Finance and Stochastics

1996 - 2025

Current editor(s): M. Schweizer

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Volume 10, issue 4, 2006

Spectral calibration of exponential Lévy models pp. 449-474

Denis Belomestny and Markus Reiss

American Parisian options pp. 475-506

Marc Chesney and Laurent Gauthier

Generic market models pp. 507-528

Raoul Pietersz and Marcel Regenmortel

Asymptotic behaviour of mean-quantile efficient portfolios pp. 529-551

Gordana Dmitrašinović-Vidović and Antony Ware

Optimal portfolio choice in the bond market pp. 553-573

Nathanael Ringer and Michael Tehranchi

A counter-example to an option pricing formula under transaction costs pp. 575-578

Alet Roux and Tomasz Zastawniak

A super-replication theorem in Kabanov’s model of transaction costs pp. 579-596

Luciano Campi and Walter Schachermayer

Volume 10, issue 3, 2006

A jump to default extended CEV model: an application of Bessel processes pp. 303-330

Peter Carr and Vadim Linetsky

Consistency among trading desks pp. 331-340

David Heath and Hyejin Ku

Bounds for Functions of Dependent Risks pp. 341-352

Paul Embrechts and Giovanni Puccetti

A generalization of the Hull and White formula with applications to option pricing approximation pp. 353-365

Elisa Alòs

Weighted V@R and its Properties pp. 367-393

A. Cherny

A risk-sensitive stochastic control approach to an optimal investment problem with partial information pp. 395-426

Hiroaki Hata and Yasunari Iida

Coherent and convex monetary risk measures for unbounded càdlàg processes pp. 427-448

Patrick Cheridito, Freddy Delbaen and Michael Kupper

Volume 10, issue 2, 2006

Asymmetric Information in Fads Models pp. 159-177

Paolo Guasoni

Asymmetric Information in Fads Models pp. 159-177

Paolo Guasoni

Consistent Variance Curve Models pp. 178-203

Hans Buehler

Consistent Variance Curve Models pp. 178-203

Hans Buehler

Optimal Early Retirement Near the Expiration of a Pension Plan pp. 204-221

E. Chevalier

Optimal Early Retirement Near the Expiration of a Pension Plan pp. 204-221

E. Chevalier

Comparison of Option Prices in Semimartingale Models pp. 222-249

Jan Bergenthum and Ludger Rüschendorf

Comparison of Option Prices in Semimartingale Models pp. 222-249

Jan Bergenthum and Ludger Rüschendorf

Option Pricing for Pure Jump Processes with Markov Switching Compensators pp. 250-275

Robert J. Elliott and Carlton-James U. Osakwe

Option Pricing for Pure Jump Processes with Markov Switching Compensators pp. 250-275

Robert Elliott and Carlton-James Osakwe

No-arbitrage in Discrete-time Markets with Proportional Transaction Costs and General Information structure pp. 276-297

Bruno Bouchard

No-arbitrage in Discrete-time Markets with Proportional Transaction Costs and General Information structure pp. 276-297

Bruno Bouchard

Call Completeness Implies Completeness in the n-period Model of a Financial Market pp. 298-301

Lothar Rogge

Call Completeness Implies Completeness in the n-period Model of a Financial Market pp. 298-301

Lothar Rogge

Volume 10, issue 1, 2006

An exact analytical solution for discrete barrier options pp. 1-26

Gianluca Fusai, I. Abrahams and Carlo Sgarra

Iterative construction of the optimal Bermudan stopping time pp. 27-49

Anastasia Kolodko and John Schoenmakers

Generalized deviations in risk analysis pp. 51-74

R. Rockafellar, Stan Uryasev and Michael Zabarankin

Utility maximization and risk minimization in life and pension insurance pp. 75-97

Peter Nielsen

Financial equilibria in the semimartingale setting: Complete markets and markets with withdrawal constraints pp. 99-119

Gordan Žitković

Optimal portfolio of low liquid assets with a log-utility function pp. 121-145

Koichi Matsumoto

Utility maximization under increasing risk aversion in one-period models pp. 147-158

Patrick Cheridito and Christopher Summer

Volume 9, issue 4, 2005

Pricing options on realized variance pp. 453-475

Peter Carr, Hélyette Geman, Dilip Madan and Marc Yor

Local martingales, bubbles and option prices pp. 477-492

Alexander Cox and David Hobson

Utility maximization in incomplete markets for unbounded processes pp. 493-517

Sara Biagini and Marco Frittelli

Anomalous PDEs in Markov chains: Domains of validity and numerical solutions pp. 519-537

Ragnar Norberg

Conditional and dynamic convex risk measures pp. 539-561

Kai Detlefsen and Giacomo Scandolo

The density process of the minimal entropy martingale measure in a stochastic volatility model with jumps pp. 563-575

Fred Benth and Thilo Meyer-Brandis

A note on the large homogeneous portfolio approximation with the Student-t copula pp. 577-584

Lutz Schloegl and Dominic O’Kane

Optimal investment with derivative securities pp. 585-595

Aytaç Ílhan, Mattias Jonsson and Ronnie Sircar

Robust representation of convex risk measures by probability measures pp. 597-608

Volker Krätschmer

Volume 9, issue 3, 2005

Integro-differential equations for option prices in exponential Lévy models pp. 299-325

Rama Cont and Ekaterina Voltchkova

The Lévy LIBOR model pp. 327-348

Ernst Eberlein and Fehmi Özkan

Representation formulas for Malliavin derivatives of diffusion processes pp. 349-367

Jerome Detemple, René Garcia and Marcel Rindisbacher

Coherent and convex monetary risk measures for unbounded càdlàg processes pp. 369-387

Patrick Cheridito, Freddy Delbaen and Michael Kupper

A note on invariant measures for HJM models pp. 389-398

Michael Tehranchi

An entropy approach to the Stein and Stein model with correlation pp. 399-413

Thorsten Rheinländer

Pricing contingent claims with credit risk: Asymptotic expansion approach pp. 415-427

Yoshifumi Muroi

Bond market completeness and attainable contingent claims pp. 429-452

Erik Taflin

Volume 9, issue 2, 2005

Robust utility maximization for complete and incomplete market models pp. 151-176

Anne Gundel

Satisfying convex risk limits by trading pp. 177-195

Kasper Larsen, Traian Pirvu, Steven Shreve and Reha Tütüncü

A note on Wick products and the fractional Black-Scholes model pp. 197-209

Tomas Bjork and Henrik Hult

A simple model for credit migration and spread curves pp. 211-231

Li Chen and Damir Filipović

On the pricing of forward starting options in Heston’s model on stochastic volatility pp. 233-250

Susanne Kruse and Ulrich Nögel

The Russian option: Finite horizon pp. 251-267

Goran Peskir

Inf-convolution of risk measures and optimal risk transfer pp. 269-298

Pauline Barrieu and Nicole El Karoui

Volume 9, issue 1, 2005

Diversity and relative arbitrage in equity markets pp. 1-27

Robert Fernholz, Ioannis Karatzas and Constantinos Kardaras

Credit default swap calibration and derivatives pricing with the SSRD stochastic intensity model pp. 29-42

Damiano Brigo and Aurélien Alfonsi

A chaotic approach to interest rate modelling pp. 43-65

Lane Hughston and Avraam Rafailidis

Lévy term structure models: No-arbitrage and completeness pp. 67-88

Ernst Eberlein, Jean Jacod and Sebastian Raible

Valuation of American options in the presence of event risk pp. 89-107

Alex Szimayer

Completion of a Lévy market by power-jump assets pp. 109-127

José Manuel Corcuera, David Nualart and Wim Schoutens

An extension of mean-variance hedging to the discontinuous case pp. 129-139

Takuji Arai

On option pricing in binomial market with transaction costs pp. 141-149

Alexander Melnikov and Yury Petrachenko