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ORCIDFinance and Stochastics, Volume 12
Volume 12, Number 1, January 2008
- Paolo Guasoni
, Scott Robertson:
Optimal importance sampling with explicit formulas in continuous time. 1-19 - Andrea Pascucci:
Free boundary and optimal stopping problems for American Asian options. 21-41 - Peter J. Seiler, Bart Taub:
The dynamics of strategic information flows in stock markets. 43-82 - Damir Filipovic, Stefan Tappe:
Existence of Lévy term structure models. 83-115 - Erik Ekström, Johan Tysk:
Convexity theory for the term structure equation. 117-147
Volume 12, Number 2, April 2008
- Martin Keller-Ressel, Thomas Steiner:
Yield curve shapes and the asymptotic short rate distribution in affine one-factor models. 149-172 - Dmitry B. Rokhlin:
Asymptotic arbitrage and numéraire portfolios in large financial markets. 173-194 - Delia Coculescu, Hélyette Geman, Monique Jeanblanc:
Valuation of default-sensitive claims under imperfect information. 195-218 - Jocelyne Bion-Nadal:
Dynamic risk measures: Time consistency and risk measures from BMO martingales. 219-244 - Semyon Malamud:
Long run forward rates and long yields of bonds and options in heterogeneous equilibria. 245-264 - Ernst Eberlein, Antonis Papapantoleon, Albert N. Shiryaev:
On the duality principle in option pricing: semimartingale setting. 265-292
Volume 12, Number 3, July 2008
- Yuri Kabanov:
In discrete time a local martingale is a martingale under an equivalent probability measure. 293-297 - Romuald Elie, Nizar Touzi:
Optimal lifetime consumption and investment under a drawdown constraint. 299-330 - Zhengjun Jiang, Martijn Pistorius:
On perpetual American put valuation and first-passage in a regime-switching model with jumps. 331-355 - Tom Fischer:
Consumption processes and positively homogeneous projection properties. 357-380 - Christian Bender, Christina R. Niethammer:
On q-optimal martingale measures in exponential Lévy models. 381-410 - Semyon Malamud:
Universal bounds for asset prices in heterogeneous economies. 411-422 - Damir Filipovic, Gregor Svindland:
Optimal capital and risk allocations for law- and cash-invariant convex functions. 423-439
Volume 12, Number 4, October 2008
- Christian Bender, Tommi Sottinen, Esko Valkeila:
Pricing by hedging and no-arbitrage beyond semimartingales. 441-468 - Martin Schweizer, Johannes Wissel:
Arbitrage-free market models for option prices: the multi-strike case. 469-505 - Zhiyong Chen, Paul Glasserman:
Sensitivity estimates for portfolio credit derivatives using Monte Carlo. 507-540 - Sergei Levendorskii:
American and European options in multi-factor jump-diffusion models, near expiry. 541-560 - Damien Lamberton, Mohammed Adam Mikou:
The critical price for the American put in an exponential Lévy model. 561-581 - Saul Jacka, Abdelkarem Berkaoui, Jon Warren:
No arbitrage and closure results for trading cones with transaction costs. 583-600
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