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Finance and Stochastics, Volume 14
Volume 14, Number 1, January 2010
- Stefan Klößner
:
A high-low-based omnibus test for symmetry, the Lévy property, and other hypotheses on intraday returns. 1-12 - Aleksandar Mijatovic:
Local time and the pricing of time-dependent barrier options. 13-48 - Fabienne Comte
Nonparametric estimation for a stochastic volatility model. 49-80 - Stefan Gerhold, Uwe Schmock, Richard Warnung:
A generalization of Panjer's recursion and numerically stable risk aggregation. 81-128 - David Hobson:
Comparison results for stochastic volatility models via coupling. 129-152 - Delia Coculescu
Valuation of default-sensitive claims under imperfect information (Publisher's Erratum). 153-155
Volume 14, Number 2, April 2010
- Valdo Durrleman:
From implied to spot volatilities. 157-177 - Peter Carr, Roger Lee:
Hedging variance options on continuous semimartingales. 179-207 - Masaaki Fukasawa:
Central limit theorem for the realized volatility based on tick time sampling. 209-233 - L. C. G. Rogers, Michael Tehranchi:
Can the implied volatility surface move by parallel shifts? 235-248 - Jim Gatheral, Roel C. A. Oomen:
Zero-intelligence realized variance estimation. 249-283 - Jean Jacod, Philip Protter:
Risk-neutral compatibility with option prices. 285-315
Volume 14, Number 3, September 2010
- Umut Çetin
Option hedging for small investors under liquidity costs. 317-341 - Peter Diesinger, Holger Kraft, Frank Thomas Seifried:
Asset allocation and liquidity breakdowns: what if your broker does not answer the phone? 343-374 - Alexander S. Cherny, Raphael Douady, Stanislav Molchanov:
On measuring nonlinear risk with scarce observations. 375-395 - Georg Pflug
Asymptotic distribution of law-invariant risk functionals. 397-418 - Michael Mania, Marina Santacroce:
Exponential utility maximization under partial information. 419-448 - Freddy Delbaen, Shige Peng, Emanuela Rosazza Gianin:
Representation of the penalty term of dynamic concave utilities. 449-472 - Angelos Dassios
Perturbed Brownian motion and its application to Parisian option pricing. 473-494
Volume 14, Number 4, December 2010
- Rüdiger Frey, Wolfgang J. Runggaldier:
Pricing credit derivatives under incomplete information: a nonlinear-filtering approach. 495-526 - Nils Reich, Christoph Schwab, Christoph Winter:
On Kolmogorov equations for anisotropic multivariate Lévy processes. 527-567 - Peter Grandits, Grigory Temnov:
A global consistency result for the two-dimensional Pareto distribution in the presence of misspecified inflation. 569-591 - Georg Mainik, Ludger Rüschendorf:
On optimal portfolio diversification with respect to extreme risks. 593-623 - Emmanuel Denis, Yuri Kabanov:
Mean square error for the Leland-Lott hedging strategy: convex pay-offs. 625-667
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