EconPapers has moved to http://EconPapers.repec.org! Please update your bookmarks.
Finance and Stochastics
1996 - 2013
Edited by M. Schweizer
from Springer
Access Statistics for this journal.
RSS feed
Is something missing from the series or not right? See the RePEc data check for the archive and series .
Volume 17, issue 2 , 2013
Time-consistent mean-variance portfolio selection in discrete and continuous time pp. 227-271 Christoph Czichowsky Market selection with learning and catching up with the Joneses pp. 273-304 Roman Muraviev Discretely sampled variance and volatility swaps versus their continuous approximations pp. 305-324 Robert A Jarrow , Younes Kchia , Martin Larsson and Philip Protter The dual optimizer for the growth-optimal portfolio under transaction costs pp. 325-354 S. Gerhold , J. Muhle-Karbe and W. Schachermayer Exercise boundary of the American put near maturity in an exponential Lévy model pp. 355-394 Damien Lamberton and Mohammed Mikou Bounds for the sum of dependent risks and worst Value-at-Risk with monotone marginal densities pp. 395-417 Ruodu Wang , Liang Peng and Jingping Yang Optimal consumption and investment for markets with random coefficients pp. 419-446 Belkacem Berdjane and Serguei Pergamenshchikov Volume 17, issue 1 , 2013
Bubbles and crashes in a Black–Scholes model with delay pp. 1-30 John Appleby , Markus Riedle and Catherine Swords Generalized stochastic target problems for pricing and partial hedging under loss constraints—application in optimal book liquidation pp. 31-72 Bruno Bouchard and Ngoc-Minh Dang Optimal dividend policies with transaction costs for a class of jump-diffusion processes pp. 73-106 Martin Hunting and Jostein Paulsen Asymptotic and exact pricing of options on variance pp. 107-133 Martin Keller-Ressel and Johannes Muhle-Karbe The optimal-drift model: an accelerated binomial scheme pp. 135-160 Ralf Korn and Stefanie Müller Consumption-portfolio optimization with recursive utility in incomplete markets pp. 161-196 Holger Kraft , Frank Seifried and Mogens Steffensen Optimal hedging of demographic risk in life insurance pp. 197-222 Ragnar Norberg Correction note for ‘The large-maturity smile for the Heston model’ pp. 223-224 Carole Bernard , Zhenyu Cui , Martin Forde , Antoine Jacquier , Don McLeish and Aleksandar Mijatović Erratum to: Asset price bubbles from heterogeneous beliefs about mean reversion rates pp. 225-226 Xi Chen and Robert Kohn Volume 16, issue 4 , 2012
Continuous-time trading and the emergence of probability pp. 561-609 Vladimir Vovk Model-independent hedging strategies for variance swaps pp. 611-649 David Hobson and Martin Klimmek Market viability via absence of arbitrage of the first kind pp. 651-667 Constantinos Kardaras Risk assessment for uncertain cash flows: model ambiguity, discounting ambiguity, and the role of bubbles pp. 669-709 Beatrice Acciaio , Hans Föllmer and Irina Penner Polynomial processes and their applications to mathematical finance pp. 711-740 Christa Cuchiero , Martin Keller-Ressel and Josef Teichmann The fundamental theorem of asset pricing under transaction costs pp. 741-777 Paolo Guasoni , Emmanuel Lépinette and Miklós Rásonyi Horizon dependence of utility optimizers in incomplete models pp. 779-801 Kasper Larsen and Hang Yu Volume 16, issue 3 , 2012
Small transaction costs, absence of arbitrage and consistent price systems pp. 357-368 Julien Grépat and Yuri Kabanov Long-term optimal portfolios with floor pp. 369-401 Jun Sekine A decomposition formula for option prices in the Heston model and applications to option pricing approximation pp. 403-422 Elisa Alòs An optimal stopping problem with a reward constraint pp. 423-448 Jérôme Detemple , Weidong Tian and Jie Xiong Optimal dividend distribution under Markov regime switching pp. 449-476 Zhengjun Jiang and Martijn Pistorius Optimal dividend policies for a class of growth-restricted diffusion processes under transaction costs and solvency constraints pp. 477-511 Lihua Bai , Martin Hunting and Jostein Paulsen Default times, no-arbitrage conditions and changes of probability measures pp. 513-535 Delia Coculescu , Monique Jeanblanc and Ashkan Nikeghbali Forward rate models with linear volatilities pp. 537-560 Michał Barski and Jerzy Zabczyk Volume 16, issue 2 , 2012
An example of a stochastic equilibrium with incomplete markets pp. 177-206 Gordan Žitković Irreversible investment in oligopoly pp. 207-224 Jan-Henrik Steg Deterministic criteria for the absence of arbitrage in one-dimensional diffusion models pp. 225-247 Aleksandar Mijatović and Mikhail Urusov Singular risk-neutral valuation equations pp. 249-274 Cristina Costantini , Marco Papi and Fernanda D’Ippoliti Strict local martingale deflators and valuing American call-type options pp. 275-291 Erhan Bayraktar , Constantinos Kardaras and Hao Xing Maximum entropy distributions inferred from option portfolios on an asset pp. 293-318 Cassio Neri and Lorenz Schneider A pure martingale dual for multiple stopping pp. 319-334 John Schoenmakers Variance swaps on time-changed Lévy processes pp. 335-355 Peter Carr , Roger Lee and Liuren Wu Volume 16, issue 1 , 2012
Pricing growth-rate risk pp. 1-15 Lars Peter Hansen and Jose Alexandre Scheinkman Cross hedging with stochastic correlation pp. 17-43 Stefan Ankirchner and Gregor Heyne Financial inverse problem and reconstruction of infinitely divisible distributions with Gaussian component pp. 45-62 S. Kaji and S. Kotani Tangent Lévy market models pp. 63-104 René Carmona and Sergey Nadtochiy Pricing and hedging of credit derivatives via the innovations approach to nonlinear filtering pp. 105-133 Rüdiger Frey and Thorsten Schmidt Consistent price systems and arbitrage opportunities of the second kind in models with transaction costs pp. 135-154 Emmanuel Denis and Yuri Kabanov Worst case portfolio vectors and diversification effects pp. 155-175 Ludger Rüschendorf Volume 15, issue 4 , 2011
On irreversible investment pp. 607-633 Frank Riedel and Xia Su Asymptotic analysis for stochastic volatility: martingale expansion pp. 635-654 Masaaki Fukasawa Pricing Bermudan options by nonparametric regression: optimal rates of convergence for lower estimates pp. 655-683 Denis Belomestny On the calibration of local jump-diffusion asset price models pp. 685-724 S. Kindermann and P. Mayer Optimal investment with counterparty risk: a default-density model approach pp. 725-753 Ying Jiao and Huyên Pham The large-maturity smile for the Heston model pp. 755-780 Martin Forde and Antoine Jacquier A note on essential smoothness in the Heston model pp. 781-784 Martin Forde , Antoine Jacquier and Aleksandar Mijatović Proving regularity of the minimal probability of ruin via a game of stopping and control pp. 785-818 Erhan Bayraktar and Virginia Young Volume 15, issue 3 , 2011
Liquidity risk, price impacts and the replication problem pp. 399-419 Alexandre Roch A stochastic control problem with delay arising in a pension fund model pp. 421-459 Salvatore Federico Multivariate utility maximization with proportional transaction costs pp. 461-499 Luciano Campi and Mark Owen Minimal sufficient conditions for a primal optimizer in nonsmooth utility maximization pp. 501-512 Nicholas Westray and Harry Zheng Pricing equity default swaps under the jump-to-default extended CEV model pp. 513-540 Rafael Mendoza-Arriaga and Vadim Linetsky Hedging of a credit default swaption in the CIR default intensity model pp. 541-572 Tomasz Bielecki , Monique Jeanblanc and Marek Rutkowski Robust pricing and hedging of double no-touch options pp. 573-605 Alexander Cox and Jan Obłój Volume 15, issue 2 , 2011
Option pricing with quadratic volatility: a revisit pp. 191-219 Leif Andersen Asset price bubbles from heterogeneous beliefs about mean reversion rates pp. 221-241 Xi Chen and Robert Kohn Ruin probabilities under general investments and heavy-tailed claims pp. 243-265 Henrik Hult and Filip Lindskog Gamma expansion of the Heston stochastic volatility model pp. 267-296 Paul Glasserman and Kyoung-Kuk Kim Pension funds with a minimum guarantee: a stochastic control approach pp. 297-342 Marina Di Giacinto , Salvatore Federico and Fausto Gozzi On a class of law invariant convex risk measures pp. 343-363 Gilles Angelsberg , Freddy Delbaen , Ivo Kaelin , Michael Kupper and Joachim Näf The efficient hedging problem for American options pp. 365-397 Sabrina Mulinacci Volume 15, issue 1 , 2011
Dual pricing of multi-exercise options under volume constraints pp. 1-26 Christian Bender Co-monotonicity of optimal investments and the design of structured financial products pp. 27-55 Marc Rieger Arbitrage and deflators in illiquid markets pp. 57-83 Teemu Pennanen Optimal consumption policies in illiquid markets pp. 85-115 Alessandra Cretarola , Fausto Gozzi , Huyên Pham and Peter Tankov Minimal q-entropy martingale measures for exponential time-changed Lévy processes pp. 117-140 Stefan Kassberger and Thomas Liebmann Unbiased and efficient Greeks of financial options pp. 141-181 Yuh-Dauh Lyuu and Huei-Wen Teng A note on the existence of the power investor’s optimizer pp. 183-190 Kasper Larsen
EconPapers is hosted by the
Örebro University School of Business.