Finance and Stochastics

1996 - 2025

Current editor(s): M. Schweizer

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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