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ORCIDSIAM Journal on Financial Mathematics, Volume 3
Volume 3, Number 1, 2012
- Ivar Ekeland, Oumar Mbodji, Traian A. Pirvu
:
Time-Consistent Portfolio Management. 1-32 - José E. Figueroa-López, Martin Forde:
The Small-Maturity Smile for Exponential Lévy Models. 33-65 - Johannes Muhle-Karbe, Oliver Pfaffel, Robert Stelzer:
Option Pricing in Multivariate Stochastic Volatility Models of OU Type. 66-94 - Akihiko Takahashi, Toshihiro Yamada:
An Asymptotic Expansion with Push-Down of Malliavin Weights. 95-136 - Paul Glasserman, Sira Suchintabandid:
Quadratic Transform Approximation for CDO Pricing in Multifactor Models. 137-162 - Robert Almgren:
Optimal Trading with Stochastic Liquidity and Volatility. 163-181 - Peter Carr, Laurent Cousot:
Explicit Constructions of Martingales Calibrated to Given Implied Volatility Smiles. 182-214 - Sam D. Howison:
Asymptotic Approximations for Asian, European, and American Options with Discrete Averaging or Discrete Dividend/Coupon Payments. 215-241 - Luciano Campi, M. Del Vigna:
Weak Insider Trading and Behavioral Finance. 242-279 - Patrick Cheridito, Ashkan Nikeghbali, Eckhard Platen:
Processes of Class Sigma, Last Passage Times, and Drawdowns. 280-303 - Nicole Bäuerle, Sebastian P. Urban, Luitgard A. M. Veraart:
The Relaxed Investor with Partial Information. 304-327 - Patrick Cheridito, Alexander Wugalter:
Pricing and Hedging in Affine Models with Possibility of Default. 328-350 - Erhan Bayraktar, Constantinos Kardaras, Hao Xing:
Valuation Equations for Stochastic Volatility Models. 351-373 - Jose Orozco Rodriguez, Fadil Santosa:
Estimation of Asset Distributions from Option Prices: Analysis and Regularization. 374-401 - Damir Filipovic, Michael Kupper, Nicolas Vogelpoth:
Approaches to Conditional Risk. 402-432 - Maxim Bichuch:
Asymptotic Analysis for Optimal Investment in Finite Time with Transaction Costs. 433-458 - Christoph Reisinger, Jan Hendrik Witte:
On the Use of Policy Iteration as an Easy Way of Pricing American Options. 459-478 - Lokman A. Abbas-Turki, Bernard Lapeyre:
American Options by Malliavin Calculus and Nonparametric Variance and Bias Reduction Methods. 479-510 - Aurélien Alfonsi, Alexander Schied, Alla Slynko:
Order Book Resilience, Price Manipulation, and the Positive Portfolio Problem. 511-533 - D. Crisan, K. Manolarakis:
Solving Backward Stochastic Differential Equations Using the Cubature Method: Application to Nonlinear Pricing. 534-571 - Michael B. Giles, Christoph Reisinger:
Stochastic Finite Differences and Multilevel Monte Carlo for a Class of SPDEs in Finance. 572-592 - Christopher Beveridge, Mark S. Joshi:
Interpolation Schemes in the Displaced-Diffusion LIBOR Market Model. 593-604 - Agostino Capponi, Jaksa Cvitanic, Türkay Yolcu:
A Variational Approach to Contracting under Imperfect Observations. 605-638 - Daniel Bauer, Fred Espen Benth, Rüdiger Kiesel:
Modeling the Forward Surface of Mortality. 639-666 - Alain Bensoussan, Zhongfeng Yan, George Yin:
Threshold-Type Policies for Real Options Using Regime-Switching Models. 667-689 - Martin Forde, Antoine Jacquier, Roger Lee:
The Small-Time Smile and Term Structure of Implied Volatility under the Heston Model. 690-708 - Sam D. Howison, Daniel C. Schwarz:
Risk-Neutral Pricing of Financial Instruments in Emission Markets: A Structural Approach. 709-739 - Olivier Guéant, Charles-Albert Lehalle, Joaquin Fernandez Tapia:
Optimal Portfolio Liquidation with Limit Orders. 740-764
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