Finance and Stochastics

1996 - 2025

Current editor(s): M. Schweizer

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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

Volume 11, issue 4, 2007

The numéraire portfolio in semimartingale financial models pp. 447-493

Ioannis Karatzas and Constantinos Kardaras

Efficient estimation of drift parameters in stochastic volatility models pp. 495-519

Arnaud Gloter

Stochastic flow approach to Dupire’s formula pp. 521-535

B. Jourdain

Pricing and hedging European options with discrete-time coherent risk pp. 537-569

Alexander Cherny

On the short-time behavior of the implied volatility for jump-diffusion models with stochastic volatility pp. 571-589

Elisa Alòs, Jorge León and Josep Vives

Insider trading in an equilibrium model with default: a passage from reduced-form to structural modelling pp. 591-602

Luciano Campi and Umut Çetin

Volume 11, issue 3, 2007

Small-time ruin for a financial process modulated by a Harris recurrent Markov chain pp. 299-322

Jeffrey Collamore and Andrea Höing

An ODE approach for the expected discounted penalty at ruin in a jump-diffusion model pp. 323-355

Yu-Ting Chen, Cheng Few Lee and Yuan-Chung Sheu

Optimal exercise of executive stock options pp. 357-372

L. Rogers and Jose Scheinkman

Multivariate risks and depth-trimmed regions pp. 373-397

Ignacio Cascos and Ilya Molchanov

Minimal Hellinger martingale measures of order q pp. 399-427

Tahir Choulli, Christophe Stricker and Jia Li

Exponential moments for HJM models with jumps pp. 429-445

Jacek Jakubowski and Jerzy Zabczyk

Volume 11, issue 2, 2007

Additive and multiplicative duals for American option pricing pp. 153-179

Nan Chen and Paul Glasserman

Negative Libor rates in the swap market model pp. 181-193

Mark Davis and Vicente Mataix-Pastor

Information reduction via level crossings in a credit risk model pp. 195-212

Robert Jarrow, Philip Protter and A. Sezer

Correspondence between lifetime minimum wealth and utility of consumption pp. 213-236

Erhan Bayraktar and Virginia Young

No-arbitrage criteria for financial markets with transaction costs and incomplete information pp. 237-251

Dimitri De Vallière, Yuri Kabanov and Christophe Stricker

The supermartingale property of the optimal wealth process for general semimartingales pp. 253-266

Sara Biagini and Marco Frittelli

Optimal risk sharing with non-monotone monetary functionals pp. 267-289

Beatrice Acciaio

Dilatation monotone risk measures are law invariant pp. 291-298

Alexander Cherny and Pavel Grigoriev

Volume 11, issue 1, 2007

Editorial pp. 1-2

Martin Schweizer

Optimal dividend policy and growth option pp. 3-27

Jean-Paul Décamps and Stephane Villeneuve

Moment explosions in stochastic volatility models pp. 29-50

Leif Andersen and Vladimir Piterbarg

A model of optimal portfolio selection under liquidity risk and price impact pp. 51-90

Vathana Ly Vath, Mohamed Mnif and Huyên Pham

Smooth convergence in the binomial model pp. 91-105

Lo-Bin Chang and Ken Palmer

Optimal investments for risk- and ambiguity-averse preferences: a duality approach pp. 107-129

Alexander Schied

Principles of smooth and continuous fit in the determination of endogenous bankruptcy levels pp. 131-152

A. Kyprianou and B. Surya