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Content
July 2018, Volume 28, Issue 3
- 839-876 Liquidity effects of trading frequency
by Roman Gayduk & Sergey Nadtochiy - 877-919 Error analysis of finite difference and Markov chain approximations for option pricing
by Lingfei Li & Gongqiu Zhang - 920-961 Analytical approximations of local†Heston volatility model and error analysis
by R. Bompis & E. Gobet - 962-988 Option pricing in the moderate deviations regime
by Peter Friz & Stefan Gerhold & Arpad Pinter
April 2018, Volume 28, Issue 2
- 483-515 Super†replication in fully incomplete markets
by Yan Dolinsky & Ariel Neufeld - 516-535 Conic martingales from stochastic integrals
by Monique Jeanblanc & Frédéric Vrins - 536-549 On peacocks and lyrebirds: Australian options, Brownian bridges, and the average of submartingales
by Christian†Oliver Ewald & Marc Yor - 550-581 On American VIX options under the generalized 3/2 and 1/2 models
by Jérôme Detemple & Yerkin Kitapbayev - 582-620 Arbitrage†free XVA
by Maxim Bichuch & Agostino Capponi & Stephan Sturm - 621-655 Fair bilateral pricing under funding costs and exogenous collateralization
by Tianyang Nie & Marek Rutkowski - 656-667 A note on the long rate in factor models of the term structure
by Jan de Kort - 668-711 Small†cost asymptotics for long†term growth rates in incomplete markets
by Yaroslav Melnyk & Frank Thomas Seifried - 712-747 Optimal cash holdings under heterogeneous beliefs
by Robert Jarrow & Andrey Krishenik & Andreea Minca - 748-754 On the C†property and w∗†representations of risk measures
by Niushan Gao & Foivos Xanthos
January 2018, Volume 28, Issue 1
- 5-28 Shareholder Risk Measures
by Delia Coculescu & Jean†Charles Rochet - 29-49 Asymptotic Equivalence Of Risk Measures Under Dependence Uncertainty
by Jun Cai & Haiyan Liu & Ruodu Wang - 50-81 Profit Sharing In Hedge Funds
by Xue Dong He & Steven Kou - 82-105 Robust Utility Maximization With Lã‰Vy Processes
by Ariel Neufeld & Marcel Nutz - 106-118 Utility Maximization In A Large Market
by Oleksii Mostovyi - 119-152 Investing With Liquid And Illiquid Assets
by Maxim Bichuch & Paolo Guasoni - 153-176 Liquidation Of An Indivisible Asset With Independent Investment
by Emilie Fabre & Guillaume Royer & Nizar Touzi - 177-210 Optimal Liquidation And Adverse Selection In Dark Pools
by Peter Kratz & Torsten Schöneborn - 211-239 Dynamic Defaultable Term Structure Modeling Beyond The Intensity Paradigm
by Frank Gehmlich & Thorsten Schmidt - 240-267 Modeling Sovereign Risks: From A Hybrid Model To The Generalized Density Approach
by Ying Jiao & Shanqiu Li - 268-305 Bounding Wrong†Way Risk In Cva Calculation
by Paul Glasserman & Linan Yang - 306-334 Social Discounting And The Long Rate Of Interest
by Dorje C. Brody & Lane P. Hughston - 335-371 Indifference Pricing For Contingent Claims: Large Deviations Effects
by Scott Robertson & Konstantinos Spiliopoulos - 372-408 Indifference Prices And Implied Volatilities
by Matthew Lorig - 409-446 International Reserve Management: A Drift†Switching Reflected Jump†Diffusion Model
by Ning Cai & Xuewei Yang - 447-479 Convergence Of A Least†Squares Monte Carlo Algorithm For American Option Pricing With Dependent Sample Data
by Daniel Z. Zanger
October 2017, Volume 27, Issue 4
- 963-987 Robust Fundamental Theorem For Continuous Processes
by Sara Biagini & Bruno Bouchard & Constantinos Kardaras & Marcel Nutz - 988-1012 On Arbitrage And Duality Under Model Uncertainty And Portfolio Constraints
by Erhan Bayraktar & Zhou Zhou - 1013-1034 The 4/2 Stochastic Volatility Model: A Unified Approach For The Heston And The 3/2 Model
by Martino Grasselli - 1035-1068 Leveraged Etf Implied Volatilities From Etf Dynamics
by Tim Leung & Matthew Lorig & Andrea Pascucci - 1069-1088 Density Of Skew Brownian Motion And Its Functionals With Application In Finance
by Alexander Gairat & Vadim Shcherbakov - 1089-1123 Efficient Pricing Of Barrier Options And Credit Default Swaps In Lévy Models With Stochastic Interest Rate
by Svetlana Boyarchenko & Sergei Levendorskiĭ
July 2017, Volume 27, Issue 3
- 623-658 Shadow Prices For Continuous Processes
by Christoph Czichowsky & Walter Schachermayer & Junjian Yang - 659-703 The General Structure Of Optimal Investment And Consumption With Small Transaction Costs
by Jan Kallsen & Johannes Muhle-Karbe - 704-745 Portfolio Optimization And Stochastic Volatility Asymptotics
by Jean-Pierre Fouque & Ronnie Sircar & Thaleia Zariphopoulou - 746-778 Pricing For Large Positions In Contingent Claims
by Scott Robertson - 779-802 A State-Constrained Differential Game Arising In Optimal Portfolio Liquidation
by Alexander Schied & Tao Zhang - 803-831 Option Pricing And Hedging With Execution Costs And Market Impact
by Olivier Guéant & Jiang Pu - 832-865 Approximate Hedging Problem With Transaction Costs In Stochastic Volatility Markets
by Thai Huu Nguyen & Serguei Pergamenshchikov - 866-901 A Primal–Dual Algorithm For Bsdes
by Christian Bender & Nikolaus Schweizer & Jia Zhuo - 902-925 A First-Order Bspde For Swing Option Pricing: Classical Solutions
by Christian Bender & Nikolai Dokuchaev - 926-960 Explicit Implied Volatilities For Multifactor Local-Stochastic Volatility Models
by Matthew Lorig & Stefano Pagliarani & Andrea Pascucci
April 2017, Volume 27, Issue 2
- 279-312 Tug-Of-War, Market Manipulation, And Option Pricing
by Kaj Nyström & Mikko Parviainen - 313-349 Dynamic Trading Volume
by Paolo Guasoni & Marko Weber - 350-400 Trading With Small Price Impact
by Ludovic Moreau & Johannes Muhle-Karbe & H. Mete Soner - 401-437 Impact Of Time Illiquidity In A Mixed Market Without Full Observation
by Salvatore Federico & Paul Gassiat & Fausto Gozzi - 438-470 Optimal Investment For All Time Horizons And Martin Boundary Of Space-Time Diffusions
by Sergey Nadtochiy & Michael Tehranchi - 471-504 Mean-Variance Policy For Discrete-Time Cone-Constrained Markets: Time Consistency In Efficiency And The Minimum-Variance Signed Supermartingale Measure
by Xiangyu Cui & Duan Li & Xun Li - 505-533 Risk-Minimization For Life Insurance Liabilities With Dependent Mortality Risk
by Francesca Biagini & Camila Botero & Irene Schreiber - 534-567 Model Uncertainty And Scenario Aggregation
by Mathieu Cambou & Damir Filipović - 568-603 No-Arbitrage In A Numéraire-Independent Modeling Framework
by Martin Herdegen - 604-620 An Analytical Solution For The Two-Sided Parisian Stopping Time, Its Asymptotics, And The Pricing Of Parisian Options
by Angelos Dassios & Jia Wei Lim
January 2017, Volume 27, Issue 1
- 3-37 Robust Portfolios And Weak Incentives In Long-Run Investments
by Paolo Guasoni & Johannes Muhle-Karbe & Hao Xing - 38-67 Stability Of The Exponential Utility Maximization Problem With Respect To Preferences
by Hao Xing - 68-95 The Numéraire Property And Long-Term Growth Optimality For Drawdown-Constrained Investments
by Constantinos Kardaras & Jan Obłój & Eckhard Platen - 96-114 Optimal Investment With Intermediate Consumption And Random Endowment
by Oleksii Mostovyi - 115-150 Sensitivity Analysis Of Nonlinear Behavior With Distorted Probability
by Xi-Ren Cao & Xiangwei Wan - 151-193 Local Variance Gamma And Explicit Calibration To Option Prices
by Peter Carr & Sergey Nadtochiy - 194-223 On The Martingale Property In Stochastic Volatility Models Based On Time-Homogeneous Diffusions
by Carole Bernard & Zhenyu Cui & Don McLeish - 224-250 Real Options With Competition And Regime Switching
by Alain Bensoussan & SingRu Hoe & ZhongFeng Yan & George Yin - 251-275 Price Setting Of Market Makers: A Filtering Problem With Endogenous Filtration
by Christoph Kühn & Matthias Riedel
October 2016, Volume 26, Issue 4
- 699-747 Multivariate Subordination Of Markov Processes With Financial Applications
by Rafael Mendoza-Arriaga & Vadim Linetsky - 748-784 Expectations Of Functions Of Stochastic Time With Application To Credit Risk Modeling
by Ovidiu Costin & Michael B. Gordy & Min Huang & Pawel J. Szerszen - 785-834 Optimal Investment In Credit Derivatives Portfolio Under Contagion Risk
by Lijun Bo & Agostino Capponi - 835-866 Fire Sales Forensics: Measuring Endogenous Risk
by Rama Cont & Lakshithe Wagalath - 867-900 Multivariate Risk Measures: A Constructive Approach Based On Selections
by Ilya Molchanov & Ignacio Cascos - 901-918 Coherence And Elicitability
by Johanna F. Ziegel - 919-938 Price-Admissibility Conditions For Arbitrage-Free Linear Price Function Models For The Term Structure Of Interest Rates
by Andrew F. Siegel - 939-961 Model-Independent Lower Bound On Variance Swaps
by Nabil Kahalé - 962-982 Fast Swaption Pricing In Gaussian Term Structure Models
by Jaehyuk Choi & Sungchan Shin
July 2016, Volume 26, Issue 3
- 461-491 A First-Order Bspde For Swing Option Pricing
by Christian Bender & Nikolai Dokuchaev - 492-515 Valuation Of Barrier Options Via A General Self-Duality
by Elisa Alòs & Zhanyu Chen & Thorsten Rheinländer - 516-557 High-Order Short-Time Expansions For Atm Option Prices Of Exponential Lévy Models
by José E. Figueroa-López & Ruoting Gong & Christian Houdré - 558-588 Arrow–Debreu Equilibria For Rank-Dependent Utilities
by Jianming Xia & Xun Yu Zhou - 589-601 A Note On The Quantile Formulation
by Zuo Quan Xu - 602-616 Do Arbitrage-Free Prices Come From Utility Maximization?
by Pietro Siorpaes - 617-637 Benchmarked Risk Minimization
by Ke Du & Eckhard Platen - 638-673 MULTIDIMENSIONAL DYNAMIC RISK MEASURE VIA CONDITIONAL g-EXPECTATION
by Yuhong Xu - 674-695 Gambling In Contests With Regret
by Han Feng & David Hobson
April 2016, Volume 26, Issue 2
- 233-251 A Model-Free Version Of The Fundamental Theorem Of Asset Pricing And The Super-Replication Theorem
by B. Acciaio & M. Beiglböck & F. Penkner & W. Schachermayer - 252-268 Utility Maximization Under Model Uncertainty In Discrete Time
by Marcel Nutz - 269-295 The Incentives Of Hedge Fund Fees And High-Water Marks
by Paolo Guasoni & Jan Obłój - 296-328 On Valuing Stochastic Perpetuities Using New Long Horizon Stock Price Models Distinguishing Booms, Busts, And Balanced Markets
by Dilip B. Madan & Marc Yor - 329-365 Resilience To Contagion In Financial Networks
by Hamed Amini & Rama Cont & Andreea Minca - 366-394 Stochastic Local Intensity Loss Models With Interacting Particle Systems
by Aurélien Alfonsi & Céline Labart & Jérôme Lelong - 395-411 Measuring Distribution Model Risk
by Thomas Breuer & Imre Csiszár - 412-430 Comparing Local Risks By Acceptance And Rejection
by Amnon Schreiber - 431-458 Model-Independent No-Arbitrage Conditions On American Put Options
by Alexander M. G. Cox & Christoph Hoeggerl
January 2016, Volume 26, Issue 1
- 3-50 Hope, Fear, And Aspirations
by Xue Dong He & Xun Yu Zhou - 51-85 Behavioral Portfolio Selection: Asymptotics And Stability Along A Sequence Of Models
by Christian Reichlin - 86-121 Linked Recursive Preferences And Optimality
by Shlomo Levental & Sumit Sinha & Mark Schroder - 122-148 Bessel Processes, Stochastic Volatility, And Timer Options
by Chenxu Li - 149-183 A New Look At Short-Term Implied Volatility In Asset Price Models With Jumps
by Aleksandar Mijatović & Peter Tankov - 184-229 CVaR HEDGING USING QUANTIZATION-BASED STOCHASTIC APPROXIMATION ALGORITHM
by O. Bardou & N. Frikha & G. Pagès
October 2015, Volume 25, Issue 4
- 673-701 No-Arbitrage Pricing For Dividend-Paying Securities In Discrete-Time Markets With Transaction Costs
by Tomasz R. Bielecki & Igor Cialenco & Rodrigo Rodriguez - 702-723 Option Pricing And Hedging With Small Transaction Costs
by Jan Kallsen & Johannes Muhle-Karbe - 724-753 Long Horizons, High Risk Aversion, And Endogenous Spreads
by Paolo Guasoni & Johannes Muhle-Karbe - 754-788 Optimal Selling Rules For Monetary Invariant Criteria: Tracking The Maximum Of A Portfolio With Negative Drift
by Romuald Elie & Gilles-Edouard Espinosa - 789-826 Static Fund Separation Of Long-Term Investments
by Paolo Guasoni & Scott Robertson - 827-868 A General Equilibrium Model Of A Multifirm Moral-Hazard Economy With Financial Markets
by Jaeyoung Sung & Xuhu Wan - 869-889 Markets For Inflation-Indexed Bonds As Mechanisms For Efficient Monetary Policy
by Christian-Oliver Ewald & Johannes Geissler
July 2015, Volume 25, Issue 3
- 457-495 General Intensity Shapes In Optimal Liquidation
by Olivier Guéant & Charles-Albert Lehalle - 496-544 Portfolio Liquidation In Dark Pools In Continuous Time
by Peter Kratz & Torsten Schöneborn - 545-575 Optimal High-Frequency Trading In A Pro Rata Microstructure With Predictive Information
by Fabien Guilbaud & Huyên Pham - 576-611 Risk Metrics And Fine Tuning Of High-Frequency Trading Strategies
by Álvaro Cartea & Sebastian Jaimungal - 612-639 Optimal Execution Of A Vwap Order: A Stochastic Control Approach
by Christoph Frei & Nicholas Westray - 640-672 Optimal Execution Horizon
by David Easley & Marcos Lopez Prado & Maureen O'Hara
April 2015, Volume 25, Issue 2
- 221-257 Optimal Investment Under Relative Performance Concerns
by Gilles-Edouard Espinosa & Nizar Touzi - 258-287 Robust Utility Maximization In Nondominated Models With 2bsde: The Uncertain Volatility Model
by Anis Matoussi & Dylan Possamaï & Chao Zhou - 288-310 An Online Portfolio Selection Algorithm With Regret Logarithmic In Price Variation
by Elad Hazan & Satyen Kale - 311-338 The Effect Of Trading Futures On Short Sale Constraints
by Robert Jarrow & Philip Protter & Sergio Pulido - 339-370 Dual Representations For General Multiple Stopping Problems
by Christian Bender & John Schoenmakers & Jianing Zhang - 371-399 On The Consistency Of Regression-Based Monte Carlo Methods For Pricing Bermudan Options In Case Of Estimated Financial Models
by Andreas Fromkorth & Michael Kohler - 400-425 From Smile Asymptotics To Market Risk Measures
by Ronnie Sircar & Stephan Sturm - 426-456 Correlation Under Stress In Normal Variance Mixture Models
by Michael Kalkbrener & Natalie Packham
January 2015, Volume 25, Issue 1
- 1-22 Bilateral Counterparty Risk Under Funding Constraints—Part I: Pricing
by Stéphane Crépey - 23-50 Bilateral Counterparty Risk Under Funding Constraints—Part Ii: Cva
by Stéphane Crépey - 51-76 Default And Systemic Risk In Equilibrium
by Agostino Capponi & Martin Larsson - 77-114 Large Portfolio Asymptotics For Loss From Default
by Kay Giesecke & Konstantinos Spiliopoulos & Richard B. Sowers & Justin A. Sirignano - 115-153 On Optimal Investment For A Behavioral Investor In Multiperiod Incomplete Market Models
by Laurence Carassus & Miklós Rásonyi - 154-186 Optimal Insurance Design Under Rank-Dependent Expected Utility
by Carole Bernard & Xuedong He & Jia-An Yan & Xun Yu Zhou - 187-219 General Properties Of Isoelastic Utility Economies
by Joel M. Vanden
October 2014, Volume 24, Issue 4
- 627-650 Liquidation In Limit Order Books With Controlled Intensity
by Erhan Bayraktar & Michael Ludkovski - 651-695 Optimal Trade Execution And Price Manipulation In Order Books With Time-Varying Liquidity
by Antje Fruth & Torsten Schöneborn & Mikhail Urusov - 696-727 Optimal Liquidation In A Limit Order Book For A Risk-Averse Investor
by Arne Løkka - 728-761 Admissibility Of Generic Market Models Of Forward Swap Rates
by Libo Li & Marek Rutkowski - 762-789 Pricing Swaptions Under Multifactor Gaussian Hjm Models
by João Pedro Vidal Nunes & Pedro Miguel Silva Prazeres - 790-820 Swaption Pricing In Affine And Other Models
by Don H. Kim - 821-854 Arbitrage Bounds For Prices Of Weighted Variance Swaps
by Mark Davis & Jan Obłój & Vimal Raval - 855-881 Closed Form Pricing Formulas For Discretely Sampled Generalized Variance Swaps
by Wendong Zheng & Yue Kuen Kwok
January 2014, Volume 24, Issue 1
- 1-24 Mean–Variance Portfolio Optimization With State-Dependent Risk Aversion
by Tomas Björk & Agatha Murgoci & Xun Yu Zhou - 25-65 Time-Consistent And Market-Consistent Evaluations
by Antoon Pelsser & Mitja Stadje - 66-96 Rethinking Dynamic Capital Structure Models With Roll-Over Debt
by Jean-Paul Décamps & Stéphane Villeneuve - 97-124 No-Arbitrage Pricing Under Systemic Risk: Accounting For Cross-Ownership
by Tom Fischer - 125-146 Arbitrage-Free Bilateral Counterparty Risk Valuation Under Collateralization And Application To Credit Default Swaps
by Damiano Brigo & Agostino Capponi & Andrea Pallavicini - 147-155 On The Lower Arbitrage Bound Of American Contingent Claims
by Beatrice Acciaio & Gregor Svindland - 156-172 A Method For Pricing American Options Using Semi-Infinite Linear Programming
by Sören Christensen - 173-206 Game Call Options Revisited
by S. C. P. Yam & S. P. Yung & W. Zhou
July 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 - 379-401 Constant Proportion Portfolio Insurance In The Presence Of Jumps In Asset Prices
by Rama Cont & Peter Tankov - 403-421 Pricing Corporate Securities Under Noisy Asset Information
by Rüdiger Frey & Thorsten Schmidt - 423-455 Maximizing The Growth Rate Under Risk Constraints
by Traian A. Pirvu & Gordan Žitković - 457-486 Singular Perturbation Techniques Applied To Multiasset Option Pricing
by Peter W. Duck & Chao Yang & David P. Newton & Martin Widdicks - 487-521 Portfolio Selection With Monotone Mean‐Variance Preferences
by Fabio Maccheroni & Massimo Marinacci & Aldo Rustichini & Marco Taboga
April 2009, Volume 19, Issue 2
- 161-187 No‐Free‐Lunch Equivalences For Exponential Lévy Models Under Convex Constraints On Investment
by Constantinos Kardaras - 189-214 Risk Measures On Orlicz Hearts
by Patrick Cheridito & Tianhui Li - 215-236 Optimal Consumption And Portfolio Decisions With Partially Observed Real Prices
by Alain Bensoussan & Jussi Keppo & Suresh P. Sethi - 237-250 Continuity Of Utility‐Maximization With Respect To Preferences
by Kasper Larsen - 251-279 Explicit Solutions Of Consumption‐Investment Problems In Financial Markets With Regime Switching
by Luz Rocío Sotomayor & Abel Cadenillas - 281-302 Estimation Of Value At Risk And Ruin Probability For Diffusion Processes With Jumps
by Laurent Denis & Begoña Fernández & Ana Meda - 303-327 Implied Volatility In The Hull–White Model
by Archil Gulisashvili & Elias M. Stein - 329-333 Risk Measures For Non‐Integrable Random Variables
by Freddy Delbaen - 335-342 An Axiomatization Of Quantiles On The Domain Of Distribution Functions
by Christopher P. Chambers
January 2009, Volume 19, Issue 1
- 1-12 Regular Variation And Smile Asymptotics
by S. Benaim & P. Friz - 13-40 Capital Allocation And Risk Contribution With Discrete‐Time Coherent Risk
by Alexander S. Cherny - 41-52 Consistent Market Extensions Under The Benchmark Approach
by Damir Filipović & Eckhard Platen - 53-71 True Upper Bounds For Bermudan Products Via Non‐Nested Monte Carlo
by Denis Belomestny & Christian Bender & John Schoenmakers - 73-97 Modeling The Recovery Rate In A Reduced Form Model
by Xin Guo & Robert A. Jarrow & Yan Zeng - 99-128 Accounting For Risk Aversion, Vesting, Job Termination Risk And Multiple Exercises In Valuation Of Employee Stock Options
by Tim Leung & Ronnie Sircar - 129-159 Optimal Investment With An Unbounded Random Endowment And Utility‐Based Pricing
by Mark P. Owen & Gordan Žitković
October 2008, Volume 18, Issue 4
- 1-1 Preface
by Wenjiang Jiang & Xun Yu Zhou - 493-518 Defaultable Options In A Markovian Intensity Model Of Credit Risk
by Tomasz R. Bielecki & Stéphane Crépey & Monique Jeanblanc & Marek Rutkowski - 519-543 An Equilibrium Guide To Designing Affine Pricing Models
by Bjørn Eraker & Ivan Shaliastovich - 545-567 Optimal Timing For An Indivisible Asset Sale
by Jonathan Evans & Vicky Henderson & David Hobson - 569-593 Optioned Portfolio Selection: Models And Analysis
by Jianfeng Liang & Shuzhong Zhang & Duan Li - 595-611 Guaranteed Minimum Withdrawal Benefit In Variable Annuities
by Min Dai & Yue Kuen Kwok & Jianping Zong - 613-627 A Model Of Optimal Consumption Under Liquidity Risk With Random Trading Times
by Huyên Pham & Peter Tankov - 629-648 Liquidation Of A Large Block Of Stock With Regime Switching
by Moustapha Pemy & Qing Zhang & G. George Yin - 649-667 Optimal Multi‐Agent Performance Measures For Team Contracts
by Hyeng Keun Koo & Gyoocheol Shim & Jaeyoung Sung
July 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 - 385-426 Behavioral Portfolio Selection In Continuous Time
by Hanqing Jin & Xun Yu Zhou - 427-443 Bivariate Support Of Forward Libor And Swap Rates
by Farshid Jamshidian - 445-472 Optimal Portfolio, Consumption‐Leisure And Retirement Choice Problem With Ces Utility
by Kyoung Jin Choi & Gyoocheol Shim & Yong Hyun Shin - 473-492 Mean–Variance Hedging And Optimal Investment In Heston'S Model With Correlation
by Aleš Černý & Jan Kallsen
April 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 - 239-268 Optimal Multiple Stopping And Valuation Of Swing Options
by René Carmona & Nizar Touzi - 269-292 Optimal Risk Sharing For Law Invariant Monetary Utility Functions
by E. Jouini & W. Schachermayer & N. Touzi - 293-303 On The Consistency Of The Lucas Pricing Formula
by Knut K. Aase - 305-316 A Counterexample Concerning The Variance‐Optimal Martingale Measure
by Aleš Černý & Jan Kallsen - 317-331 Optimal Portfolios With Lower Partial Moment Constraints And Lpm‐Risk‐Optimal Martingale Measures
by Johannes Leitner - 333-336 Optimal Numeraires For Risk Measures
by Damir Filipović
January 2008, Volume 18, Issue 1
- 1-22 Valuations And Dynamic Convex Risk Measures
by A. Jobert & L. C. G. Rogers - 23-54 Asset Pricing With No Exogenous Probability Measure
by Gianluca Cassese - 55-76 Optimal Capital And Risk Transfers For Group Diversification
by Damir Filipović & Michael Kupper - 77-114 Term Structures Of Implied Volatilities: Absence Of Arbitrage And Existence Results
by Martin Schweizer & Johannes Wissel - 115-134 Simulation‐Based Portfolio Optimization For Large Portfolios With Transaction Costs
by Kumar Muthuraman & Haining Zha - 135-153 Solvable Affine Term Structure Models
by Martino Grasselli & Claudio Tebaldi - 155-170 How Close Are The Option Pricing Formulas Of Bachelier And Black–Merton–Scholes?
by Walter Schachermayer & Josef Teichmann - 171-183 A Convex Stochastic Optimization Problem Arising From Portfolio Selection
by Hanqing Jin & Zuo Quan Xu & Xun Yu Zhou - 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
October 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 - 487-502 Callable Puts As Composite Exotic Options
by Christoph Kühn & Andreas E. Kyprianou - 503-539 The Eigenfunction Expansion Method In Multi‐Factor Quadratic Term Structure Models
by Nina Boyarchenko & Sergei Levendorskiǐ - 541-573 Intensity‐Based Valuation Of Residential Mortgages: An Analytically Tractable Model
by Vyacheslav Gorovoy & Vadim Linetsky