Finance and Stochastics

1996 - 2025

Current editor(s): M. Schweizer

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Volume 8, issue 4, 2004

Maturity cycles in implied volatility pp. 451-477

Jean-Pierre Fouque, George Papanicolaou, Ronnie Sircar and Knut Solna

Stochastic orders in dynamic reinsurance markets pp. 479-499

Thomas Møller

An approximation pricing algorithm in an incomplete market: A differential geometric approach pp. 501-523

Yuan Gao, Kian Lim and Kah Ng

On the law of one price pp. 525-530

Jean-Michel Courtault, Freddy Delbaen, Yuri Kabanov and Christophe Stricker

Vector-valued coherent risk measures pp. 531-552

Elyès Jouini, Moncef Meddeb and Nizar Touzi

Optimizing the terminal wealth under partial information: The drift process as a continuous time Markov chain pp. 553-577

Jörn Sass and Ulrich Haussmann

Wealth-path dependent utility maximization in incomplete markets pp. 579-603

Bruno Bouchard and Huyên Pham

Volume 8, issue 3, 2004

Liquidity risk and arbitrage pricing theory pp. 311-341

Umut Çetin, Robert Jarrow and Philip Protter

Valuation of credit default swaps and swaptions pp. 343-371

Farshid Jamshidian

Lookback options and diffusion hitting times: A spectral expansion approach pp. 373-398

Vadim Linetsky

A valuation algorithm for indifference prices in incomplete markets pp. 399-414

Marek Musiela and Thaleia Zariphopoulou

The financial value of a weak information on a financial market pp. 415-435

Fabrice Baudoin and Laurent Nguyen-Ngoc

Additional utility of insiders with imperfect dynamical information pp. 437-450

José Corcuera, Peter Imkeller, Arturo Kohatsu-Higa and David Nualart

Volume 8, issue 2, 2004

Computations of Greeks in a market with jumps via the Malliavin calculus pp. 161-179

Youssef El-Khatib and Nicolas Privault

Asymptotic analysis for optimal investment and consumption with transaction costs pp. 181-206

Karel Janeček and Steven Shreve

A geometric approach to portfolio optimization in models with transaction costs pp. 207-227

Yuri Kabanov and Claudia Klüppelberg

An example of indifference prices under exponential preferences pp. 229-239

Marek Musiela and Thaleia Zariphopoulou

Multi-agent investment in incomplete markets pp. 241-259

Jianming Xia

Pricing derivatives of American and game type in incomplete markets pp. 261-284

Jan Kallsen and Christoph Kühn

Asymmetric information and imperfect competition in a continuous time multivariate security model pp. 285-309

Guillaume Lasserre

Volume 8, issue 1, 2004

Editorial pp. 1-2

Freddy Delbaen, Paul Embrechts, Hans Föllmer, Yuri Kabanov and Steven Shreve

Large portfolio losses pp. 3-16

Amir Dembo, Jean-Dominique Deuschel and Darrell Duffie

Optimal portfolios when stock prices follow an exponential Lévy process pp. 17-44

Susanne Emmer and Claudia Klüppelberg

On the Malliavin approach to Monte Carlo approximation of conditional expectations pp. 45-71

Bruno Bouchard, Ivar Ekeland and Nizar Touzi

Some calculations for Israeli options pp. 73-86

Andreas Kyprianou

On the use of measure-valued strategies in bond markets pp. 87-109

Marzia De Donno and Maurizio Pratelli

A link between complete models with stochastic volatility and ARCH models pp. 111-131

Thierry Jeantheau

Convergence of utility functions and convergence of optimal strategies pp. 133-144

Elyès Jouini and Clotilde Napp

Hazard rate for credit risk and hedging defaultable contingent claims pp. 145-159

Christophette Blanchet-Scalliet and Monique Jeanblanc

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