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@article{DBLP:journals/fs/Arai05,
author = {Takuji Arai},
title = {An extension of mean-variance hedging to the discontinuous case},
journal = {Finance Stochastics},
volume = {9},
number = {1},
pages = {129--139},
year = {2005},
url = {https://doi.org/10.1007/s00780-004-0136-5},
doi = {10.1007/S00780-004-0136-5},
timestamp = {Wed, 22 Jul 2020 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/fs/Arai05.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/fs/BarrieuK05,
author = {Pauline Barrieu and
Nicole El Karoui},
title = {Inf-convolution of risk measures and optimal risk transfer},
journal = {Finance Stochastics},
volume = {9},
number = {2},
pages = {269--298},
year = {2005},
url = {https://doi.org/10.1007/s00780-005-0152-0},
doi = {10.1007/S00780-005-0152-0},
timestamp = {Wed, 22 Jul 2020 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/fs/BarrieuK05.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/fs/BenthM05,
author = {Fred E. Benth and
Thilo Meyer{-}Brandis},
title = {The density process of the minimal entropy martingale measure in a
stochastic volatility model with jumps},
journal = {Finance Stochastics},
volume = {9},
number = {4},
pages = {563--575},
year = {2005},
url = {https://doi.org/10.1007/s00780-005-0161-z},
doi = {10.1007/S00780-005-0161-Z},
timestamp = {Wed, 22 Jul 2020 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/fs/BenthM05.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/fs/BiaginiF05,
author = {Sara Biagini and
Marco Frittelli},
title = {Utility maximization in incomplete markets for unbounded processes},
journal = {Finance Stochastics},
volume = {9},
number = {4},
pages = {493--517},
year = {2005},
url = {https://doi.org/10.1007/s00780-005-0163-x},
doi = {10.1007/S00780-005-0163-X},
timestamp = {Wed, 22 Jul 2020 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/fs/BiaginiF05.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/fs/BjorkH05,
author = {Tomas Bj{\"{o}}rk and
Henrik Hult},
title = {A note on Wick products and the fractional Black-Scholes model},
journal = {Finance Stochastics},
volume = {9},
number = {2},
pages = {197--209},
year = {2005},
url = {https://doi.org/10.1007/s00780-004-0144-5},
doi = {10.1007/S00780-004-0144-5},
timestamp = {Wed, 22 Jul 2020 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/fs/BjorkH05.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/fs/BrigoA05,
author = {Damiano Brigo and
Aur{\'{e}}lien Alfonsi},
title = {Credit default swap calibration and derivatives pricing with the {SSRD}
stochastic intensity model},
journal = {Finance Stochastics},
volume = {9},
number = {1},
pages = {29--42},
year = {2005},
url = {https://doi.org/10.1007/s00780-004-0131-x},
doi = {10.1007/S00780-004-0131-X},
timestamp = {Thu, 14 Oct 2021 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/fs/BrigoA05.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/fs/CarrGMY05,
author = {Peter Carr and
H{\'{e}}lyette Geman and
Dilip B. Madan and
Marc Yor},
title = {Pricing options on realized variance},
journal = {Finance Stochastics},
volume = {9},
number = {4},
pages = {453--475},
year = {2005},
url = {https://doi.org/10.1007/s00780-005-0155-x},
doi = {10.1007/S00780-005-0155-X},
timestamp = {Wed, 22 Jul 2020 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/fs/CarrGMY05.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/fs/ChenF05,
author = {Li Chen and
Damir Filipovic},
title = {A simple model for credit migration and spread curves},
journal = {Finance Stochastics},
volume = {9},
number = {2},
pages = {211--231},
year = {2005},
url = {https://doi.org/10.1007/s00780-004-0140-9},
doi = {10.1007/S00780-004-0140-9},
timestamp = {Wed, 22 Jul 2020 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/fs/ChenF05.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/fs/CheriditoDK05,
author = {Patrick Cheridito and
Freddy Delbaen and
Michael Kupper},
title = {Coherent and convex monetary risk measures for unbounded c{\`{a}}dl{\`{a}}g
processes},
journal = {Finance Stochastics},
volume = {9},
number = {3},
pages = {369--387},
year = {2005},
url = {https://doi.org/10.1007/s00780-004-0150-7},
doi = {10.1007/S00780-004-0150-7},
timestamp = {Wed, 22 Jul 2020 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/fs/CheriditoDK05.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/fs/ContV05,
author = {Rama Cont and
Ekaterina Voltchkova},
title = {Integro-differential equations for option prices in exponential L{\'{e}}vy
models},
journal = {Finance Stochastics},
volume = {9},
number = {3},
pages = {299--325},
year = {2005},
url = {https://doi.org/10.1007/s00780-005-0153-z},
doi = {10.1007/S00780-005-0153-Z},
timestamp = {Wed, 22 Jul 2020 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/fs/ContV05.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/fs/CorcueraNS05,
author = {Jos{\'{e}} Manuel Corcuera and
David Nualart and
Wim Schoutens},
title = {Completion of a L{\'{e}}vy market by power-jump assets},
journal = {Finance Stochastics},
volume = {9},
number = {1},
pages = {109--127},
year = {2005},
url = {https://doi.org/10.1007/s00780-004-0139-2},
doi = {10.1007/S00780-004-0139-2},
timestamp = {Thu, 14 Oct 2021 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/fs/CorcueraNS05.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/fs/CoxH05,
author = {Alexander M. G. Cox and
David Hobson},
title = {Local martingales, bubbles and option prices},
journal = {Finance Stochastics},
volume = {9},
number = {4},
pages = {477--492},
year = {2005},
url = {https://doi.org/10.1007/s00780-005-0162-y},
doi = {10.1007/S00780-005-0162-Y},
timestamp = {Sun, 02 Oct 2022 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/fs/CoxH05.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/fs/DetempleGR05,
author = {J{\'{e}}r{\^{o}}me Detemple and
Ren{\'{e}} Garcia and
Marcel Rindisbacher},
title = {Representation formulas for Malliavin derivatives of diffusion processes},
journal = {Finance Stochastics},
volume = {9},
number = {3},
pages = {349--367},
year = {2005},
url = {https://doi.org/10.1007/s00780-004-0151-6},
doi = {10.1007/S00780-004-0151-6},
timestamp = {Wed, 22 Jul 2020 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/fs/DetempleGR05.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/fs/DetlefsenS05,
author = {Kai Detlefsen and
Giacomo Scandolo},
title = {Conditional and dynamic convex risk measures},
journal = {Finance Stochastics},
volume = {9},
number = {4},
pages = {539--561},
year = {2005},
url = {https://doi.org/10.1007/s00780-005-0159-6},
doi = {10.1007/S00780-005-0159-6},
timestamp = {Sun, 02 Oct 2022 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/fs/DetlefsenS05.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/fs/EberleinJR05,
author = {Ernst Eberlein and
Jean Jacod and
Sebastian Raible},
title = {L{\'{e}}vy term structure models: No-arbitrage and completeness},
journal = {Finance Stochastics},
volume = {9},
number = {1},
pages = {67--88},
year = {2005},
url = {https://doi.org/10.1007/s00780-004-0138-3},
doi = {10.1007/S00780-004-0138-3},
timestamp = {Wed, 22 Jul 2020 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/fs/EberleinJR05.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/fs/EberleinO05,
author = {Ernst Eberlein and
Fehmi {\"{O}}zkan},
title = {The L{\'{e}}vy {LIBOR} model},
journal = {Finance Stochastics},
volume = {9},
number = {3},
pages = {327--348},
year = {2005},
url = {https://doi.org/10.1007/s00780-004-0145-4},
doi = {10.1007/S00780-004-0145-4},
timestamp = {Wed, 22 Jul 2020 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/fs/EberleinO05.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/fs/FernholzKK05,
author = {Robert Fernholz and
Ioannis Karatzas and
Constantinos Kardaras},
title = {Diversity and relative arbitrage in equity markets},
journal = {Finance Stochastics},
volume = {9},
number = {1},
pages = {1--27},
year = {2005},
url = {https://doi.org/10.1007/s00780-004-0129-4},
doi = {10.1007/S00780-004-0129-4},
timestamp = {Wed, 22 Jul 2020 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/fs/FernholzKK05.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/fs/Gundel05,
author = {Anne Gundel},
title = {Robust utility maximization for complete and incomplete market models},
journal = {Finance Stochastics},
volume = {9},
number = {2},
pages = {151--176},
year = {2005},
url = {https://doi.org/10.1007/s00780-004-0148-1},
doi = {10.1007/S00780-004-0148-1},
timestamp = {Wed, 22 Jul 2020 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/fs/Gundel05.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/fs/HughstonR05,
author = {Lane P. Hughston and
Avraam Rafailidis},
title = {A chaotic approach to interest rate modelling},
journal = {Finance Stochastics},
volume = {9},
number = {1},
pages = {43--65},
year = {2005},
url = {https://doi.org/10.1007/s00780-004-0135-6},
doi = {10.1007/S00780-004-0135-6},
timestamp = {Wed, 22 Jul 2020 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/fs/HughstonR05.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/fs/IlhanJS05,
author = {Ayta{\c{c}} {\'{I}}lhan and
Mattias Jonsson and
Ronnie Sircar},
title = {Optimal investment with derivative securities},
journal = {Finance Stochastics},
volume = {9},
number = {4},
pages = {585--595},
year = {2005},
url = {https://doi.org/10.1007/s00780-005-0154-y},
doi = {10.1007/S00780-005-0154-Y},
timestamp = {Wed, 22 Jul 2020 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/fs/IlhanJS05.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/fs/Kratschmer05,
author = {Volker Kr{\"{a}}tschmer},
title = {Robust representation of convex risk measures by probability measures},
journal = {Finance Stochastics},
volume = {9},
number = {4},
pages = {597--608},
year = {2005},
url = {https://doi.org/10.1007/s00780-005-0160-0},
doi = {10.1007/S00780-005-0160-0},
timestamp = {Wed, 22 Jul 2020 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/fs/Kratschmer05.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/fs/KruseN05,
author = {Susanne Kruse and
Ulrich N{\"{o}}gel},
title = {On the pricing of forward starting options in Heston's model on stochastic
volatility},
journal = {Finance Stochastics},
volume = {9},
number = {2},
pages = {233--250},
year = {2005},
url = {https://doi.org/10.1007/s00780-004-0146-3},
doi = {10.1007/S00780-004-0146-3},
timestamp = {Wed, 22 Jul 2020 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/fs/KruseN05.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/fs/LarsenPST05,
author = {Kasper Larsen and
Traian A. Pirvu and
Steven E. Shreve and
Reha H. T{\"{u}}t{\"{u}}nc{\"{u}}},
title = {Satisfying convex risk limits by trading},
journal = {Finance Stochastics},
volume = {9},
number = {2},
pages = {177--195},
year = {2005},
url = {https://doi.org/10.1007/s00780-004-0137-4},
doi = {10.1007/S00780-004-0137-4},
timestamp = {Wed, 22 Jul 2020 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/fs/LarsenPST05.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/fs/MelnikovP05,
author = {Alexander Melnikov and
Yury G. Petrachenko},
title = {On option pricing in binomial market with transaction costs},
journal = {Finance Stochastics},
volume = {9},
number = {1},
pages = {141--149},
year = {2005},
url = {https://doi.org/10.1007/s00780-004-0134-7},
doi = {10.1007/S00780-004-0134-7},
timestamp = {Wed, 22 Jul 2020 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/fs/MelnikovP05.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/fs/Muroi05,
author = {Yoshifumi Muroi},
title = {Pricing contingent claims with credit risk: Asymptotic expansion approach},
journal = {Finance Stochastics},
volume = {9},
number = {3},
pages = {415--427},
year = {2005},
url = {https://doi.org/10.1007/s00780-004-0147-2},
doi = {10.1007/S00780-004-0147-2},
timestamp = {Wed, 22 Jul 2020 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/fs/Muroi05.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/fs/Norberg05,
author = {Ragnar Norberg},
title = {Anomalous PDEs in Markov chains: Domains of validity and numerical
solutions},
journal = {Finance Stochastics},
volume = {9},
number = {4},
pages = {519--537},
year = {2005},
url = {https://doi.org/10.1007/s00780-005-0157-8},
doi = {10.1007/S00780-005-0157-8},
timestamp = {Wed, 22 Jul 2020 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/fs/Norberg05.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/fs/Peskir05,
author = {Goran Peskir},
title = {The Russian option: Finite horizon},
journal = {Finance Stochastics},
volume = {9},
number = {2},
pages = {251--267},
year = {2005},
url = {https://doi.org/10.1007/s00780-004-0133-8},
doi = {10.1007/S00780-004-0133-8},
timestamp = {Wed, 22 Jul 2020 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/fs/Peskir05.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/fs/Rheinlander05,
author = {Thorsten Rheinl{\"{a}}nder},
title = {An entropy approach to the Stein and Stein model with correlation},
journal = {Finance Stochastics},
volume = {9},
number = {3},
pages = {399--413},
year = {2005},
url = {https://doi.org/10.1007/s00780-004-0149-0},
doi = {10.1007/S00780-004-0149-0},
timestamp = {Wed, 22 Jul 2020 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/fs/Rheinlander05.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/fs/SchloeglO05,
author = {Lutz Schloegl and
Dominic O'Kane},
title = {A note on the large homogeneous portfolio approximation with the Student-t
copula},
journal = {Finance Stochastics},
volume = {9},
number = {4},
pages = {577--584},
year = {2005},
url = {https://doi.org/10.1007/s00780-004-0142-7},
doi = {10.1007/S00780-004-0142-7},
timestamp = {Wed, 22 Jul 2020 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/fs/SchloeglO05.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/fs/Szimayer05,
author = {Alexander Szimayer},
title = {Valuation of American options in the presence of event risk},
journal = {Finance Stochastics},
volume = {9},
number = {1},
pages = {89--107},
year = {2005},
url = {https://doi.org/10.1007/s00780-004-0141-8},
doi = {10.1007/S00780-004-0141-8},
timestamp = {Wed, 22 Jul 2020 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/fs/Szimayer05.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/fs/Taflin05,
author = {Erik Taflin},
title = {Bond market completeness and attainable contingent claims},
journal = {Finance Stochastics},
volume = {9},
number = {3},
pages = {429--452},
year = {2005},
url = {https://doi.org/10.1007/s00780-005-0156-9},
doi = {10.1007/S00780-005-0156-9},
timestamp = {Wed, 22 Jul 2020 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/fs/Taflin05.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/fs/Tehranchi05,
author = {Michael Tehranchi},
title = {A note on invariant measures for {HJM} models},
journal = {Finance Stochastics},
volume = {9},
number = {3},
pages = {389--398},
year = {2005},
url = {https://doi.org/10.1007/s00780-004-0143-6},
doi = {10.1007/S00780-004-0143-6},
timestamp = {Wed, 22 Jul 2020 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/fs/Tehranchi05.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
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