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ORCIDSIAM Journal on Financial Mathematics, Volume 6
Volume 6, Number 1, 2015
- Nicole El Karoui, Monique Jeanblanc, Ying Jiao:
Density Approach in Modeling Successive Defaults. 1-21 - Martin Altmayer, Andreas Neuenkirch:
Multilevel Monte Carlo Quadrature of Discontinuous Payoffs in the Generalized Heston Model Using Malliavin Integration by Parts. 22-52 - Hsuan-Ku Liu
:
Properties of American Volatility Options in the Mean-Reverting 3/2 Volatility Model. 53-65 - Huy N. Chau, Peter Tankov:
Market Models with Optimal Arbitrage. 66-85 - Konstantinos Spiliopoulos, Richard B. Sowers:
Default Clustering in Large Pools: Large Deviations. 86-116 - Parsiad Azimzadeh, Peter A. Forsyth:
The Existence of Optimal Bang-Bang Controls for GMxB Contracts. 117-139 - Constantinos Kardaras:
Valuation and Parities for Exchange Options. 140-157 - Archil Gulisashvili, Josep Vives:
Asymptotic Analysis of Stock Price Densities and Implied Volatilities in Mixed Stochastic Models. 158-188 - Robert Jarrow, Philip Protter:
Liquidity Suppliers and High Frequency Trading. 189-200 - Mathieu S. Dubois, Luitgard A. M. Veraart:
Optimal Diversification in the Presence of Parameter Uncertainty for a Risk Averse Investor. 201-241 - Cheng Li, Hao Xing:
Asymptotic Glosten-Milgrom Equilibrium. 242-280 - Xin Guo, Mihail Zervos:
Optimal Execution with Multiplicative Price Impact. 281-306 - Antoine Jacquier, Patrick Roome:
Asymptotics of Forward Implied Volatility. 307-351 - Adam W. Kolkiewicz:
On Suboptimality of Delta Hedging for Asian Options. 352-385 - Lijun Bo, Agostino Capponi:
Systemic Risk in Interbanking Networks. 386-424 - Erhan Bayraktar, Yu-Jui Huang, Zhou Zhou:
On Hedging American Options under Model Uncertainty. 425-447 - Denis Belomestny, Fabian Dickmann, Tigran Nagapetyan:
Pricing Bermudan Options via Multilevel Approximation Methods. 448-466 - Carlos Abad, Garud Iyengar:
Portfolio Selection with Multiple Spectral Risk Constraints. 467-486 - Tim Leung, Haohua Wan:
ESO Valuation with Job Termination Risk and Jumps in Stock Price. 487-516 - Miklós Rásonyi:
Optimal Investment with Nonconcave Utilities in Discrete-Time Markets. 517-529 - Francesca Biagini, Sorin Nedelcu:
The Formation of Financial Bubbles in Defaultable Markets. 530-558 - Andrew Ahn, Martin B. Haugh, Ashish Jain:
Consistent Pricing of Options on Leveraged ETFs. 559-593 - Tomasz R. Bielecki, Marek Rutkowski:
Valuation and Hedging of Contracts with Funding Costs and Collateralization. 594-655 - Pietro Fodra, Huyên Pham:
High Frequency Trading and Asymptotics for Small Risk Aversion in a Markov Renewal Model. 656-684 - Olena Burkovska, Bernard Haasdonk, Julien Salomon, Barbara I. Wohlmuth:
Reduced Basis Methods for Pricing Options with the Black-Scholes and Heston Models. 685-712 - Justin Lars Kirkby:
Efficient Option Pricing by Frame Duality with the Fast Fourier Transform. 713-747 - Robert B. Gramacy, Michael Ludkovski:
Sequential Design for Optimal Stopping Problems. 748-775 - Ruodu Wang, Valeria Bignozzi, Andreas Tsanakas:
How Superadditive Can a Risk Measure Be? 776-803 - Robert A. Jarrow, Martin Larsson:
Informational Efficiency under Short Sale Constraints. 804-824 - Fred Espen Benth, Paul Krühner:
Derivatives Pricing in Energy Markets: An Infinite-Dimensional Approach. 825-869 - Patrick Chan, Ronnie Sircar, Michael V. Stein:
A Feedback Model for the Financialization of Commodity Markets. 870-899 - Liliana Forzani, Carlos F. Tolmasky:
On the Level-Slope-Curvature Effect in Yield Curves and Eventual Total Positivity. 900-918 - Emmanuel Gobet, Stefano Pagliarani:
Analytical Approximations of BSDEs with Nonsmooth Driver. 919-958 - Agostino Capponi, Christoph Frei:
Dynamic Contracting: Accidents Lead to Nonlinear Contracts. 959-983 - Zorana Grbac, Antonis Papapantoleon, John Schoenmakers, David Skovmand:
Affine LIBOR Models with Multiple Curves: Theory, Examples and Calibration. 984-1025 - Frédéric Abergel, Aymen Jedidi:
Long-Time Behavior of a Hawkes Process-Based Limit Order Book. 1026-1043 - Torsten Schöneborn:
Optimal Trade Execution for Time-Inconsistent Mean-Variance Criteria and Risk Functions. 1044-1067 - Tomasz R. Bielecki, Igor Cialenco, Tao Chen:
Dynamic Conic Finance via Backward Stochastic Difference Equations. 1068-1122 - Kyle Bechler, Michael Ludkovski:
Optimal Execution with Dynamic Order Flow Imbalance. 1123-1151 - Erick Treviño-Aguilar:
Duality in a Problem of Static Partial Hedging under Convex Constraints. 1152-1170 - Stefano De Marco, Pierre Henry-Labordère:
Linking Vanillas and VIX Options: A Constrained Martingale Optimal Transport Problem. 1171-1194 - Hamed Amini, Andreea Minca, Agnès Sulem:
Control of Interbank Contagion Under Partial Information. 1195-1219 - Michael Ho, Zheng Sun, Jack Xin:
Weighted Elastic Net Penalized Mean-Variance Portfolio Design and Computation. 1220-1244
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