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Content
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