Finance and Stochastics

1996 - 2025

Current editor(s): M. Schweizer

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Volume 14, issue 4, 2010

Pricing credit derivatives under incomplete information: a nonlinear-filtering approach pp. 495-526

Rüdiger Frey and Wolfgang Runggaldier

On Kolmogorov equations for anisotropic multivariate Lévy processes pp. 527-567

N. Reich, C. Schwab and C. Winter

A global consistency result for the two-dimensional Pareto distribution in the presence of misspecified inflation pp. 569-591

Peter Grandits and Grigory Temnov

On optimal portfolio diversification with respect to extreme risks pp. 593-623

Georg Mainik and Ludger Rüschendorf

Mean square error for the Leland–Lott hedging strategy: convex pay-offs pp. 625-667

Emmanuel Denis and Yuri Kabanov

Volume 14, issue 3, 2010

Option hedging for small investors under liquidity costs pp. 317-341

Umut Çetin, H. Soner and Nizar Touzi

Asset allocation and liquidity breakdowns: what if your broker does not answer the phone? pp. 343-374

Peter Diesinger, Holger Kraft and Frank Seifried

On measuring nonlinear risk with scarce observations pp. 375-395

Alexander Cherny, Raphael Douady and Stanislav Molchanov

Asymptotic distribution of law-invariant risk functionals pp. 397-418

Georg Pflug and Nancy Wozabal

Exponential utility maximization under partial information pp. 419-448

Michael Mania and Marina Santacroce

Representation of the penalty term of dynamic concave utilities pp. 449-472

Freddy Delbaen, Shige Peng and Emanuela Rosazza Gianin

Perturbed Brownian motion and its application to Parisian option pricing pp. 473-494

Angelos Dassios and Shanle Wu

Volume 14, issue 2, 2010

From implied to spot volatilities pp. 157-177

Valdo Durrleman

Hedging variance options on continuous semimartingales pp. 179-207

Peter Carr and Roger Lee

Central limit theorem for the realized volatility based on tick time sampling pp. 209-233

Masaaki Fukasawa

Can the implied volatility surface move by parallel shifts? pp. 235-248

L. Rogers and M. Tehranchi

Zero-intelligence realized variance estimation pp. 249-283

Jim Gatheral and Roel Oomen

Risk-neutral compatibility with option prices pp. 285-315

Jean Jacod and Philip Protter

Volume 14, issue 1, 2010

A high-low-based omnibus test for symmetry, the Lévy property, and other hypotheses on intraday returns pp. 1-12

Stefan Klößner

Local time and the pricing of time-dependent barrier options pp. 13-48

Aleksandar Mijatović

Nonparametric estimation for a stochastic volatility model pp. 49-80

F. Comte, V. Genon-Catalot and Y. Rozenholc

A generalization of Panjer’s recursion and numerically stable risk aggregation pp. 81-128

Stefan Gerhold, Uwe Schmock and Richard Warnung

Comparison results for stochastic volatility models via coupling pp. 129-152

David Hobson

Valuation of default-sensitive claims under imperfect information (Publisher’s Erratum) pp. 153-155

Delia Coculescu, Hélyette Geman and Monique Jeanblanc

Volume 13, issue 4, 2009

Numerical methods for Lévy processes pp. 471-500

N. Hilber, N. Reich, C. Schwab and C. Winter

Computing exponential moments of the discrete maximum of a Lévy process and lookback options pp. 501-529

Liming Feng and Vadim Linetsky

Fast and accurate pricing of barrier options under Lévy processes pp. 531-562

Oleg Kudryavtsev and Sergei Levendorskiǐ

Smart expansion and fast calibration for jump diffusions pp. 563-589

Eric Benhamou, E. Gobet and M. Miri

MDP algorithms for portfolio optimization problems in pure jump markets pp. 591-611

Nicole Bäuerle and Ulrich Rieder

Interacting particle systems for the computation of rare credit portfolio losses pp. 613-633

René Carmona, Jean-Pierre Fouque and Douglas Vestal

Volume 13, issue 3, 2009

Editorial pp. 305-306

Ralf Korn and Martin Schweizer

Quasi-Monte Carlo methods with applications in finance pp. 307-349

Pierre L’Ecuyer

Adjoint-based Monte Carlo calibration of financial market models pp. 351-379

C. Kaebe, J. Maruhn and E. Sachs

On irregular functionals of SDEs and the Euler scheme pp. 381-401

Rainer Avikainen

Analysing multi-level Monte Carlo for options with non-globally Lipschitz payoff pp. 403-413

Michael Giles, Desmond Higham and Xuerong Mao

A new higher-order weak approximation scheme for stochastic differential equations and the Runge–Kutta method pp. 415-443

Mariko Ninomiya and Syoiti Ninomiya

Basket CDS pricing with interacting intensities pp. 445-469

Harry Zheng and Lishang Jiang

Volume 13, issue 2, 2009

Stein’s method and zero bias transformation for CDO tranche pricing pp. 151-180

N. El Karoui and Y. Jiao

Risk aversion and the dynamics of optimal liquidation strategies in illiquid markets pp. 181-204

Alexander Schied and Torsten Schöneborn

Double-sided Parisian option pricing pp. 205-238

J. Anderluh and J. Weide

Bias-correcting the realized range-based variance in the presence of market microstructure noise pp. 239-268

Kim Christensen, Mark Podolskij and Mathias Vetter

Pricing options under stochastic volatility: a power series approach pp. 269-303

Fabio Antonelli and Sergio Scarlatti

Volume 13, issue 1, 2009

Local volatility dynamic models pp. 1-48

René Carmona and Sergey Nadtochiy

In which financial markets do mutual fund theorems hold true? pp. 49-77

Walter Schachermayer, Mihai Sîrbu and Erik Taflin

Background filtrations and canonical loss processes for top-down models of portfolio credit risk pp. 79-103

Philippe Ehlers and Philipp Schönbucher

Hedging of American options under transaction costs pp. 105-119

D. Vallière, E. Denis and Y. Kabanov

Quadratic BSDEs driven by a continuous martingale and applications to the utility maximization problem pp. 121-150

Marie-Amélie Morlais

Volume 12, issue 4, 2008

Pricing by hedging and no-arbitrage beyond semimartingales pp. 441-468

Christian Bender, Tommi Sottinen and Esko Valkeila

Arbitrage-free market models for option prices: the multi-strike case pp. 469-505

Martin Schweizer and Johannes Wissel

Sensitivity estimates for portfolio credit derivatives using Monte Carlo pp. 507-540

Zhiyong Chen and Paul Glasserman

American and European options in multi-factor jump-diffusion models, near expiry pp. 541-560

Sergei Levendorskiǐ

The critical price for the American put in an exponential Lévy model pp. 561-581

Damien Lamberton and Mohammed Mikou

No arbitrage and closure results for trading cones with transaction costs pp. 583-600

Saul Jacka, Abdelkarem Berkaoui and Jon Warren

Volume 12, issue 3, 2008

In discrete time a local martingale is a martingale under an equivalent probability measure pp. 293-297

Yuri Kabanov

Optimal lifetime consumption and investment under a drawdown constraint pp. 299-330

Romuald Elie and Nizar Touzi

On perpetual American put valuation and first-passage in a regime-switching model with jumps pp. 331-355

Zhengjun Jiang and Martijn Pistorius

Consumption processes and positively homogeneous projection properties pp. 357-380

Tom Fischer

On q-optimal martingale measures in exponential Lévy models pp. 381-410

Christian Bender and Christina Niethammer

Universal bounds for asset prices in heterogeneous economies pp. 411-422

Semyon Malamud

Optimal capital and risk allocations for law- and cash-invariant convex functions pp. 423-439

Damir Filipović and Gregor Svindland

Volume 12, issue 2, 2008

Yield curve shapes and the asymptotic short rate distribution in affine one-factor models pp. 149-172

Martin Keller-Ressel and Thomas Steiner

Asymptotic arbitrage and numéraire portfolios in large financial markets pp. 173-194

Dmitry Rokhlin

Valuation of default-sensitive claims under imperfect information pp. 195-218

Delia Coculescu, Hélyette Geman and Monique Jeanblanc

Dynamic risk measures: Time consistency and risk measures from BMO martingales pp. 219-244

Jocelyne Bion-Nadal

Long run forward rates and long yields of bonds and options in heterogeneous equilibria pp. 245-264

Semyon Malamud

On the duality principle in option pricing: semimartingale setting pp. 265-292

Ernst Eberlein, Antonis Papapantoleon and Albert Shiryaev

Volume 12, issue 1, 2008

Optimal importance sampling with explicit formulas in continuous time pp. 1-19

Paolo Guasoni and Scott Robertson

Free boundary and optimal stopping problems for American Asian options pp. 21-41

Andrea Pascucci

The dynamics of strategic information flows in stock markets pp. 43-82

P. Seiler and B. Taub

Existence of Lévy term structure models pp. 83-115

Damir Filipović and Stefan Tappe

Convexity theory for the term structure equation pp. 117-147

Erik Ekström and Johan Tysk