Finance and Stochastics

1996 - 2025

Current editor(s): M. Schweizer

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Volume 4, issue 4, 2000

Bond pricing in a hidden Markov model of the short rate pp. 371-389

Camilla LandÊn

Markov-functional interest rate models pp. 391-408

Joanne Kennedy, Phil Hunt and Antoon Pelsser

A simple regime switching term structure model pp. 409-429

Asbjørn T. Hansen and Rolf Poulsen

Implied savings accounts are unique pp. 431-442

Martin Schweizer, Christophe Stricker and Frank DÃberlein

Game options pp. 443-463

Yuri Kifer

White noise generalizations of the Clark-Haussmann-Ocone theorem with application to mathematical finance pp. 465-496

Jan Ubøe, Bernt Øksendal, Knut Aase and Nicolas Privault

Volume 4, issue 3, 2000

Options on a traded account: Vacation calls, vacation puts and passport options pp. 255-274

Steven E. Shreve and Jan Vecer

Introduction to a theory of value coherent with the no-arbitrage principle pp. 275-297

Marco Frittelli

Optimal risk control and dividend distribution policies. Example of excess-of loss reinsurance for an insurance corporation pp. 299-324

Bjarne Højgaard, Søren Asmussen and Michael Taksar

Robustness of the Black-Scholes approach in the case of options on several assets pp. 325-341

Tiziano Vargiolu and Silvia Romagnoli

Modelling of stock price changes: A real analysis approach pp. 343-369

Rimas Norvaisa

Volume 4, issue 2, 2000

Efficient hedging: Cost versus shortfall risk pp. 117-146

Hans FÃllmer and Peter Leukert

Option pricing impact of alternative continuous-time dynamics for discretely-observed stock prices pp. 147-159

Damiano Brigo and Fabio Mercurio

Superreplication in stochastic volatility models and optimal stopping pp. 161-187

RØdiger Frey

Discrete time option pricing with flexible volatility estimation pp. 189-207

Christian Hafner and Wolfgang Härdle

Incompleteness of markets driven by a mixed diffusion pp. 209-222

N. Bellamy and M. Jeanblanc

Irreversible investment problems pp. 223-250

Anders Ûksendal

Volume 4, issue 1, 2000

Risk sensitive asset management with transaction costs pp. 1-33

Stanley R. Pliska and Tomasz R. Bielecki

Arbitrage-free discretization of lognormal forward Libor and swap rate models pp. 35-68

Xiaoliang Zhao and Paul Glasserman

Local time, coupling and the passport option pp. 69-80

Vicky Henderson and David Hobson

Convergence of discrete time option pricing models under stochastic interest rates pp. 81-93

Olivier Scaillet, Jean-Luc Prigent and J.-P. Lesne

Pricing double barrier options using Laplace transforms pp. 95-104

Antoon Pelsser

Comment on `Pricing double barrier options using Laplace transforms' by Antoon Pelsser pp. 105-107

C.H. Hui, P.H. Yuen and C.F. Lo

A correction note on the first passage time of an Ornstein-Uhlenbeck process to a boundary pp. 109-111

O. Renault, Olivier Scaillet and B. Leblanc

Volume 3, issue 4, 1999

A theory of bonus in life insurance pp. 373-390

Ragnar Norberg

Applications of Malliavin calculus to Monte Carlo methods in finance pp. 391-412

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

Minimal realizations of interest rate models pp. 413-432

Tomas BjÃrk and Andrea Gombani

On the relationship of the dynamic programming approach and the contingent claim approach to asset valuation pp. 433-449

Mihail Zervos, Bernhard Meister and Thomas S. Knudsen

On dynamic measures of risk pp. 451-482

Ioannis Karatzas and Jaksa Cvitanic

Invariant measures for the Musiela equation with deterministic diffusion term pp. 483-492

Tiziano Vargiolu

Volume 3, issue 3, 1999

Quantile hedging pp. 251-273

Hans FÃllmer and Peter Leukert

Beating a moving target: Optimal portfolio strategies for outperforming a stochastic benchmark pp. 275-294

Sid Browne

Exercise regions of American options on several assets pp. 295-322

Stephane Villeneuve

Convergence of strategies: An approach using Clark-Haussmann's formula pp. 323-344

Jan Pedersen

Bounds on prices of contingent claims in an intertemporal economy with proportional transaction costs and general preferences pp. 345-369

Thaleia Zariphopoulou (*), and George Constantinides

Volume 3, issue 2, 1999

Optimal trading of a security when there are taxes and transaction costs pp. 137-165

Abel Cadenillas and Stanley R. Pliska

A generalization of the mutual fund theorem pp. 167-185

Martin Kulldorff and Ajay Khanna

Exploding hedging errors for digital options pp. 187-201

Christoph Gallus

Complete markets with discontinuous security price pp. 203-214

Philip Protter and Michael Dritschel

A short term interest rate model pp. 215-225

Eckhard Platen

Optimal stopping for a diffusion with jumps pp. 227-236

Ernesto Mordecki

Hedging and liquidation under transaction costs in currency markets pp. 237-248

Y.M. Kabanov

Volume 3, issue 1, 1999

Stock market prices and long-range dependence pp. 1-13

Murad S. Taqqu, Vadim Teverovsky and Walter Willinger

Turnpike behavior of long-term investments pp. 15-34

Chi-fu Huang and Thaleia Zariphopoulou

A closed-form solution to the problem of super-replication under transaction costs pp. 35-54

HuyËn Pham, Nizar Touzi and Jaksa Cvitanic

Connecting discrete and continuous path-dependent options pp. 55-82

Paul Glasserman, S.G. Kou and Mark Broadie

Dynamic programming and mean-variance hedging pp. 83-110

HuyËn Pham and Jean Paul Laurent

Hedging contingent claims on semimartingales pp. 111-134

Robert Jarrow and Dilip B. Madan

Volume 2, issue 4, 1998

Robust hedging of the lookback option pp. 329-347

David G. Hobson

Path dependent options on yields in the affine term structure model pp. 349-367

Olivier Scaillet and Boris Leblanc

Option pricing with transaction costs and a nonlinear Black-Scholes equation pp. 369-397

Halil Mete Soner and Guy Barles

Lévy processes in finance: a remedy to the non-stationarity of continuous martingales pp. 399-408

Marc Yor and Boris Leblanc

Optimization of consumption with labor income pp. 409-440

Nicole El Karoui and Monique Jeanblanc-Picqué

Volume 2, issue 3, 1998

Hedging American contingent claims with constrained portfolios pp. 215-258

Ioannis Karatzas and S. G. Kou (*),

Local martingales and the fundamental asset pricing theorems in the discrete-time case pp. 259-273

J. Jacod and A.N. Shiryaev

Implied interest rate pricing models pp. 275-293

J.E. Kennedy and P.J. Hunt

Optimal time to invest when the price processes are geometric Brownian motions pp. 295-310

Yaozhong Hu and Bernt Øksendal

Functional convergence of Snell envelopes: Applications to American options approximations pp. 311-327

Maurizio Pratelli and Sabrina Mulinacci

Volume 2, issue 2, 1998

Portfolio optimisation with strictly positive transaction costs and impulse control pp. 85-114

Ralf Korn

Perfect option hedging for a large trader pp. 115-141

RØdiger Frey

Asymptotic arbitrage in large financial markets pp. 143-172

Y.M. Kabanov and Dmitry Kramkov

Mean-variance hedging for continuous processes: New proofs and examples pp. 173-198

Martin Schweizer, HuyËn Pham and Thorsten RheinlÄnder (*),

Volatility of the short rate in the rational lognormal model pp. 199-211

Lisa R. Goldberg

Volume 2, issue 1, 1997

Fast accurate binomial pricing pp. 3-17

L.C.G. Rogers and E.J. Stapleton

A note on the forward measure pp. 19-28

Mark Davis

Arbitrage bounds for the term structure of interest rates pp. 29-40

Stefan R. Jaschke

Processes of normal inverse Gaussian type pp. 41-68

Ole Barndorff-Nielsen

Optional decomposition and Lagrange multipliers pp. 69-81

H. Föllmer and Y.M. Kabanov