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ORCIDFinance and Stochastics, Volume 6
Volume 6, Number 1, January 2002
- Dieter Sondermann:
Editorial. 1-2 - Bernard Bru, Marc Yor:
Comments on the life and mathematical legacy of Wolfgang Doeblin. 3-47 - Paul Malliavin, Maria Elvira Mancino:
Fourier series method for measurement of multivariate volatilities. 49-61 - Hélyette Geman, Dilip B. Madan, Marc Yor:
Stochastic volatility, jumps and hidden time changes. 63-90 - Paolo Guasoni
:
Risk minimization under transaction costs. 91-113 - Jan Kallsen:
Derivative pricing based on local utility maximization. 115-140
Volume 6, Number 2, April 2002
- Uwe Schmock, Steven E. Shreve, Uwe Wystup:
Valuation of exotic options under shortselling constraints. 143-172 - Erik Schlögl:
A multicurrency extension of the lognormal interest rate Market Models. 173-196 - Jorge A. León, Josep L. Solé, Frederic Utzet, Josep Vives:
On Lévy processes, Malliavin calculus and market models with jumps. 197-225 - Anna Frolova, Yuri Kabanov, Serguei Pergamenshchikov:
In the insurance business risky investments are dangerous. 227-235 - Bianca Hilberink, L. C. G. Rogers:
Optimal capital structure and endogenous default. 237-263 - Philip S. Griffin:
The expectations hypothesis with non-negative rates. 265-271
Volume 6, Number 3, July 2002
- Avner Friedman, Weixi Shen:
A variational inequality approach to financial valuation of retirement benefits based on salary. 273-302 - Tomas Björk, Camilla Landén:
On the construction of finite dimensional realizations for nonlinear forward rate models. 303-331 - Simon H. Babbs:
Conditional Gaussian models of the term structure of interest rates. 333-353 - J. Aase Nielsen, Klaus Sandmann:
Pricing of Asian exchange rate options under stochastic interest rates as a sum of options. 355-370 - Yuri Kabanov, Miklós Rásonyi, Christophe Stricker:
No-arbitrage criteria for financial markets with efficient friction. 371-382 - Sergio Albeverio, Victoria Steblovskaya:
A model of financial market with several interacting assets. Complete market case. 383-396
Volume 6, Number 4, October 2002
- Jan Kallsen, Albert N. Shiryaev:
The cumulant process and Esscher's change of measure. 397-428 - Hans Föllmer, Alexander Schied:
Convex measures of risk and trading constraints. 429-447 - Emmanuelle Clement, Damien Lamberton, Philip Protter:
An analysis of a least squares regression method for American option pricing. 449-471 - Ernesto Mordecki:
Optimal stopping and perpetual options for Lévy processes. 473-493 - Bruno Bouchard:
Utility maximization on the real line under proportional transaction costs. 495-516 - Denis Talay, Ziyu Zheng:
Worst case model risk management. 517-537
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