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Content
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