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Finance and Stochastics
1996 - 2012
Edited by M. Schweizer
from Springer
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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 Volume 14, issue 4 , 2010
Pricing credit derivatives under incomplete information: a nonlinear-filtering approach pp. 495-526 Rüdiger Frey and Wolfgang Runggaldier On Kolmogorov equations for anisotropic multivariate Lévy processes pp. 527-567 N. Reich , C. Schwab and C. Winter A global consistency result for the two-dimensional Pareto distribution in the presence of misspecified inflation pp. 569-591 Peter Grandits and Grigory Temnov On optimal portfolio diversification with respect to extreme risks pp. 593-623 Georg Mainik and Ludger Rüschendorf Mean square error for the Leland–Lott hedging strategy: convex pay-offs pp. 625-667 Emmanuel Denis and Youri Kabanov Volume 14, issue 3 , 2010
Option hedging for small investors under liquidity costs pp. 317-341 Umut Çetin , H. Soner and Nizar Touzi Asset allocation and liquidity breakdowns: what if your broker does not answer the phone? pp. 343-374 Peter Diesinger , Holger Kraft and Frank Seifried On measuring nonlinear risk with scarce observations pp. 375-395 Alexander Cherny , Raphael Douady and Stanislav Molchanov Asymptotic distribution of law-invariant risk functionals pp. 397-418 Georg Pflug and Nancy Wozabal Exponential utility maximization under partial information pp. 419-448 Michael Mania and Marina Santacroce Representation of the penalty term of dynamic concave utilities pp. 449-472 Freddy Delbaen , Shige Peng and Emanuela Rosazza Gianin Perturbed Brownian motion and its application to Parisian option pricing pp. 473-494 Angelos Dassios and Shanle Wu Volume 14, issue 2 , 2010
From implied to spot volatilities pp. 157-177 Valdo Durrleman Hedging variance options on continuous semimartingales pp. 179-207 Peter Carr and Roger Lee Central limit theorem for the realized volatility based on tick time sampling pp. 209-233 Masaaki Fukasawa Can the implied volatility surface move by parallel shifts? pp. 235-248 Leonard C G Rogers and M. Tehranchi Zero-intelligence realized variance estimation pp. 249-283 Jim Gatheral and Roel C.A. Oomen Risk-neutral compatibility with option prices pp. 285-315 Jean Jacod and Philip Protter Volume 14, issue 1 , 2010
A high-low-based omnibus test for symmetry, the Lévy property, and other hypotheses on intraday returns pp. 1-12 Stefan Klößner Local time and the pricing of time-dependent barrier options pp. 13-48 Aleksandar Mijatović Nonparametric estimation for a stochastic volatility model pp. 49-80 F. Comte , V. Genon-Catalot and Y. Rozenholc A generalization of Panjer’s recursion and numerically stable risk aggregation pp. 81-128 Stefan Gerhold , Uwe Schmock and Richard Warnung Comparison results for stochastic volatility models via coupling pp. 129-152 David Hobson Valuation of default-sensitive claims under imperfect information (Publisher’s Erratum) pp. 153-155 Delia Coculescu , Hélyette Geman and Monique Jeanblanc
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