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ORCIDFinance and Stochastics, Volume 15
Volume 15, Number 1, January 2011
- Christian Bender:
Dual pricing of multi-exercise options under volume constraints. 1-26 - Marc Oliver Rieger:
Co-monotonicity of optimal investments and the design of structured financial products. 27-55 - Teemu Pennanen
:
Arbitrage and deflators in illiquid markets. 57-83 - Alessandra Cretarola, Fausto Gozzi, Huyên Pham, Peter Tankov:
Optimal consumption policies in illiquid markets. 85-115 - Stefan Kassberger, Thomas Liebmann:
Minimal q-entropy martingale measures for exponential time-changed Lévy processes. 117-140 - Yuh-Dauh Lyuu, Huei-Wen Teng:
Unbiased and efficient Greeks of financial options. 141-181 - Kasper Larsen:
A note on the existence of the power investor's optimizer. 183-190
Volume 15, Number 2, June 2011
- Leif Andersen:
Option pricing with quadratic volatility: a revisit. 191-219 - Xi Chen, Robert V. Kohn:
Asset price bubbles from heterogeneous beliefs about mean reversion rates. 221-241 - Henrik Hult, Filip Lindskog:
Ruin probabilities under general investments and heavy-tailed claims. 243-265 - Paul Glasserman, Kyoung-Kuk Kim:
Gamma expansion of the Heston stochastic volatility model. 267-296 - Marina Di Giacinto, Salvatore Federico, Fausto Gozzi:
Pension funds with a minimum guarantee: a stochastic control approach. 297-342 - Gilles Angelsberg, Freddy Delbaen, Ivo Kaelin, Michael Kupper, Joachim Näf:
On a class of law invariant convex risk measures. 343-363 - Sabrina Mulinacci:
The efficient hedging problem for American options. 365-397
Volume 15, Number 3, September 2011
- Alexandre F. Roch:
Liquidity risk, price impacts and the replication problem. 399-419 - Salvatore Federico:
A stochastic control problem with delay arising in a pension fund model. 421-459 - Luciano Campi, Mark P. Owen:
Multivariate utility maximization with proportional transaction costs. 461-499 - Nicholas Westray, Harry Zheng:
Minimal sufficient conditions for a primal optimizer in nonsmooth utility maximization. 501-512 - Rafael Mendoza-Arriaga, Vadim Linetsky:
Pricing equity default swaps under the jump-to-default extended CEV model. 513-540 - Tomasz R. Bielecki, Monique Jeanblanc, Marek Rutkowski:
Hedging of a credit default swaption in the CIR default intensity model. 541-572 - Alexander M. G. Cox, Jan Oblój:
Robust pricing and hedging of double no-touch options. 573-605
Volume 15, Number 4, December 2011
- Frank Riedel, Xia Su:
On irreversible investment. 607-633 - Masaaki Fukasawa:
Asymptotic analysis for stochastic volatility: martingale expansion. 635-654 - Denis Belomestny:
Pricing Bermudan options by nonparametric regression: optimal rates of convergence for lower estimates. 655-683 - Stefan Kindermann, Philipp A. Mayer:
On the calibration of local jump-diffusion asset price models. 685-724 - Ying Jiao, Huyên Pham:
Optimal investment with counterparty risk: a default-density model approach. 725-753 - Martin Forde, Antoine Jacquier:
The large-maturity smile for the Heston model. 755-780 - Martin Forde, Antoine Jacquier, Aleksandar Mijatovic:
A note on essential smoothness in the Heston model. 781-784 - Erhan Bayraktar, Virginia R. Young:
Proving regularity of the minimal probability of ruin via a game of stopping and control. 785-818
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