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ORCIDSIAM Journal on Financial Mathematics, Volume 4
Volume 4, Number 1, 2013
- Rama Cont
, Adrien de Larrard:
Price Dynamics in a Markovian Limit Order Market. 1-25 - Maxim Bichuch, Steven E. Shreve:
Utility Maximization Trading Two Futures with Transaction Costs. 26-85 - John Schoenmakers, Jianing Zhang, Junbo Huang:
Optimal Dual Martingales, Their Analysis, and Application to New Algorithms for Bermudan Products. 86-116 - Markus Mocha, Nicholas Westray:
The Stability of the Constrained Utility Maximization Problem: A BSDE Approach. 117-150 - Josselin Garnier, George Papanicolaou, Tzu-Wei Yang:
Large Deviations for a Mean Field Model of Systemic Risk. 151-184 - Peter Carr, Travis Fisher, Johannes Ruf:
Why Are Quadratic Normal Volatility Models Analytically Tractable? 185-202 - Ren Liu, Johannes Muhle-Karbe:
Portfolio Selection with Small Transaction Costs and Binding Portfolio Constraints. 203-227 - Sara Biagini, Mustafa Ç. Pinar:
The Best Gain-Loss Ratio is a Poor Performance Measure. 228-242 - Francesca Biagini, Irene Schreiber:
Risk-Minimization for Life Insurance Liabilities. 243-264 - Stefano Pagliarani, Andrea Pascucci, Candia Riga:
Adjoint Expansions in Local Lévy Models. 265-296 - Etienne Chevalier, Vathana Ly Vath, Simone Scotti:
An Optimal Dividend and Investment Control Problem under Debt Constraints. 297-326 - Nico Achtsis, Ronald Cools, Dirk Nuyens:
Conditional Sampling for Barrier Option Pricing under the LT Method. 327-352 - Carole Bernard, Wenbo V. Li:
Pricing and Hedging of Cliquet Options and Locally Capped Contracts. 353-371 - Liming Feng, Xiong Lin:
Inverting Analytic Characteristic Functions and Financial Applications. 372-398 - Bowen Zhang, Cornelis W. Oosterlee:
Efficient Pricing of European-Style Asian Options under Exponential Lévy Processes Based on Fourier Cosine Expansions. 399-426 - Antony Ware:
Accurate Semi-Lagrangian Time Stepping for Stochastic Optimal Control Problems with Application to the Valuation of Natural Gas Storage. 427-451 - Jun Sekine:
Long-Term Optimal Investment with a Generalized Drawdown Constraint. 452-473 - Liming Feng, Xiong Lin:
Pricing Bermudan Options in Lévy Process Models. 474-493 - Sergey Nadtochiy, Thaleia Zariphopoulou:
An Approximation Scheme for Solution to the Optimal Investment Problem in Incomplete Markets. 494-538 - Sam D. Howison, Christoph Reisinger, Jan Hendrik Witte:
The Effect of Nonsmooth Payoffs on the Penalty Approximation of American Options. 539-574 - Philipp Dörsek, Josef Teichmann:
Efficient Simulation and Calibration of General HJM Models by Splitting Schemes. 575-598 - Angelos Dassios, Jia Wei Lim:
Parisian Option Pricing: A Recursive Solution for the Density of the Parisian Stopping Time. 599-615 - Ernst Eberlein, Zorana Grbac, Thorsten Schmidt:
Discrete Tenor Models for Credit Risky Portfolios Driven by Time-Inhomogeneous Lévy Processes. 616-649 - Jean-Baptiste Monnier:
Risk-Neutral Density Recovery via Spectral Analysis. 650-667 - Stefan Ankirchner, Peter Kratz, Thomas Kruse:
Hedging Forward Positions: Basis Risk Versus Liquidity Costs. 668-696 - Nicole El Karoui, Mrad Mohamed:
An Exact Connection between Two Solvable SDEs and a Nonlinear Utility Stochastic PDE. 697-736 - Noureddine El Karoui:
On the Realized Risk of High-Dimensional Markowitz Portfolios. 737-783 - Jean-Pierre Fouque, Tomoyuki Ichiba:
Stability in a Model of Interbank Lending. 784-803 - Antoine Jacquier, Matthew J. Lorig:
The Smile of Certain Lévy-Type Models. 804-830 - Antoine Jacquier, Patrick Roome:
The Small-Maturity Heston Forward Smile. 831-856 - Xinfu Chen, Min Dai:
Characterization of Optimal Strategy for Multiasset Investment and Consumption with Transaction Costs. 857-883 - Michael Monoyios:
Malliavin Calculus Method for Asymptotic Expansion of Dual Control Problems. 884-915 - Andrew Papanicolaou:
Dimension Reduction in Discrete Time Portfolio Optimization with Partial Information. 916-960
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