Finance and Stochastics

1996 - 2025

Current editor(s): M. Schweizer

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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

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

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

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

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

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

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

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

Continuous-time term structure models: Forward measure approach (*) pp. 261-291: Marek Rutkowski and Marek Musiela
LIBOR and swap market models and measures (*) pp. 293-330: Farshid Jamshidian
Option pricing in the presence of natural boundaries and a quadratic diffusion term (*) pp. 331-344: Sven Rady
A note on pricing interest rate derivatives when forward LIBOR rates are lognormal pp. 345-352: Beniamin Goldys

Weighted norm inequalities and hedging in incomplete markets pp. 181-227: Martin Schweizer, Christophe Stricker, Freddy Delbaen, Pascale Monat and Walter Schachermayer
An application of hidden Markov models to asset allocation problems (*) pp. 229-238: Robert J. Elliott and John van der Hoek
On Leland's strategy of option pricing with transactions costs pp. 239-250: Yuri M. Kabanov and Mher M. Safarian (*),
A note on the existence of unique equivalent martingale measures in a Markovian setting pp. 251-257: Tina Hviid Rydberg

From the bird's eye to the microscope: A survey of new stylized facts of the intra-daily foreign exchange markets (*) pp. 95-129: Richard Olsen, Ulrich A. Müller, Michel Dacorogna, Olivier V. Pictet, Rakhal R. Davé and Dominique M. Guillaume
On the range of options prices (*) pp. 131-140: Ernst Eberlein and Jean Jacod
Towards a general theory of bond markets (*) pp. 141-174: Giovanni Di Masi, Tomas Bjork, Wolfgang Runggaldier and Yuri Kabanov

On a general class of one-factor models for the term structure of interest rates (*) pp. 3-24: W.M. Schmidt
A hyperbolic diffusion model for stock prices (*) pp. 25-41: Bo Martin Bibby and Michael SÛrensen
Scenario Simulation: Theory and methodology (*) pp. 43-67: Farshid Jamshidian and Yu Zhu
Irreversible investment and industry equilibrium (*) pp. 69-89: Ioannis Karatzas and Fridrik Baldursson