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Content
January 2004, Volume 8, Issue 1
- 87-109 On the use of measure-valued strategies in bond markets
by Marzia Donno & Maurizio Pratelli - 111-131 A link between complete models with stochastic volatility and ARCH models
by Thierry Jeantheau - 133-144 Convergence of utility functions and convergence of optimal strategies
by Elyès Jouini & Clotilde Napp - 145-159 Hazard rate for credit risk and hedging defaultable contingent claims
by Christophette Blanchet-Scalliet & Monique Jeanblanc
2003, Volume 7, Issue 2
- 145-167 Using copulae to bound the Value-at-Risk for functions of dependent risks
by Paul Embrechts & Andrea Höing & Alessandro Juri - 169-195 A large deviations approach to optimal long term investment
by Huyên Pham - 197-217 Indifference pricing of insurance contracts in a product space model
by Thomas Møller - 219-230 Dividing gains between a client and her agent
by Jianming Xia - 231-243 Extension of the corrected barrier approximation by Broadie, Glasserman, and Kou
by Per Hörfelt - 245-262 An optimal consumption model with stochastic volatility
by Wendell H. Fleming & Daniel Hernández-Hernández - 263-276 Exponential growth of fixed-mix strategies in stationary asset markets
by Igor V. Evstigneev & Michal A. H. Dempster & Klaus R. Schenk-Hoppé
2003, Volume 7, Issue 1
- 1-27 Numerical solution of jump-diffusion LIBOR market models
by Nicolas Merener & Paul Glasserman - 29-46 A monetary value for initial information in portfolio optimization
by Martin Schweizer & Dirk Becherer & Jürgen Amendinger - 47-71 Continuous auctions and insider trading: uniqueness and risk aversion
by Kyung-Ha Cho - 73-95 Pricing of catastrophe reinsurance and derivatives using the Cox process with shot noise intensity
by Ji-Wook Jang & Angelos Dassios - 97-121 Optimal dynamic reinsurance policies for large insurance portfolios
by Charlotte Markussen & Michael I. Taksar - 123-143 Random step functions model for interest rates
by Eleanor Virag & Fima C. Klebaner & Konstantin Borovkov
2002, Volume 6, Issue 4
- 397-428 The cumulant process and Esscher's change of measure
by Albert N. Shiryaev & Jan Kallsen - 429-447 Convex measures of risk and trading constraints
by Hans Föllmer & Alexander Schied - 449-471 An analysis of a least squares regression method for American option pricing
by Philip Protter & Emmanuelle Clément & Damien Lamberton - 473-493 Optimal stopping and perpetual options for Lévy processes
by Ernesto Mordecki - 495-516 Utility maximization on the real line under proportional transaction costs
by Bruno Bouchard - 517-537 Worst case model risk management
by Denis Talay & Ziyu Zheng
2002, Volume 6, Issue 3
- 273-302 A variational inequality approach to financial valuation of retirement benefits based on salary
by Avner Friedman & Weixi Shen - 303-331 On the construction of finite dimensional realizations for nonlinear forward rate models
by Camilla Landén & Tomas Björk - 333-353 Conditional Gaussian models of the term structure of interest rates
by Simon H. Babbs - 355-370 Pricing of Asian exchange rate options under stochastic interest rates as a sum of options
by Klaus Sandmann & J. Aase Nielsen - 371-382 No-arbitrage criteria for financial markets with efficient friction
by (**), Christophe Stricker & (*), Miklós Rásonyi & Yuri Kabanov - 383-396 A model of financial market with several interacting assets. Complete market case
by Victoria Steblovskaya & Sergio Albeverio
2002, Volume 6, Issue 2
- 141-141 Editorial
by Dieter Sondermann & Werner A. Müller - 143-172 Valuation of exotic options under shortselling constraints
by Uwe Wystup & Uwe Schmock & Steven E. Shreve - 173-196 A multicurrency extension of the lognormal interest rate Market Models
by Erik Schlögl - 197-225 On Lévy processes, Malliavin calculus and market models with jumps
by Josep Vives & Jorge A. León & Frederic Utzet & Josep L. Solé - 227-235 In the insurance business risky investments are dangerous
by Anna Frolova & Serguei Pergamenshchikov & Yuri Kabanov - 237-263 Optimal capital structure and endogenous default
by Bianca Hilberink & L.C.G. Rogers - 265-271 The expectations hypothesis with non-negative rates
by Philip S. Griffin
2002, Volume 6, Issue 1
- 1-2 Editorial
by Dieter Sondermann - 3-47 Comments on the life and mathematical legacy of Wolfgang Doeblin
by Marc Yor & Bernard Bru - 49-61 Fourier series method for measurement of multivariate volatilities
by Maria Elvira Mancino & Paul Malliavin - 63-90 Stochastic volatility, jumps and hidden time changes
by Marc Yor & Dilip B. Madan & Hélyette Geman - 91-113 Risk minimization under transaction costs
by Paolo Guasoni - 115-140 Derivative pricing based on local utility maximization
by Jan Kallsen
2001, Volume 5, Issue 4
- 419-446 Risk-minimizing hedging strategies for insurance payment processes
by Thomas Møller - 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 - 469-486 Equity portfolios generated by functions of ranked market weights
by Robert Fernholz - 487-509 Existence and structure of stochastic equilibria with intertemporal substitution
by Frank Riedel & Peter Bank - 511-525 Stochastic flows and the forward measure
by Robert J. Elliott & John van der Hoek - 527-547 Optimal risk control for a large corporation in the presence of returns on investments
by Bjarne Højgaard & Michael Taksar - 549-555 Black and Scholes pricing and markets with transaction costs: An example
by Haim Reisman - 557-581 Minimax and minimal distance martingale measures and their relationship to portfolio optimization
by Thomas Goll & Ludger Rüschendorf
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 - 305-325 Arbitrage and investment opportunities
by Elyès Jouini - 327-341 The numeraire portfolio for unbounded semimartingales
by Dirk Becherer - 343-355 Fractional Brownian motion, random walks and binary market models
by Tommi Sottinen - 357-367 Discrete time hedging errors for options with irregular payoffs
by Emmanuel Temam & Emmanuel Gobet - 369-387 A deterministic-shift extension of analytically-tractable and time-homogeneous short-rate models
by Damiano Brigo & Fabio Mercurio - 389-412 A general characterization of one factor affine term structure models
by Damir Filipovic - 413-417 A note on calculating the optimal risky portfolio
by Reha H. Tütüncü
2001, Volume 5, Issue 2
- 131-154 The relaxed investor and parameter uncertainty
by L.C.G. Rogers - 155-180 Analytical value-at-risk with jumps and credit risk
by Jun Pan & Darrell Duffie - 181-200 Coherent risk measures and good-deal bounds
by Stefan Jaschke & Uwe Küchler - 201-236 Applications of Malliavin calculus to Monte-Carlo methods in finance. II
by Eric Fournié & Jean-Michel Lasry & Pierre-Louis Lions & Jérôme Lebuchoux - 237-257 Forward rate dependent Markovian transformations of the Heath-Jarrow-Morton term structure model
by Carl Chiarella & Oh Kang Kwon - 259-272 Utility maximization in incomplete markets with random endowment
by (**), Hui Wang & Jaksa Cvitanic & (*), Walter Schachermayer
2001, Volume 5, Issue 1
- 1-2 Editorial
by A.N. Shiryaev & S.E. Shreve & D. Sondermann - 3-32 Bachelier and his times: A conversation with Bernard Bru
by Murad S. Taqqu - 33-59 Optimal investment in derivative securities
by Dilip B. Madan & Xing Jin & Peter Carr - 61-82 A solution approach to valuation with unhedgeable risks
by Thaleia Zariphopoulou - 83-101 Semimartingale representation of fractional Riesz-Bessel motion
by V.V. Anh & C.N. Nguyen - 103-113 Apparent scaling
by Ole E. Barndorff-Nielsen & Karsten Prause - 115-128 A class of risk neutral densities with heavy tails
by Niels VÖver Hartvig & Jens Ledet Jensen & Jan Pedersen
2000, Volume 4, Issue 4
- 371-389 Bond pricing in a hidden Markov model of the short rate
by Camilla LandÊn - 391-408 Markov-functional interest rate models
by Joanne Kennedy & Phil Hunt & Antoon Pelsser - 409-429 A simple regime switching term structure model
by Asbjørn T. Hansen & Rolf Poulsen - 431-442 Implied savings accounts are unique
by Martin Schweizer & Christophe Stricker & Frank DÃberlein - 443-463 Game options
by Yuri Kifer - 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
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 - 275-297 Introduction to a theory of value coherent with the no-arbitrage principle
by Marco Frittelli - 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 - 325-341 Robustness of the Black-Scholes approach in the case of options on several assets
by Tiziano Vargiolu & Silvia Romagnoli - 343-369 Modelling of stock price changes: A real analysis approach
by Rimas Norvaisa
2000, Volume 4, Issue 2
- 117-146 Efficient hedging: Cost versus shortfall risk
by Hans FÃllmer & Peter Leukert - 147-159 Option pricing impact of alternative continuous-time dynamics for discretely-observed stock prices
by Damiano Brigo & Fabio Mercurio - 161-187 Superreplication in stochastic volatility models and optimal stopping
by RØdiger Frey - 189-207 Discrete time option pricing with flexible volatility estimation
by Christian M. Hafner & Wolfgang HÄrdle - 209-222 Incompleteness of markets driven by a mixed diffusion
by N. Bellamy & M. Jeanblanc - 223-250 Irreversible investment problems
by Anders ûksendal
2000, Volume 4, Issue 1
- 1-33 Risk sensitive asset management with transaction costs
by Stanley R. Pliska & Tomasz R. Bielecki - 35-68 Arbitrage-free discretization of lognormal forward Libor and swap rate models
by Xiaoliang Zhao & Paul Glasserman - 69-80 Local time, coupling and the passport option
by Vicky Henderson & David Hobson - 81-93 Convergence of discrete time option pricing models under stochastic interest rates
by O. Scaillet & J.-L. Prigent & J.-P. Lesne - 95-104 Pricing double barrier options using Laplace transforms
by Antoon Pelsser - 105-107 Comment on `Pricing double barrier options using Laplace transforms' by Antoon Pelsser
by C.H. Hui & P.H. Yuen & C.F. Lo - 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
1999, Volume 3, Issue 4
- 373-390 A theory of bonus in life insurance
by Ragnar Norberg - 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 - 413-432 Minimal realizations of interest rate models
by Tomas BjÃrk & Andrea Gombani - 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 - 451-482 On dynamic measures of risk
by Ioannis Karatzas & Jaksa Cvitanic - 483-492 Invariant measures for the Musiela equation with deterministic diffusion term
by Tiziano Vargiolu
1999, Volume 3, Issue 3
- 251-273 Quantile hedging
by Hans FÃllmer & Peter Leukert - 275-294 Beating a moving target: Optimal portfolio strategies for outperforming a stochastic benchmark
by Sid Browne - 295-322 Exercise regions of American options on several assets
by Stephane Villeneuve - 323-344 Convergence of strategies: An approach using Clark-Haussmann's formula
by Jan Pedersen - 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
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 - 167-185 A generalization of the mutual fund theorem
by Martin Kulldorff & Ajay Khanna - 187-201 Exploding hedging errors for digital options
by Christoph Gallus - 203-214 Complete markets with discontinuous security price
by Philip Protter & Michael Dritschel - 215-225 A short term interest rate model
by Eckhard Platen - 227-236 Optimal stopping for a diffusion with jumps
by Ernesto Mordecki - 237-248 Hedging and liquidation under transaction costs in currency markets
by Y.M. Kabanov
1999, Volume 3, Issue 1
- 1-13 Stock market prices and long-range dependence
by Murad S. Taqqu & Vadim Teverovsky & Walter Willinger - 15-34 Turnpike behavior of long-term investments
by Chi-fu Huang & Thaleia Zariphopoulou - 35-54 A closed-form solution to the problem of super-replication under transaction costs
by HuyËn Pham & Nizar Touzi & Jaksa Cvitanic - 55-82 Connecting discrete and continuous path-dependent options
by Paul Glasserman & S.G. Kou & Mark Broadie - 83-110 Dynamic programming and mean-variance hedging
by HuyËn Pham & Jean Paul Laurent - 111-134 Hedging contingent claims on semimartingales
by Robert Jarrow & Dilip B. Madan
1998, Volume 2, Issue 4
- 329-347 Robust hedging of the lookback option
by David G. Hobson - 349-367 Path dependent options on yields in the affine term structure model
by Olivier Scaillet & Boris Leblanc - 369-397 Option pricing with transaction costs and a nonlinear Black-Scholes equation
by Halil Mete Soner & Guy Barles - 399-408 Lévy processes in finance: a remedy to the non-stationarity of continuous martingales
by Marc Yor & Boris Leblanc - 409-440 Optimization of consumption with labor income
by Nicole El Karoui & Monique Jeanblanc-Picqué
1998, Volume 2, Issue 3
- 215-258 Hedging American contingent claims with constrained portfolios
by Ioannis Karatzas & (*), S. G. Kou - 259-273 Local martingales and the fundamental asset pricing theorems in the discrete-time case
by J. Jacod & A.N. Shiryaev - 275-293 Implied interest rate pricing models
by J.E. Kennedy & P.J. Hunt - 295-310 Optimal time to invest when the price processes are geometric Brownian motions
by Yaozhong Hu & Bernt Øksendal - 311-327 Functional convergence of Snell envelopes: Applications to American options approximations
by Maurizio Pratelli & Sabrina Mulinacci
1998, Volume 2, Issue 2
- 85-114 Portfolio optimisation with strictly positive transaction costs and impulse control
by Ralf Korn - 115-141 Perfect option hedging for a large trader
by RØdiger Frey - 143-172 Asymptotic arbitrage in large financial markets
by Y.M. Kabanov & D.O. Kramkov - 173-198 Mean-variance hedging for continuous processes: New proofs and examples
by Martin Schweizer & HuyËn Pham & (*), Thorsten RheinlÄnder - 199-211 Volatility of the short rate in the rational lognormal model
by Lisa R. Goldberg
1997, Volume 2, Issue 1
- 3-17 Fast accurate binomial pricing
by L.C.G. Rogers & E.J. Stapleton - 19-28 A note on the forward measure
by Mark Davis - 29-40 Arbitrage bounds for the term structure of interest rates
by Stefan R. Jaschke - 41-68 Processes of normal inverse Gaussian type
by Ole E. Barndorff-Nielsen - 69-81 Optional decomposition and Lagrange multipliers
by H. Föllmer & Y.M. Kabanov
1997, Volume 1, Issue 4
- 261-291 Continuous-time term structure models: Forward measure approach (*)
by Marek Rutkowski & Marek Musiela - 293-330 LIBOR and swap market models and measures (*)
by Farshid Jamshidian - 331-344 Option pricing in the presence of natural boundaries and a quadratic diffusion term (*)
by Sven Rady - 345-352 A note on pricing interest rate derivatives when forward LIBOR rates are lognormal
by Beniamin Goldys
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 - 229-238 An application of hidden Markov models to asset allocation problems (*)
by Robert J. Elliott & John van der Hoek - 239-250 On Leland's strategy of option pricing with transactions costs
by Yuri M. Kabanov & (*), Mher M. Safarian - 251-257 A note on the existence of unique equivalent martingale measures in a Markovian setting
by Tina Hviid Rydberg
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 - 131-140 On the range of options prices (*)
by Ernst Eberlein & Jean Jacod - 141-174 Towards a general theory of bond markets (*)
by Giovanni Di Masi & Tomas Björk & Wolfgang Runggaldier & Yuri Kabanov
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 - 25-41 A hyperbolic diffusion model for stock prices (*)
by Bo Martin Bibby & Michael SÛrensen - 43-67 Scenario Simulation: Theory and methodology (*)
by Farshid Jamshidian & Yu Zhu - 69-89 Irreversible investment and industry equilibrium (*)
by Ioannis Karatzas & Fridrik M. Baldursson