Finance and Stochastics

1996 - 2025

Current editor(s): M. Schweizer

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Volume 7, issue 2, 2003

Using copulae to bound the Value-at-Risk for functions of dependent risks pp. 145-167

Paul Embrechts, Andrea Höing and Alessandro Juri

A large deviations approach to optimal long term investment pp. 169-195

Huyên Pham

Indifference pricing of insurance contracts in a product space model pp. 197-217

Thomas Møller

Dividing gains between a client and her agent pp. 219-230

Jianming Xia

Extension of the corrected barrier approximation by Broadie, Glasserman, and Kou pp. 231-243

Per Hörfelt

An optimal consumption model with stochastic volatility pp. 245-262

Wendell H. Fleming and Daniel Hernández-Hernández

Exponential growth of fixed-mix strategies in stationary asset markets pp. 263-276

Igor Evstigneev, Michal A. H. Dempster and Klaus Schenk-Hoppé

Volume 7, issue 1, 2003

Numerical solution of jump-diffusion LIBOR market models pp. 1-27

Nicolas Merener and Paul Glasserman

A monetary value for initial information in portfolio optimization pp. 29-46

Martin Schweizer, Dirk Becherer and Jürgen Amendinger

Continuous auctions and insider trading: uniqueness and risk aversion pp. 47-71

Kyung-Ha Cho

Pricing of catastrophe reinsurance and derivatives using the Cox process with shot noise intensity pp. 73-95

Ji-Wook Jang and Angelos Dassios

Optimal dynamic reinsurance policies for large insurance portfolios pp. 97-121

Charlotte Markussen and Michael I. Taksar

Random step functions model for interest rates pp. 123-143

Eleanor Virag, Fima C. Klebaner and Konstantin Borovkov

Volume 6, issue 4, 2002

The cumulant process and Esscher's change of measure pp. 397-428

Albert N. Shiryaev and Jan Kallsen

Convex measures of risk and trading constraints pp. 429-447

Hans Föllmer and Alexander Schied

An analysis of a least squares regression method for American option pricing pp. 449-471

Philip Protter, Emmanuelle Clément and Damien Lamberton

Optimal stopping and perpetual options for Lévy processes pp. 473-493

Ernesto Mordecki

Utility maximization on the real line under proportional transaction costs pp. 495-516

Bruno Bouchard

Worst case model risk management pp. 517-537

Denis Talay and Ziyu Zheng

Volume 6, issue 3, 2002

A variational inequality approach to financial valuation of retirement benefits based on salary pp. 273-302

Avner Friedman and Weixi Shen

On the construction of finite dimensional realizations for nonlinear forward rate models pp. 303-331

Camilla Landén and Tomas Bjork

Conditional Gaussian models of the term structure of interest rates pp. 333-353

Simon H. Babbs

Pricing of Asian exchange rate options under stochastic interest rates as a sum of options pp. 355-370

Klaus Sandmann and J. Aase Nielsen

No-arbitrage criteria for financial markets with efficient friction pp. 371-382

Christophe Stricker (**),, Miklós Rásonyi (*), and Yuri Kabanov

A model of financial market with several interacting assets. Complete market case pp. 383-396

Victoria Steblovskaya and Sergio Albeverio

Volume 6, issue 2, 2002

Editorial pp. 141-141

Dieter Sondermann and Werner A. Müller

Valuation of exotic options under shortselling constraints pp. 143-172

Uwe Wystup, Uwe Schmock and Steven E. Shreve

A multicurrency extension of the lognormal interest rate Market Models pp. 173-196

Erik Schlogl

On Lévy processes, Malliavin calculus and market models with jumps pp. 197-225

Josep Vives, Jorge A. León, Frederic Utzet and Josep L. Solé

In the insurance business risky investments are dangerous pp. 227-235

Anna Frolova, Sergey Pergamenshchikov and Yuri Kabanov

Optimal capital structure and endogenous default pp. 237-263

Bianca Hilberink and L.C.G. Rogers

The expectations hypothesis with non-negative rates pp. 265-271

Philip S. Griffin

Volume 6, issue 1, 2002

Editorial pp. 1-2

Dieter Sondermann

Comments on the life and mathematical legacy of Wolfgang Doeblin pp. 3-47

Marc Yor and Bernard Bru

Fourier series method for measurement of multivariate volatilities pp. 49-61

Maria Elvira Mancino and Paul Malliavin

Stochastic volatility, jumps and hidden time changes pp. 63-90

Marc Yor, Dilip B. Madan and Hélyette Geman

Risk minimization under transaction costs pp. 91-113

Paolo Guasoni

Derivative pricing based on local utility maximization pp. 115-140

Jan Kallsen

Volume 5, issue 4, 2001

Risk-minimizing hedging strategies for insurance payment processes pp. 419-446

Thomas Møller

Optimal portfolio management rules in a non-Gaussian market with durability and intertemporal substitution pp. 447-467

Kristin Reikvam, Fred Espen Benth and Kenneth Hvistendahl Karlsen

Equity portfolios generated by functions of ranked market weights pp. 469-486

Robert Fernholz

Existence and structure of stochastic equilibria with intertemporal substitution pp. 487-509

Frank Riedel and Peter Bank

Stochastic flows and the forward measure pp. 511-525

Robert J. Elliott and John van der Hoek

Optimal risk control for a large corporation in the presence of returns on investments pp. 527-547

Bjarne Højgaard and Michael Taksar

Black and Scholes pricing and markets with transaction costs: An example pp. 549-555

Haim Reisman

Minimax and minimal distance martingale measures and their relationship to portfolio optimization pp. 557-581

Thomas Goll and Ludger Rüschendorf

Volume 5, issue 3, 2001

Optimal portfolio selection with consumption and nonlinear integro-differential equations with gradient constraint: A viscosity solution approach pp. 275-303

Kristin Reikvam, Fred Espen Benth and Kenneth Hvistendahl Karlsen

Arbitrage and investment opportunities pp. 305-325

Elyès Jouini

The numeraire portfolio for unbounded semimartingales pp. 327-341

Dirk Becherer

Fractional Brownian motion, random walks and binary market models pp. 343-355

Tommi Sottinen

Discrete time hedging errors for options with irregular payoffs pp. 357-367

Emmanuel Temam and Emmanuel Gobet

A deterministic-shift extension of analytically-tractable and time-homogeneous short-rate models pp. 369-387

Damiano Brigo and Fabio Mercurio

A general characterization of one factor affine term structure models pp. 389-412

Damir Filipovic

A note on calculating the optimal risky portfolio pp. 413-417

Reha H. Tütüncü

Volume 5, issue 2, 2001

The relaxed investor and parameter uncertainty pp. 131-154

L.C.G. Rogers

Analytical value-at-risk with jumps and credit risk pp. 155-180

Jun Pan and Darrell Duffie

Coherent risk measures and good-deal bounds pp. 181-200

Stefan Jaschke and Uwe Küchler

Applications of Malliavin calculus to Monte-Carlo methods in finance. II pp. 201-236

Eric Fournié, Jean-Michel Lasry, Pierre-Louis Lions and Jérôme Lebuchoux

Forward rate dependent Markovian transformations of the Heath-Jarrow-Morton term structure model pp. 237-257

Carl Chiarella and Oh Kang Kwon

Utility maximization in incomplete markets with random endowment pp. 259-272

Hui Wang (**),, Jaksa Cvitanic and Walter Schachermayer (*),

Volume 5, issue 1, 2001

Editorial pp. 1-2

A.N. Shiryaev, S.E. Shreve and D. Sondermann

Bachelier and his times: A conversation with Bernard Bru pp. 3-32

Murad S. Taqqu

Optimal investment in derivative securities pp. 33-59

Dilip B. Madan, Xing Jin and Peter Carr

A solution approach to valuation with unhedgeable risks pp. 61-82

Thaleia Zariphopoulou

Semimartingale representation of fractional Riesz-Bessel motion pp. 83-101

V.V. Anh and C.N. Nguyen

Apparent scaling pp. 103-113

Ole Barndorff-Nielsen and Karsten Prause

A class of risk neutral densities with heavy tails pp. 115-128

Niels VÖver Hartvig, Jens Ledet Jensen and Jan Pedersen