Books
by Anatoliy Swishchuk & Tyler Hofmeister & Katharina Cera & Julia Schmidt - 1-27 Selling At The Ultimate Maximum In A Regime-Switching Model
by Yue Liu & Nicolas Privault - 1-32 Robust Asset Allocation For Long-Term Target-Based Investing
by P. A. Forsyth & K. R. Vetzal - 1-32 Optimal Investment In Hedge Funds Under Loss Aversion
by Bin Zou - 1-41 Optimal Stochastic Control Problem Under Model Uncertainty With Nonentropy Penalty
by Wahid Faidi & Anis Matoussi & Mohamed Mnif - 1-48 Functional Analytic (Ir-)Regularity Properties Of Sabr-Type Processes
by Leif Döring & Blanka Horvath & Josef Teichmann
March 2017, Volume 20, Issue 02
- 1-15 Good Deal Bounds With Convex Constraints
by Takuji Arai - 1-20 On Cash Settled Irr-Swaptions And Markov Functional Modeling
by Hans-Peter Bermin & Gareth Williams - 1-21 Performance Analysis Of The Optimal Strategy Under Partial Information
by Ahmed Bel Hadj Ayed & Grégoire Loeper & Sofiene El Aoud & Frédéric Abergel - 1-22 Conic Trading In A Markovian Steady State
by Dilip B. Madan & Martijn Pistorius & Wim Schoutens - 1-28 Equilibrium Equity Price With Optimal Dividend Policy
by Akira Yamazaki - 1-41 Robust Trading Of Implied Skew
by Sergey Nadtochiy & Jan Obłój - 1-44 CLASSIFICATION OF TWO- AND THREE-FACTOR TIME-HOMOGENEOUS SEPARABLE LMMs
by Jaka Gogala & Joanne E. Kennedy
February 2017, Volume 20, Issue 01
- 1-16 Optimal Trading Strategies With Limit Orders
by Rossella Agliardi & Ramazan Gençay - 1-22 On The Numerical Aspects Of Optimal Option Hedging With Transaction Costs
by Norman Josephy & Lucia Kimball & Victoria Steblovskaya - 1-26 Lost In Contagion? Building A Liquidation Index From Covariance Dynamics
by Lakshithe Wagalath - 1-29 Coherent Foreign Exchange Market Models
by Alessandro Gnoatto - 1-33 A Generalized Contagion Process With An Application To Credit Risk
by Angelos Dassios & Hongbiao Zhao - 1-37 Convex Regularization Of Local Volatility Estimation
by Vinicius Albani & Adriano De Cezaro & Jorge P. Zubelli - 1-38 Natural Gas-Fired Power Plants Valuation And Optimization Under Lévy Copulas And Regime Switching
by Nemat Safarov & Colin Atkinson
December 2016, Volume 19, Issue 08
- 1-14 Multiple Testing Of Sign Symmetry For Stock Return Distributions
by Petr Koldanov & Nina Lozgacheva - 1-16 Least Squares Monte Carlo Credit Value Adjustment With Small And Unidirectional Bias
by Mark Joshi & Oh Kang Kwon - 1-23 A General Ornstein–Uhlenbeck Stochastic Volatility Model With Lévy Jumps
by Karl Friedrich Hofmann & Thorsten Schulz - 1-25 Random Time Forward-Starting Options
by F. Antonelli & A. Ramponi & S. Scarlatti - 1-26 Pricing Options On Forwards In Energy Markets: The Role Of Mean Reversion'S Speed
by Maren Diane Schmeck - 1-33 Simultaneous Trading In ‘Lit’ And Dark Pools
by M. Alessandra Crisafi & Andrea Macrina - 1-36 Pairs Trading Of Two Assets With Uncertainty In Co-Integration'S Level Of Mean Reversion
by Sangmin Lee & Andrew Papanicolaou
November 2016, Volume 19, Issue 07
- 1-12 On Optimal Strategies For Utility Maximizers In The Arbitrage Pricing Model
by Miklós Rásonyi - 1-16 Note On The Smith–Wilson Interest Rate Curve
by Florian Gach - 1-21 Extremal Dependence For Bilateral Credit Valuation Adjustments
by Matthias Scherer & Thorsten Schulz - 1-25 Pricing And Hedging Game Options In Currency Models With Proportional Transaction Costs
by Alet Roux - 1-29 Modeling And Pricing Precipitation Derivatives Under Weather Forecasts
by Markus Hess - 1-32 Simplified Hedge For Path-Dependent Derivatives
by Carole Bernard & Junsen Tang - 1-37 Dynamic Balance Sheet Model With Liquidity Risk
by Grzegorz Hałaj
September 2016, Volume 19, Issue 06
- 1-17 A Note On Utility Indifference Pricing
by Johannes Gerer & Gregor Dorfleitner - 1-18 Algorithmic Trading Of Co-Integrated Assets
by Álvaro Cartea & Sebastian Jaimungal - 1-25 On The Heston Model With Stochastic Correlation
by Long Teng & Matthias Ehrhardt & Michael Günther - 1-26 A Two-Factor Jump-Diffusion Model For Pricing Convertible Bonds With Default Risk
by Radha Krishn Coonjobeharry & Désiré Yannick Tangman & Muddun Bhuruth - 1-29 Investor'S Sentiment In Multi-Agent Model Of The Continuous Double Auction
by Alexander Lykov & Stepan Muzychka & Kirill Vaninsky - 1-57 Modern Monetary Circuit Theory, Stability Of Interconnected Banking Network, And Balance Sheet Optimization For Individual Banks
by Alexander Lipton
August 2016, Volume 19, Issue 05
- 1-27 Double Cascade Model Of Financial Crises
by T. R. Hurd & Davide Cellai & Sergey Melnik & Quentin H. Shao - 1-27 Efficient Hedging Of Path–Dependent Options
by Adam W. Kolkiewicz - 1-28 Liquidity Risk And Instabilities In Portfolio Optimization
by Fabio Caccioli & Imre Kondor & Matteo Marsili & Susanne Still - 1-29 An Improved Approach To Evaluate Default Probabilities And Default Correlations With Consistency
by Weiping Li & Tim Krehbiel - 1-31 Asymptotic Approximations For Pricing Derivatives Under Mean-Reverting Processes
by Richard Jordan & Charles Tier - 1-37 Portfolio Optimization Under Nonlinear Utility
by Gregor Heyne & Michael Kupper & Ludovic Tangpi - 1-37 Switching To Nonaffine Stochastic Volatility: A Closed-Form Expansion For The Inverse Gamma Model
by Nicolas Langrené & Geoffrey Lee & Zili Zhu
June 2016, Volume 19, Issue 04
- 1-18 Profitability Of A Simple Pairs Trading Strategy: Recent Evidences From A Global Context
by Jia Miao & Jason Laws - 1-27 Optimal Control Of An Energy Storage Facility Under A Changing Economic Environment And Partial Information
by Anton A. Shardin & Michaela Szölgyenyi - 1-28 Riding With The Four Horsemen And The Multivariate Normal Tempered Stable Model
by Michele Leonardo Bianchi & Gian Luca Tassinari & Frank J. Fabozzi - 1-30 Algorithmic Trading With Learning
by Álvaro Cartea & Sebastian Jaimungal & Damir Kinzebulatov - 1-34 Generalized Barndorff-Nielsen And Shephard Model And Discretely Monitored Option Pricing
by Akira Yamazaki - 1-44 Strong Bubbles And Strict Local Martingales
by Martin Herdegen & Martin Schweizer - 1-49 High-Dimensional Portfolio Optimization With Transaction Costs
by Mark Broadie & Weiwei Shen
May 2016, Volume 19, Issue 03
- 1-16 A Comparative Study Of Monotone Quantile Regression Methods For Financial Returns
by Yuzhi Cai - 1-19 The Valuation Of Options On Foreign Exchange Rate In A Target Zone
by Guangli Xu & Shiyu Song & Yongjin Wang - 1-21 Learning And Portfolio Decisions For Crra Investors
by Michele Longo & Alessandra Mainini - 1-28 Fixing Risk Neutral Risk Measures
by Harvey J. Stein - 1-32 Approximations Of Bond And Swaption Prices In A Black–Karasiński Model
by Andrzej Daniluk & Rafał Muchorski - 1-34 Trajectory-Based Models, Arbitrage And Continuity
by Alexander Alvarez & Sebastian E. Ferrando - 1-42 Conic Portfolio Theory
by Dilip B. Madan
March 2016, Volume 19, Issue 02
- 1-11 On Robustness Of The Black–Scholes Partial Differential Equation Model
by Miklavz Mastinsek - 1-23 Generalized Bn–S Stochastic Volatility Model For Option Pricing
by Indranil Sengupta - 1-26 A Recombining Tree Method For Option Pricing With State-Dependent Switching Rates
by J. X. Jiang & R. H. Liu & D. Nguyen - 1-27 Numerical Analysis On Local Risk-Minimization For Exponential Lévy Models
by Takuji Arai & Yuto Imai & Ryoichi Suzuki - 1-29 Recursive Algorithms For Pricing Discrete Variance Options And Volatility Swaps Under Time-Changed Lévy Processes
by Wendong Zheng & Chi Hung Yuen & Yue Kuen Kwok - 1-36 Worst-Case Portfolio Optimization In A Market With Bubbles
by Christoph Belak & Sören Christensen & Olaf Menkens - 1-37 Institutional Investors And The Dependence Structure Of Asset Returns
by Rama Cont & Lakshithe Wagalath
February 2016, Volume 19, Issue 01
- 1-19 Bubbles And Multiple-Factor Asset Pricing Models
by Robert Jarrow - 1-20 Capital Structure And Tax Convexity When The Maturity Of Debt Is Finite
by Sami Attaoui - 1-22 Pricing And Hedging Of Energy Spread Options And Volatility Modulated Volterra Processes
by Fred Espen Benth & Hanna Zdanowicz - 1-25 The Evaluation Of Multiple Year Gas Sales Agreement With Regime Switching
by Carl Chiarella & Les Clewlow & Boda Kang - 1-25 Shrinkage Estimation Of Mean-Variance Portfolio
by Yan Liu & Ngai Hang Chan & Chi Tim Ng & Samuel Po Shing Wong - 1-26 Optimal Execution Cost For Liquidation Through A Limit Order Market
by Etienne Chevalier & Vathana Ly Vath & Simone Scotti & Alexandre Roch - 1-39 Pricing And Valuation Under The Real-World Measure
by Gabriel Frahm
December 2015, Volume 18, Issue 08
- 1-12 Valuation Of Options On Oil Futures Under The 3/4 Oil Price Model
by Mohammed A. Aba Oud & Joanna Goard - 1-16 The Stress-Dependent Random Walk
by Martin Gremm - 1-17 Joining The Heston And A Three-Factor Short Rate Model: A Closed-Form Approach
by Roman Horsky & Tilman Sayer - 1-18 Asymptotic Arbitrage In The Heston Model
by Fatma Haba & Antoine Jacquier - 1-22 Option Pricing Based On A Log–Skew–Normal Mixture
by J. A. Jiménez & V. Arunachalam & G. M. Serna