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ORCIDFinance and Stochastics, Volume 13
Volume 13, Number 1, January 2009
- René Carmona, Sergey Nadtochiy
:
Local volatility dynamic models. 1-48 - Walter Schachermayer, Mihai Sîrbu, Erik Taflin:
In which financial markets do mutual fund theorems hold true? 49-77 - Philippe Ehlers, Philipp J. Schönbucher:
Background filtrations and canonical loss processes for top-down models of portfolio credit risk. 79-103 - Dimitri De Vallière, Emmanuel Denis, Yuri Kabanov:
Hedging of American options under transaction costs. 105-119 - Marie-Amélie Morlais:
Quadratic BSDEs driven by a continuous martingale and applications to the utility maximization problem. 121-150
Volume 13, Number 2, April 2009
- Nicole El Karoui, Ying Jiao:
Stein's method and zero bias transformation for CDO tranche pricing. 151-180 - Alexander Schied, Torsten Schöneborn:
Risk aversion and the dynamics of optimal liquidation strategies in illiquid markets. 181-204 - Jasper H. M. Anderluh, Johannes A. M. van der Weide:
Double-sided Parisian option pricing. 205-238 - Kim Christensen, Mark Podolskij, Mathias Vetter:
Bias-correcting the realized range-based variance in the presence of market microstructure noise. 239-268 - Fabio Antonelli, Sergio Scarlatti:
Pricing options under stochastic volatility: a power series approach. 269-303
Volume 13, Number 3, September 2009
- Ralf Korn, Martin Schweizer:
Editorial. 305-306 - Pierre L'Ecuyer:
Quasi-Monte Carlo methods with applications in finance. 307-349 - Christoph Käbe, Jan H. Maruhn, Ekkehard W. Sachs:
Adjoint-based Monte Carlo calibration of financial market models. 351-379 - Rainer Avikainen:
On irregular functionals of SDEs and the Euler scheme. 381-401 - Michael B. Giles, Desmond J. Higham, Xuerong Mao:
Analysing multi-level Monte Carlo for options with non-globally Lipschitz payoff. 403-413 - Mariko Ninomiya, Syoiti Ninomiya:
A new higher-order weak approximation scheme for stochastic differential equations and the Runge-Kutta method. 415-443 - Harry Zheng, Lishang Jiang:
Basket CDS pricing with interacting intensities. 445-469
Volume 13, Number 4, September 2009
- Norbert Hilber, Nils Reich, Christoph Schwab, Christoph Winter:
Numerical methods for Lévy processes. 471-500 - Liming Feng, Vadim Linetsky:
Computing exponential moments of the discrete maximum of a Lévy process and lookback options. 501-529 - Oleg Kudryavtsev, Sergei Levendorskii:
Fast and accurate pricing of barrier options under Lévy processes. 531-562 - Eric Benhamou, Emmanuel Gobet, Mohammed Miri:
Smart expansion and fast calibration for jump diffusions. 563-589 - Nicole Bäuerle, Ulrich Rieder:
MDP algorithms for portfolio optimization problems in pure jump markets. 591-611 - René Carmona, Jean-Pierre Fouque, Douglas Vestal:
Interacting particle systems for the computation of rare credit portfolio losses. 613-633
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