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ORCIDSIAM Journal on Financial Mathematics, Volume 7
Volume 7, Number 1, 2016
- Álvaro Cartea
, Sebastian Jaimungal, Zhen Qin:
Model Uncertainty in Commodity Markets. 1-33 - Jiatu Cai, Masaaki Fukasawa, Mathieu Rosenbaum, Peter Tankov:
Optimal Discretization of Hedging Strategies with Directional Views. 34-69 - Julio D. Backhoff Veraguas, Joaquín Fontbona:
Robust Utility Maximization without Model Compactness. 70-103 - Emmanuel Lépinette:
Robust No Arbitrage of the Second Kind with a Continuum of Assets and Proportional Transaction Costs. 104-123 - Danlin Hou, Zuo Quan Xu:
A Robust Markowitz Mean-Variance Portfolio Selection Model with an Intractable Claim. 124-151 - Geliang Zhang, Hugh L. Christensen, Guolong Li, Simon J. Godsill:
A Correction Note for Price Dynamics in a Markovian Limit Order Market. 152-158 - Pierre Henry-Labordère, Christian Litterer, Zhenjie Ren:
A Dual Algorithm for Stochastic Control Problems: Applications to Uncertain Volatility Models and CVA. 159-182 - Erhan Bayraktar, S. David Promislow, Virginia R. Young:
Purchasing Term Life Insurance to Reach a Bequest Goal while Consuming. 183-214 - Bruno Bouchard, Géraldine Bouveret, Jean-François Chassagneux:
A Backward Dual Representation for the Quantile Hedging of Bermudan Options. 215-235 - Aych I. Bouselmi, Damien Lamberton:
The Critical Price of the American Put Near Maturity in the Jump Diffusion Model. 236-272 - Matthew Lorig, Oriol Lozano-Carbassé, Rafael Mendoza-Arriaga:
Variance Swaps on Defaultable Assets and Market Implied Time-Changes. 273-307 - Ismail Laachir, Francesco Russo:
BSDEs, Càdlàg Martingale Problems, and Orthogonalization under Basis Risk. 308-356 - Erik Ekström, Juozas Vaicenavicius:
Optimal Liquidation of an Asset under Drift Uncertainty. 357-381 - Andrea Granelli, Almut E. D. Veraart:
Modeling the Variance Risk Premium of Equity Indices: The Role of Dependence and Contagion. 382-417 - Matthew J. Lorig, Ronnie Sircar:
Portfolio Optimization under Local-Stochastic Volatility: Coefficient Taylor Series Approximations and Implied Sharpe Ratio. 418-447 - Martin Forde, Hongzhong Zhang:
Small-Time Asymptotics for Basket Options - the Bivariate SABR Model and the Hyperbolic Heat Kernel on ℍ3. 448-476 - Julio Backhoff, Ulrich Horst:
Conditional Analysis and a Principal-Agent Problem. 477-507 - Bruno Bouchard, Ludovic Moreau, H. Mete Soner:
Hedging Under an Expected Loss Constraint with Small Transaction Costs. 508-551 - Chris Jones, Xinfu Chen:
Optimal Mortgage Prepayment Under the Cox-Ingersoll-Ross Model. 552-566 - Dmitry Kramkov, Sergio Pulido:
Stability and Analytic Expansions of Local Solutions of Systems of Quadratic BSDEs with Applications to a Price Impact Model. 567-587 - Mykhaylo Shkolnikov, Ronnie Sircar, Thaleia Zariphopoulou:
Asymptotic Analysis of Forward Performance Processes in Incomplete Markets and Their Ill-Posed HJB Equations. 588-618 - Gaoyue Guo, Antoine Jacquier, Claude Martini, Leo Neufcourt:
Generalized Arbitrage-Free SVI Volatility Surfaces. 619-641 - Pierre Garreau, Alec N. Kercheval:
A Structural Jump Threshold Framework for Credit Risk. 642-673 - David Hobson, Ye-Qi Zhu:
Optimal Consumption and Sale Strategies for a Risk Averse Agent. 674-719 - Francesco Caravenna, Jacopo Corbetta:
General Smile Asymptotics with Bounded Maturity. 720-759 - Álvaro Cartea, Sebastian Jaimungal:
A Closed-Form Execution Strategy to Target Volume Weighted Average Price. 760-785 - Chi Seng Pun, Hoi Ying Wong:
Resolution of Degeneracy in Merton's Portfolio Problem. 786-811 - Matteo Burzoni:
Arbitrage and Hedging in Model-Independent Markets with Frictions. 812-844 - Justin Lars Kirkby:
An Efficient Transform Method for Asian Option Pricing. 845-892 - Michael Tehranchi:
Uniform Bounds for Black-Scholes Implied Volatility. 893-916 - Radu Baltean-Lugojan, Panos Parpas:
Robust Numerical Calibration for Implied Volatility Expansion Models. 917-946 - Dan Pirjol, Lingjiong Zhu:
Short Maturity Asian Options in Local Volatility Models. 947-992 - Jean-François Chassagneux, Antoine Jacquier, Ivo Mihaylov:
An Explicit Euler Scheme with Strong Rate of Convergence for Financial SDEs with Non-Lipschitz Coefficients. 993-1021
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