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ORCIDFinance and Stochastics, Volume 3
Volume 3, Number 1, January 1999
- Walter Willinger, Murad S. Taqqu, Vadim Teverovsky:
Stock market prices and long-range dependence. 1-13 - Chi-Fu Huang, Thaleia Zariphopoulou:
Turnpike behavior of long-term investments. 15-34 - Jaksa Cvitanic, Huyên Pham, Nizar Touzi:
A closed-form solution to the problem of super-replication under transaction costs. 35-54 - Mark Broadie, Paul Glasserman, Shing-Gang Kou:
Connecting discrete and continuous path-dependent options. 55-82 - Jean Paul Laurent
, Huyên Pham:
Dynamic programming and mean-variance hedging. 83-110 - Robert Jarrow, Dilip B. Madan:
Hedging contingent claims on semimartingales. 111-134
Volume 3, Number 2, February 1999
- Abel Cadenillas, Stanley R. Pliska:
Optimal trading of a security when there are taxes and transaction costs. 137-165 - Ajay Khanna, Martin Kulldorff:
A generalization of the mutual fund theorem. 167-185 - Christoph Gallus:
Exploding hedging errors for digital options. 187-201 - Michael Dritschel, Philip Protter:
Complete markets with discontinuous security price. 203-214 - Eckhard Platen:
A short term interest rate model. 215-225 - Ernesto Mordecki:
Optimal stopping for a diffusion with jumps. 227-236 - Yuri M. Kabanov:
Hedging and liquidation under transaction costs in currency markets. 237-248
Volume 3, Number 3, May 1999
- Hans Föllmer, Peter Leukert:
Quantile hedging. 251-273 - Sid Browne:
Beating a moving target: Optimal portfolio strategies for outperforming a stochastic benchmark. 275-294 - Stéphane Villeneuve:
Exercise regions of American options on several assets. 295-322 - Jan Pedersen:
Convergence of strategies: An approach using Clark-Haussmann's formula. 323-344 - George M. Constantinides, Thaleia Zariphopoulou:
Bounds on prices of contingent claims in an intertemporal economy with proportional transaction costs and general preferences. 345-369
Volume 3, Number 4, August 1999
- Ragnar Norberg:
A theory of bonus in life insurance. 373-390 - Eric Fournié, Jean-Michel Lasry, Jérôme Lebuchoux, Pierre-Louis Lions, Nizar Touzi:
Applications of Malliavin calculus to Monte Carlo methods in finance. 391-412 - Tomas Björk, Andrea Gombani:
Minimal realizations of interest rate models. 413-432 - Thomas S. Knudsen, Bernhard Meister, Mihail Zervos:
On the relationship of the dynamic programming approach and the contingent claim approach to asset valuation. 433-449 - Jaksa Cvitanic, Ioannis Karatzas:
On dynamic measures of risk. 451-482 - Tiziano Vargiolu:
Invariant measures for the Musiela equation with deterministic diffusion term. 483-492
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