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ORCIDFinance and Stochastics, Volume 9
Volume 9, Number 1, January 2005
- Robert Fernholz, Ioannis Karatzas, Constantinos Kardaras
:
Diversity and relative arbitrage in equity markets. 1-27 - Damiano Brigo, Aurélien Alfonsi:
Credit default swap calibration and derivatives pricing with the SSRD stochastic intensity model. 29-42 - Lane P. Hughston, Avraam Rafailidis:
A chaotic approach to interest rate modelling. 43-65 - Ernst Eberlein, Jean Jacod, Sebastian Raible:
Lévy term structure models: No-arbitrage and completeness. 67-88 - Alexander Szimayer:
Valuation of American options in the presence of event risk. 89-107 - José Manuel Corcuera, David Nualart, Wim Schoutens:
Completion of a Lévy market by power-jump assets. 109-127 - Takuji Arai:
An extension of mean-variance hedging to the discontinuous case. 129-139 - Alexander Melnikov, Yury G. Petrachenko:
On option pricing in binomial market with transaction costs. 141-149
Volume 9, Number 2, April 2005
- Anne Gundel:
Robust utility maximization for complete and incomplete market models. 151-176 - Kasper Larsen, Traian A. Pirvu, Steven E. Shreve, Reha H. Tütüncü:
Satisfying convex risk limits by trading. 177-195 - Tomas Björk, Henrik Hult:
A note on Wick products and the fractional Black-Scholes model. 197-209 - Li Chen, Damir Filipovic:
A simple model for credit migration and spread curves. 211-231 - Susanne Kruse, Ulrich Nögel:
On the pricing of forward starting options in Heston's model on stochastic volatility. 233-250 - Goran Peskir:
The Russian option: Finite horizon. 251-267 - Pauline Barrieu, Nicole El Karoui:
Inf-convolution of risk measures and optimal risk transfer. 269-298
Volume 9, Number 3, July 2005
- Rama Cont, Ekaterina Voltchkova:
Integro-differential equations for option prices in exponential Lévy models. 299-325 - Ernst Eberlein, Fehmi Özkan:
The Lévy LIBOR model. 327-348 - Jérôme Detemple, René Garcia, Marcel Rindisbacher:
Representation formulas for Malliavin derivatives of diffusion processes. 349-367 - Patrick Cheridito, Freddy Delbaen, Michael Kupper:
Coherent and convex monetary risk measures for unbounded càdlàg processes. 369-387 - Michael Tehranchi:
A note on invariant measures for HJM models. 389-398 - Thorsten Rheinländer:
An entropy approach to the Stein and Stein model with correlation. 399-413 - Yoshifumi Muroi:
Pricing contingent claims with credit risk: Asymptotic expansion approach. 415-427 - Erik Taflin:
Bond market completeness and attainable contingent claims. 429-452
Volume 9, Number 4, October 2005
- Peter Carr, Hélyette Geman, Dilip B. Madan, Marc Yor:
Pricing options on realized variance. 453-475 - Alexander M. G. Cox, David Hobson:
Local martingales, bubbles and option prices. 477-492 - Sara Biagini, Marco Frittelli:
Utility maximization in incomplete markets for unbounded processes. 493-517 - Ragnar Norberg:
Anomalous PDEs in Markov chains: Domains of validity and numerical solutions. 519-537 - Kai Detlefsen, Giacomo Scandolo:
Conditional and dynamic convex risk measures. 539-561 - Fred E. Benth, Thilo Meyer-Brandis:
The density process of the minimal entropy martingale measure in a stochastic volatility model with jumps. 563-575 - Lutz Schloegl, Dominic O'Kane:
A note on the large homogeneous portfolio approximation with the Student-t copula. 577-584 - Aytaç Ílhan, Mattias Jonsson, Ronnie Sircar:
Optimal investment with derivative securities. 585-595 - Volker Krätschmer:
Robust representation of convex risk measures by probability measures. 597-608
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