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Finance and Stochastics, Volume 17
Volume 17, Number 1, January 2013
- John A. D. Appleby, Markus Riedle
, Catherine Swords:
Bubbles and crashes in a Black-Scholes model with delay. 1-30 - Bruno Bouchard, Ngoc-Minh Dang
Generalized stochastic target problems for pricing and partial hedging under loss constraints - application in optimal book liquidation. 31-72 - Martin Hunting, Jostein Paulsen:
Optimal dividend policies with transaction costs for a class of jump-diffusion processes. 73-106 - Martin Keller-Ressel
Asymptotic and exact pricing of options on variance. 107-133 - Ralf Korn, Stefanie Müller:
The optimal-drift model: an accelerated binomial scheme. 135-160 - Holger Kraft, Frank Thomas Seifried, Mogens Steffensen
Consumption-portfolio optimization with recursive utility in incomplete markets. 161-196 - Ragnar Norberg:
Optimal hedging of demographic risk in life insurance. 197-222 - Carole Bernard
Correction note for 'The large-maturity smile for the Heston model'. 223-224 - Xi Chen, Robert V. Kohn:
Erratum to: Asset price bubbles from heterogeneous beliefs about mean reversion rates. 225-226
Volume 17, Number 2, April 2013
- Christoph Czichowsky:
Time-consistent mean-variance portfolio selection in discrete and continuous time. 227-271 - Roman Muraviev:
Market selection with learning and catching up with the Joneses. 273-304 - Robert Jarrow, Younes Kchia, Martin Larsson, Philip Protter
Discretely sampled variance and volatility swaps versus their continuous approximations. 305-324 - Stefan Gerhold, Johannes Muhle-Karbe, Walter Schachermayer:
The dual optimizer for the growth-optimal portfolio under transaction costs. 325-354 - Damien Lamberton, Mohammed Adam Mikou:
Exercise boundary of the American put near maturity in an exponential Lévy model. 355-394 - Ruodu Wang, Liang Peng, Jingping Yang:
Bounds for the sum of dependent risks and worst Value-at-Risk with monotone marginal densities. 395-417 - Belkacem Berdjane, Serguei Pergamenshchikov:
Optimal consumption and investment for markets with random coefficients. 419-446
Volume 17, Number 3, July 2013
- Yan Dolinsky, Halil Mete Soner
Duality and convergence for binomial markets with friction. 447-475 - Mathias Beiglböck, Pierre Henry-Labordère, Friedrich Penkner:
Model-independent bounds for option prices - a mass transport approach. 477-501 - Daniel Z. Zanger
Quantitative error estimates for a least-squares Monte Carlo algorithm for American option pricing. 503-534 - Revaz Tevzadze, Teimuraz Toronjadze, Tamaz Uzunashvili:
Robust utility maximization for a diffusion market model with misspecified coefficients. 535-563 - Luciano Campi
Equilibrium model with default and dynamic insider information. 565-585 - Jocelyne Bion-Nadal, Giulia Di Nunno
Dynamic no-good-deal pricing measures and extension theorems for linear operators on L ∞. 587-613 - Ashkan Nikeghbali
A reading guide for last passage times with financial applications in view. 615-640
Volume 17, Number 4, October 2013
- Liao Wang, Johannes Wissel:
Mean-variance hedging with oil futures. 641-683 - Peter Carr, Roger Lee:
Variation and share-weighted variation swaps on time-changed Lévy processes. 685-716 - Denis Belomestny
Multilevel dual approach for pricing American style derivatives. 717-742 - Christopher Lorenz, Alexander Schied:
Drift dependence of optimal trade execution strategies under transient price impact. 743-770 - Vladimir Cherny, Jan Oblój
Portfolio optimisation under non-linear drawdown constraints in a semimartingale financial model. 771-800 - Giuseppe Benedetti, Luciano Campi
On the existence of shadow prices. 801-818 - Dmitry B. Rokhlin
On the game interpretation of a shadow price process in utility maximization problems under transaction costs. 819-838 - Tim Leung
Outperformance portfolio optimization via the equivalence of pure and randomized hypothesis testing. 839-870
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