# Wiley Blackwell

# Mathematical Finance

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**ISSN:**0960-1627

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### 2004, Volume 14, Issue 2

**173-200 Stochastic Volatility Corrections for Interest Rate Derivatives***by*Peter Cotton & Jean-Pierre Fouque & George Papanicolaou & Ronnie Sircar**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**223-248 Valuation by Simulation of Contingent Claims with Multiple Early Exercise Opportunities***by*Alfredo Ibáñez**249-269 Exercise Regions And Efficient Valuation Of American Lookback Options***by*Tze Leung Lai & Tiong Wee Lim**271-293 Asymptotics of the price oscillations of a European call option in a tree model***by*Francine Diener & MARC Diener**295-315 A note on completeness in large financial markets***by*Marzia De Donno

### 2004, Volume 14, Issue 1

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

### 2003, Volume 13, Issue 4

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

### 2003, Volume 13, Issue 3

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

### 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**245-276 Efficient Universal Portfolios for Past-Dependent Target Classes***by*Jason E. Cross & Andrew R. Barron**277-300 The Defaultable Lévy Term Structure: Ratings and Restructuring***by*Ernst Eberlein & Fehmi Özkan**301-330 A General Fractional White Noise Theory And Applications To Finance***by*Robert J. Elliott & John van der Hoek**331-344 An optimal Strategy for Hedging with Short-Term Futures Contracts***by*G. Larcher & G. Leobacher

### 2003, Volume 13, Issue 1

**1-16 First-Order Schemes in the Numerical Quantization Method***by*V. Bally & G. Pagès & J. Printems**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**37-53 Optimal Malliavin Weighting Function for the Computation of the Greeks***by*Eric Benhamou**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**73-84 Hedging Options: The Malliavin Calculus Approach versus the Δ-Hedging Approach***by*Hans-Peter Bermin**85-97 Local Vega Index and Variance Reduction Methods***by*Hans-Peter Bermin & Arturo Kohatsu-Higa & Miquel Montero**99-113 Monte Carlo Evaluation of Greeks for Multidimensional Barrier and Lookback Options***by*Guillaume Bernis & Emmanuel Gobet & Arturo Kohatsu-Higa**115-134 Error Calculus and Path Sensitivity in Financial Models***by*Nicolas Bouleau**135-151 Efficient Computation of Hedging Portfolios for Options with Discontinuous Payoffs***by*Jaksa Cvitanić & Jin Ma & Jianfeng Zhang**153-169 Malliavin's Calculus in Insider Models: Additional Utility and Free Lunches***by*Peter Imkeller**171-185 An Anticipating Calculus Approach to the Utility Maximization of an Insider***by*Jorge A. León & Reyla Navarro & David Nualart**187-199 Quantiles of the Euler Scheme for Diffusion Processes and Financial Applications***by*Denis Talay & Ziyu Zheng**201-214 Analysis of Error with Malliavin Calculus: Application to Hedging***by*E. Temam**iii-v Preface***by*D. Lamberton & B. Lapeyre & A. Sulem

### 2002, Volume 12, Issue 4

**287-298 A Diffusion Model For Electricity Prices***by*M. T. Barlow**299-328 Passport Options***by*Freddy Delbaen & Marc Yor**329-339 Market Selection Of Financial Trading Strategies: Global Stability***by*Igor V. Evstigneev & Thorsten Hens & Klaus Reiner Schenk-Hoppé**341-349 Separable Term Structures And The Maximal Degree Problem***by*Damir Filipović**351-373 Valuation Of Claims On Nontraded Assets Using Utility Maximization***by*Vicky Henderson**375-409 Partial Hedging In A Stochastic Volatility Environment***by*Mattias Jonsson & K. Ronnie Sircar**411-425 Monotonicity And Convexity Of Option Prices Revisited***by*Masaaki Kijima**427-446 Pricing Coupon-Bond Options And Swaptions In Affine Term Structure Models***by*Kenneth J. Singleton & Len Umantsev**447-451 A General Proof Of The Dybvig-Ingersoll-Ross Theorem: Long Forward Rates Can Never Fall***by*Friedrich Hubalek & Irene Klein & Josef Teichmayn

### 2002, Volume 12, Issue 3

**173-198 Equilibrium Pricing in the Presence of Cumulative Dividends Following a Diffusion***by*Knut K. Aase**199-218 A General Approach to Hedging Options: Applications to Barrier and Partial Barrier Options***by*Hans-Peter Bermin**219-237 American options on assets with dividends near expiry***by*J. D. Evans & R. Kuske & Joseph B. Keller**239-269 Portfolio Value-at-Risk with Heavy-Tailed Risk Factors***by*Paul Glasserman & Philip Heidelberger & Perwez Shahabuddin**271-286 Monte Carlo valuation of American options***by*L. C. G. Rogers

### 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**125-134 On the optimal portfolio for the exponential utility maximization: remarks to the six-author paper***by*Yuri M. Kabanov & Christophe Stricker**135-142 Put Option Premiums and Coherent Risk Measures***by*Robert Jarrow**143-154 The Use of Archimedean Copulas to Model Portfolio Allocations***by*David A. Hennessy & Harvey E. Lapan

### 2002, Volume 12, Issue 1

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

### 2001, Volume 11, Issue 4

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

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

### 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**189-203 MSM Estimators of European Options on Assets with Jumps***by*João Amaro de Matos**205-243 On the Existence of Finite-Dimensional Realizations for Nonlinear Forward Rate Models***by*Tomas Björk & Lars Svensson**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

### 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**33-77 Randomized Stopping Times and American Option Pricing with Transaction Costs***by*Prasad Chalasani & Somesh Jha**79-96 Time Changes for Lévy Processes***by*Hélyette Geman & Dilip B. Madan & Marc Yor**97-115 Analytical Valuation of American Options on Jump-Diffusion Processes***by*Chandrasekhar Reddy Gukhal**117-151 The Asymptotic Expansion Approach to the Valuation of Interest Rate Contingent Claims***by*Naoto Kunitomo & Akihiko Takahashi

### 2000, Volume 10, Issue 4

**407-428 Laguerre Series for Asian and Other Options***by*Daniel Dufresne**429-442 Generic Existence and Robust Nonexistence of Numéraires in Finite Dimensional Securities Markets***by*Bruno Girotto & Fulvio Ortu**443-458 A Fundamental Theorem of Asset Pricing for Large Financial Markets***by*Irene Klein**459-459 Correction: Pricing Options with Curved Boundaries (Mathematical Finance 1992, 2, 275-297)***by*Naoto Kunitomo & Masayuki Ikeda**461-462 Correction: Maximum Likelihood Estimation Using Price Data of the Derivative Contract (Mathematical Finance 1994, 4/2, 155-167)***by*Jin-Chuan Duan

### 2000, Volume 10, Issue 3

**339-353 Louis Bachelier on the Centenary of "Théorie de la Spéculation"***by*Jean-Michel Courtault & Yuri Kabanov & Bernard Bru & Pierre Crépel & Isabelle Lebon & Arnaud Le Marchand**355-385 A Martingale Characterization of Consumption Choices and Hedging Costs with Margin Requirements***by*Domenico Cuoco & Hong Liu**387-406 Optimal Dynamic Portfolio Selection: Multiperiod Mean-Variance Formulation***by*Duan Li & Wan-Lung Ng

### 2000, Volume 10, Issue 2

**89-108 On the Pricing of Contingent Claims with Frictions***by*A. Bensoussan & H. Julien**109-123 Mean-Variance Hedging for Stochastic Volatility Models***by*Francesca Biagini & Paolo Guasoni & Maurizio Pratelli**125-139 Multiple Ratings Model of Defaultable Term Structure***by*Tomasz R. Bielecki & Marek Rutkowski**141-156 Classical and Impulse Stochastic Control of the Exchange Rate Using Interest Rates and Reserves***by*Abel Cadenillas & Fernando Zapatero**157-177 Pricing American Options Fitting the Smile***by*M. A. H. Dempster & D. G. Richards**179-195 On Models of Default Risk***by*R. J. Elliott & M. Jeanblanc & M. Yor**197-213 Risk-Sensitive Control and an Optimal Investment Model***by*W. H. Fleming & S. J. Sheu**215-225 Risk Minimization with Incomplete Information in a Model for High-Frequency Data***by*Rüdiger Frey**227-241 Value Preserving Strategies and a General Framework for Local Approaches to Optimal Portfolios***by*Ralf Korn**243-257 Multidimensional Variance-Optimal Hedging in Discrete-Time Model-A General Approach***by*M. Motoczyński**259-276 Pricing Via Utility Maximization and Entropy***by*Richard Rouge & Nicole El Karoui**277-288 A Stochastic Control Approach to Risk Management Under Restricted Information***by*Wolfgang J. Runggaldier & Anna Zaccaria**289-303 Portfolio Optimization and Martingale Measures***by*Manfred Schäl**305-321 Option Pricing in Discrete-Time Incomplete Market Models***by*Lukasz Stettner**323-338 On Level Curves of Value Functions in Optimization Models of Expected Utility***by*Cristian-Ioan Tiu & Thaleia Zariphopoulou

### 2000, Volume 10, Issue 1

**1-21 Equilibrium with Default and Endogenous Collateral***by*Aloisio Araújo & Jaime Orrillo & Mario R. Páscoa**23-38 Endogenous Random Asset Prices in Overlapping Generations Economies***by*Volker Böhm & Nicole Deutscher & Jan Wenzelburger**39-52 The Minimal Entropy Martingale Measure and the Valuation Problem in Incomplete Markets***by*Marco Frittelli**53-75 On the Rate of Convergence of Discrete-Time Contingent Claims***by*Steve Heston & Guofu Zhou**77-88 Approximating Large Diversified Portfolios***by*Norbert Hofmann & Eckhard Platen

### 1999, Volume 9, Issue 4

**293-321 Pricing General Barrier Options: A Numerical Approach Using Sharp Large Deviations***by*Paolo Baldi & Lucia Caramellino & Maria Gabriella Iovino**323-348 Interest Rate Dynamics and Consistent Forward Rate Curves***by*Tomas Björk & Bent Jesper Christensen**349-359 A Note on the Nelson-Siegel Family***by*Damir Filipović**361-385 Self‐Financing Trading Strategies for Sliding, Rolling‐Horizon, and Consol Bonds***by*Marek Rutkowski**387-412 European‐Type Contingent Claims in an Incomplete Market with Constrained Wealth and Portfolio***by*Jiongmin Yong

### 1999, Volume 9, Issue 3

**203-228 Coherent Measures of Risk***by*Philippe Artzner & Freddy Delbaen & Jean-Marc Eber & David Heath**229-254 Pricing American Stock Options by Linear Programming***by*M. A. H. Dempster & J. P. Hutton**255-273 The Second Fundamental Theorem of Asset Pricing***by*Robert A. Jarrow & Xing Jin & Dilip B. Madan**275-292 Viability and Equilibrium in Securities Markets with Frictions***by*Elyès Jouini & Hédi Kallal

### 1999, Volume 9, Issue 2

**97-116 Bounds on European Option Prices under Stochastic Volatility***by*Rüdiger Frey & Carlos A. Sin**117-152 Asymptotically Optimal Importance Sampling and Stratification for Pricing Path-Dependent Options***by*Paul Glasserman & Philip Heidelberger & Perwez Shahabuddin**153-182 Controlling Risk Exposure and Dividends Payout Schemes:Insurance Company Example***by*Bjarne Hø jgaard & Michael Taksar**183-201 Generalized Hyperbolic Diffusion Processes with Applications in Finance***by*Tina Hviid Rydberg

### 1999, Volume 9, Issue 1

**1-30 Currency Prices, the Nominal Exchange Rate, and Security Prices in a Two‐Country Dynamic Monetary Equilibrium***by*Suleyman Basak & Michael Gallmeyer**31-53 Term Structure Models Driven by General Lévy Processes***by*Ernst Eberlein & Sebastian Raible**55-96 Step Options***by*Vadim Linetsky

### 1998, Volume 8, Issue 4

**291-323 Long memory in continuous-time stochastic volatility models***by*Fabienne Comte & Eric Renault**325-347 On-Line Portfolio Selection Using Multiplicative Updates***by*David P. Helmbold & Robert E. Schapire & Yoram Singer & Manfred K. Warmuth**349-383 Applications of Eigenfunction Expansions in Continuous-Time Finance***by*Alan L. Lewis**385-403 When Does Convergence of Asset Price Processes Imply Convergence of Option Prices?***by*Friedrich Hubalek & Walter Schachermayer

### 1998, Volume 8, Issue 3

**169-178 Investment and Arbitrage Opportunities with Short Sales Constraints***by*Laurence Carassus & Elyès Jouini**179-200 Mean-Variance Hedging and Numéraire***by*Christian Gourieroux & Jean Paul Laurent & Huyên Pham**201-228 Double Lookbacks***by*Hua He & William P. Keirstead & Joachim Rebholz**229-247 Monotonicities in a Markov Chain Model for Valuing Corporate Bonds Subject to Credit Risk***by*Masaaki Kijima**249-275 A Discrete‐Time Intertemporal Asset Pricing Model: GE Approach with Recursive Utility***by*Chenghu Ma**277-290 Volatility Estimation with Price Quanta***by*L. C. G. Rogers

### 1998, Volume 8, Issue 2

**93-126 Robustness of the Black and Scholes Formula***by*Nicole El Karoui & Monique Jeanblanc-Picquè & Steven E. Shreve**127-152 A Discrete Time Equivalent Martingale Measure***by*Robert J. Elliott & Dilip B. Madan**153-161 A Note on Hedging in ARCH and Stochastic Volatility Option Pricing Models***by*René Garcia & Èric Renault**163-168 Pricing by Arbitrage Under Arbitrary Information***by*Simon H. Babbs & Michael J. P. Selby

### 1998, Volume 8, Issue 1

**1-11 A Simple Counterexample to Several Problems in the Theory of Asset Pricing***by*Freddy Delbaen & Walter Schachermayer**13-26 Option Pricing in ARCH-type Models***by*Jan Kallsen & Murad S. Taqqu**27-48 Complete Models with Stochastic Volatility***by*David G. Hobson & L. C. G. Rogers**49-65 Consumption and Portfolio Selection with Labor Income: A Continuous Time Approach***by*Hyeng Keun Koo**67-84 On Feedback Effects from Hedging Derivatives***by*Eckhard Platen & Martin Schweizer**85-91 Ergodicity, State Prices, and Long Bond Returns***by*Anthony Tessitore & Nilufer Usmen

### 1997, Volume 7, Issue 4

**325-349 A Continuity Correction for Discrete Barrier Options***by*Mark Broadie & Paul Glasserman & Steven Kou**351-374 Market Volatility and Feedback Effects from Dynamic Hedging***by*Rüdiger Frey & Alexander Stremme**375-398 Market Participation and Share Prices***by*Gerhard O. Orosel**399-412 Contingent Claims and Market Completeness in a Stochastic Volatility Model***by*Marc Romano & Nizar Touzi**413-426 Pricing Stock Options in a Jump‐Diffusion Model with Stochastic Volatility and Interest Rates: Applications of Fourier Inversion Methods***by*Louis O. Scott

### 1997, Volume 7, Issue 3

**241-286 The Valuation of American Options on Multiple Assets***by*Mark Broadie & Jérôme Detemple**287-305 The Statistical Properties of the Black-Scholes Option Price***by*Mthuli Ncube & Stephen Satchell**307-324 An Asymptotic Analysis of an Optimal Hedging Model for Option Pricing with Transaction Costs***by*A. E. Whalley & P. Wilmott

### 1997, Volume 7, Issue 2

**107-118 Characterizing Gaussian Models of the Term Structure of Interest Rates***by*D. P. Kennedy**119-125 A Note on the Stability of Lognormal Interest Rate Models and the Pricing of Eurodollar Futures***by*Klaus Sandmann & Dieter Sondermann**127-155 The Market Model of Interest Rate Dynamics***by*Alan Brace & Dariusz G¸atarek & Marek Musiela**157-176 The Potential Approach to the Term Structure of Interest Rates and Foreign Exchange Rates***by*L. C. G. Rogers**177-209 A Nonlinear Model of the Term Structure of Interest Rates***by*Julian Tice & Nick Webber**211-239 Bond Market Structure in the Presence of Marked Point Processes***by*Tomas Björk & Yuri Kabanov & Wolfgang Runggaldier

### 1997, Volume 7, Issue 1

**1-71 Backward Stochastic Differential Equations in Finance***by*N. El Karoui & S. Peng & M. C. Quenez**73-81 Arbitrage and Growth Rate for Riskless Investments in a Stationary Economy***by*Ilan Adler & David Gale**83-93 Pricing Barrier Options with Time-Dependent Coefficients***by*G. O. Roberts & C. F. Shortland**95-105 Arbitrage with Fractional Brownian Motion***by*L. C. G. Rogers

### 1996, Volume 6, Issue 4

**341-364 Minimizing Transaction Costs Of Option Hedging Strategies***by*E. R. Grannan & G. H. Swindle**365-378 Pricing And Hedging Double-Barrier Options: A Probabilistic Approach***by*Hélyette Geman & Marc Yor**379-406 A Yield-Factor Model Of Interest Rates***by*Darrell Duffie & Rui Kan**407-408 Erratum To "A Stochastic Extension Of The Miller-Modigliani Framework"***by*P. Sethi & N. A. Derzko & L. P. Lehoczky

### 1996, Volume 6, Issue 3

**237-277 Portfolio Selection Problems Via The Bivariate Characterization Of Stochastic Dominance Relations***by*Masaaki Kijima & Masamitsu Ohnishi**279-302 Option Hedging And Implied Volatilities In A Stochastic Volatility Model***by*Eric Renault & Nizar Touzi**303-322 Martingale Approach To Pricing Perpetual American Options On Two Stocks***by*Hans U. Gerber & Hlias S. W. Shiu**323-330 Choquet Pricing For Financial Markets With Frictions***by*A. Chateauneuf & R. Kast & A. Lapied**331-340 General Equilibrium With Constant Relative Risk Aversion And Vasicek Interest Rates***by*Robert Goldstein & Fernando Zapatero

### 1996, Volume 6, Issue 2

**119-132 Infinite Horizon Incomplete Markets With A Continuum Of States***by*Aloisio Araujo & Paulo K. Monteiro & M´rio Rui P´ascoa**133-165 HEDGING AND PORTFOLIO OPTIMIZATION UNDER TRANSACTION COSTS: A MARTINGALE APPROACH-super-2***by*Jaksa Cvitanić & Ioannis Karatzas**167-196 Incomplete Markets In Infinite Horizon: Debt Constraints Versus Node Prices***by*Monique Florenzano & Pascal Gourdel**197-213 Wiener Chaos: A New Approach To Option Hedging***by*Vincent Lacoste**215-236 Equilibrium State Prices In A Stochastic Volatility Model***by*Huyěn Pham & Nizar Touzi

### 1996, Volume 6, Issue 1

**1-16 Dynamic Spanning: Are Options An Appropriate Instrument?***by*Isabelle Bajeux-Besnainou & Jean-Charles Rochet**17-51 Pricing Of American Path-Dependent Contingent Claims***by*Jérôme Barraquand & Thierry Pudet**53-88 Pricing Callable Bonds By Means Of Green'S Function***by*Hans-Jürg Büttler & Jorg Waldvogel**89-109 Solution Of The Extended Cir Term Structure And Bond Option Valuation***by*Yoosef Maghsoodi**111-117 Diffusion Coefficient Estimation And Asset Pricing When Risk Premia And Sensitivities Are Time Varying: A Comment***by*Sergio Pastorello

### 1995, Volume 5, Issue 4

**279-296 Optimal Investment Of A Life Interest***by*S. D. Jacka**297-309 Certainty Equivalence And Logarithmic Utilities In Consumption/Investment Problems***by*Yoichi Kuwana**311-336 Option Pricing Using The Term Structure Of Interest Rates To Hedge Systematic Discontinuities In Asset Returns***by*Robert Jarrow & Dilip Madan**337-356 Optimal Portfolio Management With Fixed Transaction Costs***by*Andrew J. Morton & Stanley R. Pliska**357-367 Portfolio Management With Transaction Costs: An Asymptotic Analysis Of The Morton And Pliska Model***by*C. Atkinson & P. Wilmott

### 1995, Volume 5, Issue 3

**187-195 Default Risk Insurance And Incomplete Markets***by*Philippe Artzner & Freddy Delbaen**197-232 Arbitrage In Securities Markets With Short-Sales Constraints***by*Elyégs Jouini & Hédi Kallal**233-246 Existence Of A Nonnegative Equilibrium Price Vector In The Mean-Variance Capital Market***by*Hiroshi Konno & Hiroshi Shirakawa**247-277 Takeovers Of Diffusely Held Firms: A Nonstandard Approach***by*Thomas H. Noe

### 1995, Volume 5, Issue 2

**77-95 Critical Stock Price Near Expiration***by*Guy Barles & Julien Burdeau & Marc Romano & Nicolas Samsoen**97-119 Tax Basis And Nonlinearity In Cash Stream Valuation***by*Jaime Cuevas Dermody & R. Tyrrell Rockafellar**121-131 Attainable Claims In A Markov Market***by*Alain Bensoussan & Robert J. Elliott**133-153 Multivariate Stable Futures Prices***by*B. N. Cheng & S. T. Rachev**155-165 Isolating The Wild Card Option***by*Hugh Cohen**167-185 Factor Models Of Domestic And Foreign Interest Rates With Stochastic Volatilities***by*Antoine Frachot

### 1995, Volume 5, Issue 1

**1-11 Approximate Completeness With Multiple Martingale Measures***by*Philippe Artzner & David Heath