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Finance and Stochastics, Volume 10
Volume 10, Number 1, January 2006
- Gianluca Fusai
, I. David Abrahams
An exact analytical solution for discrete barrier options. 1-26 - Anastasia Kolodko, John Schoenmakers:
Iterative construction of the optimal Bermudan stopping time. 27-49 - R. Tyrrell Rockafellar
Generalized deviations in risk analysis. 51-74 - Peter Holm Nielsen:
Utility maximization and risk minimization in life and pension insurance. 75-97 - Gordan Zitkovic:
Financial equilibria in the semimartingale setting: Complete markets and markets with withdrawal constraints. 99-119 - Koichi Matsumoto:
Optimal portfolio of low liquid assets with a log-utility function. 121-145 - Patrick Cheridito, Christopher Summer:
Utility maximization under increasing risk aversion in one-period models. 147-158
Volume 10, Number 2, April 2006
- Paolo Guasoni
Asymmetric Information in Fads Models. 159-177 - Hans Buehler:
Consistent Variance Curve Models. 178-203 - Etienne Chevalier:
Optimal Early Retirement Near the Expiration of a Pension Plan. 204-221 - Jan Bergenthum, Ludger Rüschendorf:
Comparison of Option Prices in Semimartingale Models. 222-249 - Robert J. Elliott, Carlton-James U. Osakwe:
Option Pricing for Pure Jump Processes with Markov Switching Compensators. 250-275 - Bruno Bouchard:
No-arbitrage in Discrete-time Markets with Proportional Transaction Costs and General Information structure. 276-297 - Lothar Rogge:
Call Completeness Implies Completeness in the n -period Model of a Financial Market. 298-301
Volume 10, Number 3, September 2006
- Peter Carr, Vadim Linetsky:
A jump to default extended CEV model: an application of Bessel processes. 303-330 - David Heath, Hyejin Ku
Consistency among trading desks. 331-340 - Paul Embrechts, Giovanni Puccetti
Bounds for Functions of Dependent Risks. 341-352 - Elisa Alòs
A generalization of the Hull and White formula with applications to option pricing approximation. 353-365 - Alexander S. Cherny:
Weighted V@R and its Properties. 367-393 - Hiroaki Hata, Yasunari Iida:
A risk-sensitive stochastic control approach to an optimal investment problem with partial information. 395-426 - Patrick Cheridito, Freddy Delbaen, Michael Kupper:
Coherent and convex monetary risk measures for unbounded càdlàg processes. 427-448
Volume 10, Number 4, December 2006
- Denis Belomestny
Spectral calibration of exponential Lévy models. 449-474 - Marc Chesney, Laurent Gauthier
American Parisian options. 475-506 - Raoul Pietersz, Marcel van Regenmortel:
Generic market models. 507-528 - Gordana Dmitrasinovic-Vidovic, Antony Ware:
Asymptotic behaviour of mean-quantile efficient portfolios. 529-551 - Nathanael Ringer, Michael Tehranchi:
Optimal portfolio choice in the bond market. 553-573 - Alet Roux
A counter-example to an option pricing formula under transaction costs. 575-578 - Luciano Campi
A super-replication theorem in Kabanov's model of transaction costs. 579-596
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