Content
January 2008, Volume 18, Issue 1
- 135-153 Solvable Affine Term Structure Models
by Martino Grasselli & Claudio Tebaldi - 155-170 How Close Are The Option Pricing Formulas Of Bachelier And Black–Merton–Scholes?
by Walter Schachermayer & Josef Teichmann - 171-183 A Convex Stochastic Optimization Problem Arising From Portfolio Selection
by Hanqing Jin & Zuo Quan Xu & Xun Yu Zhou - 185-197 Convexity Of The Exercise Boundary Of The American Put Option On A Zero Dividend Asset
by Xinfu Chen & John Chadam & Lishang Jiang & Weian Zheng
October 2007, Volume 17, Issue 4
- 477-485 A Note On The Effects Of Taxes On Optimal Investment
by Cristin Buescu & Abel Cadenillas & Stanley R. Pliska - 487-502 Callable Puts As Composite Exotic Options
by Christoph Kühn & Andreas E. Kyprianou - 503-539 The Eigenfunction Expansion Method In Multi‐Factor Quadratic Term Structure Models
by Nina Boyarchenko & Sergei Levendorskiǐ - 541-573 Intensity‐Based Valuation Of Residential Mortgages: An Analytically Tractable Model
by Vyacheslav Gorovoy & Vadim Linetsky - 575-598 Linear‐Quadratic Jump‐Diffusion Modeling
by Peng Cheng & Olivier Scaillet - 599-627 Dynamic Indifference Valuation Via Convex Risk Measures
by Susanne Klöppel & Martin Schweizer
July 2007, Volume 17, Issue 3
- 319-343 Portfolio Management With Constraints
by Phelim Boyle & Weidong Tian - 345-379 Large Deviations In Multifactor Portfolio Credit Risk
by Paul Glasserman & Wanmo Kang & Perwez Shahabuddin - 381-397 Properties Of Option Prices In Models With Jumps
by Erik Ekström & Johan Tysk - 399-426 A State‐Space Partitioning Method For Pricing High‐Dimensional American‐Style Options
by Xing Jin & Hwee Huat Tan & Junhua Sun - 427-447 Heath–Jarrow–Morton Interest Rate Dynamics And Approximately Consistent Forward Rate Curves
by Claudia La Chioma & Benedetto Piccoli - 449-476 An Old‐New Concept Of Convex Risk Measures: The Optimized Certainty Equivalent
by Aharon Ben‐Tal & Marc Teboulle
April 2007, Volume 17, Issue 2
- 155-173 Correlated Defaults In Intensity‐Based Models
by Fan Yu - 175-203 Optimal Continuous‐Time Hedging With Leptokurtic Returns
by Aleš Černý - 205-224 Portfolio Optimization With Jumps And Unobservable Intensity Process
by Nicole Bäuerle & Ulrich Rieder - 225-247 Duality In Optimal Investment And Consumption Problems With Market Frictions
by I. Klein & L. C. G. Rogers - 249-265 Exact Solution Of A Martingale Stochastic Volatility Option Problem And Its Empirical Evaluation
by Y. Maghsoodi - 267-283 On The Timing Option In A Futures Contract
by Francesca Biagini & Tomas Björk - 285-306 Diffusion Models For Exchange Rates In A Target Zone
by Kristian Stegenborg Larsen & Michael Sørensen - 307-317 Stock Loans
by Jianming Xia & Xun Yu Zhou
January 2007, Volume 17, Issue 1
- 1-14 The Range Of Traded Option Prices
by Mark H. A. Davis & David G. Hobson - 15-29 Modeling Liquidity Effects In Discrete Time
by Umut Çetin & L. C. G. Rogers - 31-57 Self‐Decomposability And Option Pricing
by Peter Carr & Hélyette Geman & Dilip B. Madan & Marc Yor - 59-79 Hedging Under Gamma Constraints By Optimal Stopping And Face‐Lifting
by H. Mete Soner & Nizar Touzi - 81-109 Optimal Dividend Policy With Mean‐Reverting Cash Reservoir
by Abel Cadenillas & Sudipto Sarkar & Fernando Zapatero - 111-141 Theory And Calibration Of Swap Market Models
by S. Galluccio & J.‐M. Ly & Z. Huang & O. Scaillet - 143-153 Monotonicity Properties Of Optimal Investment Strategies For Log‐Brownian Asset Prices
by Christer Borell
October 2006, Volume 16, Issue 4
- 589-612 Risk Measures And Capital Requirements For Processes
by Marco Frittelli & Giacomo Scandolo - 613-633 A Multinomial Approximation For American Option Prices In Lévy Process Models
by Ross A. Maller & David H. Solomon & Alex Szimayer - 635-645 Lifting Quadratic Term Structure Models To Infinite Dimension
by Jirô Akahori & Keisuke Hara - 647-671 Asset Allocation And Annuity‐Purchase Strategies To Minimize The Probability Of Financial Ruin
by Moshe A. Milevsky & Kristen S. Moore & Virginia R. Young - 673-694 Pricing Swaptions And Coupon Bond Options In Affine Term Structure Models
by David F. Schrager & Antoon A. J. Pelsser
July 2006, Volume 16, Issue 3
- 469-494 Pricing A Class Of Exotic Options Via Moments And Sdp Relaxations
by J. B. Lasserre & T. Prieto‐Rumeau & M. Zervos - 495-517 Hedging With Energy
by Francesco Corielli - 519-547 Model Uncertainty And Its Impact On The Pricing Of Derivative Instruments
by Rama Cont - 549-568 NEWS‐GENERATED DEPENDENCE AND OPTIMAL PORTFOLIOS FOR n STOCKS IN A MARKET OF BARNDORFF‐NIELSEN AND SHEPHARD TYPE
by Carl Lindberg - 569-582 No Arbitrage Under Transaction Costs, With Fractional Brownian Motion And Beyond
by Paolo Guasoni - 583-588 A Comment On Market Free Lunch And Free Lunch
by Irene Klein
April 2006, Volume 16, Issue 2
- 237-254 Valuation Of Floating Range Notes In Lévy Term‐Structure Models
by Ernst Eberlein & Wolfgang Kluge - 255-282 Pricing Equity Derivatives Subject To Bankruptcy
by Vadim Linetsky - 283-299 Portfolio Optimization With Downside Constraints
by Peter Lakner & Lan Ma Nygren - 301-335 Multidimensional Portfolio Optimization With Proportional Transaction Costs
by Kumar Muthuraman & Sunil Kumar - 337-357 Nonparametric Kernel‐Based Sequential Investment Strategies
by László Györfi & Gábor Lugosi & Frederic Udina - 359-385 Optimal Static–Dynamic Hedges For Barrier Options
by Aytaç İlhan & Ronnie Sircar - 387-417 Portfolio Insurance And Volatility Regime Switching
by Joel M. Vanden - 419-441 Distribution‐Invariant Risk Measures, Information, And Dynamic Consistency
by Stefan Weber - 443-467 Disutility, Optimal Retirement, And Portfolio Selection
by Kyoung Jin Choi & Gyoocheol Shim
January 2006, Volume 16, Issue 1
- 1-1 Preface
by Xun Yu Zhou & Shuguang Zhang - 1-19 More On Minimal Entropy–Hellinger Martingale Measure
by Tahir Choulli & Christophe Stricker - 21-52 Approximating Garch‐Jump Models, Jump‐Diffusion Processes, And Option Pricing
by Jin‐Chuan Duan & Peter Ritchken & Zhiqiang Sun - 53-61 A Note On Semivariance
by Hanqing Jin & Harry Markowitz & Xun Yu Zhou - 63-82 Characterization Of Optimal Stopping Regions Of American Asian And Lookback Options
by Min Dai & Yue Kuen Kwok - 83-101 Optimal Lot Solution To Cardinality Constrained Mean–Variance Formulation For Portfolio Selection
by Duan Li & Xiaoling Sun & Jun Wang - 103-117 Constrained Optimization With Respect To Stochastic Dominance: Application To Portfolio Insurance
by Nicole El Karoui & Asma Meziou - 119-129 A Universal Optimal Consumption Rate For An Insider
by Bernt Øksendal - 131-151 A Benchmark Approach To Finance
by Eckhard Platen - 153-179 Utility Maximization In An Insider Influenced Market
by Arturo Kohatsu‐Higa & Agnès Sulem - 181-202 Classical And Impulse Stochastic Control For The Optimization Of The Dividend And Risk Policies Of An Insurance Firm
by Abel Cadenillas & Tahir Choulli & Michael Taksar & Lei Zhang - 203-216 Markowitz'S Portfolio Optimization In An Incomplete Market
by Jianming Xia & Jia‐An Yan - 217-236 Stock Liquidation Via Stochastic Approximation Using Nasdaq Daily And Intra‐Day Data
by G. Yin & Q. Zhang & F. Liu & R. H. Liu & Y. Cheng
October 2005, Volume 15, Issue 4
- 539-568 Closed‐Form Solutions For Optimal Portfolio Selection With Stochastic Interest Rate And Investment Constraints
by Jér^me Detemple & Marcel Rindisbacher - 569-587 Options And Efficiency In Multidate Security Markets
by Alexandre M. Baptista - 589-612 Coherent Acceptability Measures In Multiperiod Models
by Berend Roorda & J. M. Schumacher & Jacob Engwerda - 613-634 A Representation Result For Concave Schur Concave Functions
by Rose‐Anne Dana - 635-647 Lattice Option Pricing By Multidimensional Interpolation
by Vladislav Kargin - 649-651 A Short Note On Second‐Order Stochastic Dominance Preserving Coherent Risk Measures
by Johannes Leitner
July 2005, Volume 15, Issue 3
- 393-424 Pseudodiffusions And Quadratic Term Structure Models
by Sergei Levendorskiǐ - 425-437 An Axiomatic Approach To Capital Allocation
by Michael Kalkbrener - 439-463 Critical Price Near Maturity For An American Option On A Dividend‐Paying Stock In A Local Volatility Model
by Etienne Chevalier - 465-490 Minimal Entropy–Hellinger Martingale Measure In Incomplete Markets
by Tahir Choulli & Christophe Stricker - 491-531 Laguerre Series In Contingent Claim Valuation, With Applications To Asian Options
by Michael Schröder - 533-538 Mean–Variance Portfolio Choice: Quadratic Partial Hedging
by Jianming Xia
April 2005, Volume 15, Issue 2
- 203-212 On Utility‐Based Pricing Of Contingent Claims In Incomplete Markets
by Julien Hugonnier & Dmitry Kramkov & Walter Schachermayer - 213-244 Continuous‐Time Mean‐Variance Portfolio Selection With Bankruptcy Prohibition
by Tomasz R. Bielecki & Hanqing Jin & Stanley R. Pliska & Xun Yu Zhou - 245-259 A New Method Of Pricing Lookback Options
by Peter Buchen & Otto Konstandatos - 261-308 Optimal Reinsurance And Dividend Distribution Policies In The Cramér‐Lundberg Model
by Pablo Azcue & Nora Muler - 309-343 Evaluating Hedging Errors: An Asymptotic Approach
by Takaki Hayashi & Per A. Mykland - 345-357 On The Error In The Monte Carlo Pricing Of Some Familiar European Path‐Dependent Options
by Per Hörfelt - 359-371 Universal Investment In Markets With Transaction Costs
by Garud Iyengar - 373-391 The Black‐Scholes Equation Revisited: Asymptotic Expansions And Singular Perturbations
by Martin Widdicks & Peter W. Duck & Ari D. Andricopoulos & David P. Newton
January 2005, Volume 15, Issue 1
- 1-26 Default Risk And Diversification: Theory And Empirical Implications
by Robert A. Jarrow & David Lando & Fan Yu - 27-47 Stochastic Hyperbolic Dynamics For Infinite‐Dimensional Forward Rates And Option Pricing
by Shin Ichi Aihara & Arunabha Bagchi - 49-59 Analytical Comparisons Of Option Prices In Stochastic Volatility Models
by Vicky Henderson - 61-97 Mean Variance Preferences, Expectations Formation, And The Dynamics Of Random Asset Prices
by Volker Böhm & Carl Chiarella - 99-117 Existence Of An Equilibrium With Discontinuous Prices, Asymmetric Information, And Nontrivial Initial Σ‐Fields
by Caroline Hillairet - 119-168 A Quantization Tree Method For Pricing And Hedging Multidimensional American Options
by Vlad Bally & Gilles Pagès & Jacques Printems - 169-181 On The American Option Problem
by Goran Peskir - 183-189 A Note On Arbitrage And Closed Convex Cones
by Walter Schachermayer - 191-201 A Note On Nonaffine Solutions Of Term Structure Equations With Applications To Power Exchanges
by Josef Teichmann
October 2004, Volume 14, Issue 4
- 487-513 The Squared Ornstein‐Uhlenbeck Market
by J. Aquilina & L. C. G. Rogers - 515-536 Quadratic Term Structure Models For Risk‐Free And Defaultable Rates
by Li Chen & Damir Filipović & H. Vincent Poor - 537-556 STOCHASTIC VOLATILITY MODELS, CORRELATION, AND THE q‐OPTIMAL MEASURE
by David Hobson - 557-583 Monte Carlo Methods For The Valuation Of Multiple‐Exercise Options
by N. Meinshausen & B. M. Hambly - 585-604 Vasiček Beyond The Normal
by Ragnar Norberg - 605-618 Dynamic Minimization of Worst Conditional Expectation of Shortfall
by Jun Sekine
July 2004, Volume 14, Issue 3
- 317-350 A General Framework For Pricing Credit Risk
by Alain BÉlanger & Steven E. Shreve & Dennis Wong - 351-357 Some Remarks On Arbitrage And Preferences In Securities Market Models
by Marco Frittelli - 359-381 Pricing In An Incomplete Market With An Affine Term Structure
by Virginia R. Young - 383-401 Optimal Shouting Policies Of Options With Strike Reset Right
by Min Dai & Yue Kuen Kwok & Lixin Wu - 403-414 On The Stability Of Continuous‐Time Portfolio Problems With Stochastic Opportunity Set
by Ralf Korn & Holger Kraft - 415-444 A Family Of Term‐Structure Models For Long‐Term Risk Management And Derivative Pricing
by Andrew J. G. Cairns - 445-467 Quanto Lookback Options
by Min Dai & Hoi Ying Wong & Yue Kuen Kwok - 469-480 The Moment Formula For Implied Volatility At Extreme Strikes
by Roger W. Lee - 481-485 Choquet Insurance Pricing: A Caveat
by Erio Castagnoli & Fabio Maccheroni & Massimo Marinacci
April 2004, Volume 14, Issue 2
- 141-161 Fundamental Theorems of Asset Pricing for Good Deal Bounds
by Jeremy Staum - 163-172 Pareto Equilibria with coherent measures of risk
by David Heath & Hyejin Ku - 173-200 Stochastic Volatility Corrections for Interest Rate Derivatives
by Peter Cotton & Jean‐Pierre Fouque & George Papanicolaou & Ronnie Sircar - 201-221 On The Fundamental Theorem Of Asset Pricing: Random Constraints And Bang‐Bang No‐Arbitrage Criteria
by Igor V. Evstigneev & Klaus Schürger & Michael I. Taksar - 223-248 Valuation by Simulation of Contingent Claims with Multiple Early Exercise Opportunities
by Alfredo Ibáñez - 249-269 Exercise Regions And Efficient Valuation Of American Lookback Options
by Tze Leung Lai & Tiong Wee Lim - 271-293 Asymptotics of the price oscillations of a European call option in a tree model
by Francine Diener & MARC Diener - 295-315 A note on completeness in large financial markets
by Marzia De Donno
January 2004, Volume 14, Issue 1
- 1-18 Hedging and Portfolio Optimization in Financial Markets with a Large Trader
by Peter Bank & Dietmar Baum - 19-48 The Fundamental Theorem of Asset Pricing under Proportional Transaction Costs in Finite Discrete Time
by Walter Schachermayer - 49-78 Black's Model of Interest Rates as Options, Eigenfunction Expansions and Japanese Interest Rates
by Viatcheslav Gorovoi & Vadim Linetsky - 79-97 MultiFactor Valuation of Floating Range Notes
by João Pedro Vidal Nunes - 99-113 Approximation of Optimal Reinsurance and Dividend Payout Policies
by Nicole Bäuerle - 115-129 Nonparametric Estimation and Sensitivity Analysis of Expected Shortfall
by O. Scaillet - 131-139 Should Stochastic Volatility Matter to the Cost‐Constrained Investor?
by Scott M. Weiner
October 2003, Volume 13, Issue 4
- 445-466 Option Pricing in Stochastic Volatility Models of the Ornstein‐Uhlenbeck type
by Elisa Nicolato & Emmanouil Venardos - 467-480 Nonconvergence in the Variation of the Hedging Strategy of a European Call Option
by R. Th. Peters - 481-501 A Dynamic Investment Model with Control on the Portfolio's Worst Case Outcome
by Yonggan Zhao & Ulrich Haussmann & William T. Ziemba - 503-524 Pricing Discrete European Barrier Options Using Lattice Random Walks
by Per Hörfelt
July 2003, Volume 13, Issue 3
- 345-382 Stochastic Volatility for Lévy Processes
by Peter Carr & Hélyette Geman & Dilip B. Madan & Marc Yor - 383-410 The Term Structure of Simple Forward Rates with Jump Risk
by Paul Glasserman & S. G. Kou - 411-444 A Partially Observed Model for Micromovement of Asset Prices with Bayes Estimation via Filtering
by Yong Zeng
April 2003, Volume 13, Issue 2
- 215-244 Merton's portfolio optimization problem in a Black and Scholes market with non‐Gaussian stochastic volatility of Ornstein‐Uhlenbeck type
by Fred Espen Benth & Kenneth Hvistendahl Karlsen & Kristin Reikvam - 245-276 Efficient Universal Portfolios for Past‐Dependent Target Classes
by Jason E. Cross & Andrew R. Barron - 277-300 The Defaultable Lévy Term Structure: Ratings and Restructuring
by Ernst Eberlein & Fehmi Özkan - 301-330 A General Fractional White Noise Theory And Applications To Finance
by Robert J. Elliott & John Van Der Hoek - 331-344 An optimal Strategy for Hedging with Short‐Term Futures Contracts
by G. Larcher & G. Leobacher
January 2003, Volume 13, Issue 1
- 1-1 Preface
by D. Lamberton & B. Lapeyre & A. Sulem - 1-16 First‐Order Schemes in the Numerical Quantization Method
by V. Bally & G. Pagès & J. Printems - 17-35 The Price‐Volatility Feedback Rate: An Implementable Mathematical Indicator of Market Stability
by Emilio Barucci & Paul Malliavin & Maria Elvira Mancino & Roberto Renò & Anton Thalmaier - 37-53 Optimal Malliavin Weighting Function for the Computation of the Greeks
by Eric Benhamou - 55-72 Explicit Representation of the Minimal Variance Portfolio in Markets Driven by Lévy Processes
by Fred Espen Benth & Giulia Di Nunno & Arne Løkka & Bernt Øksendal & Frank Proske - 73-84 Hedging Options: The Malliavin Calculus Approach versus the Δ‐Hedging Approach
by Hans‐Peter Bermin - 85-97 Local Vega Index and Variance Reduction Methods
by Hans‐Peter Bermin & Arturo Kohatsu‐Higa & Miquel Montero - 99-113 Monte Carlo Evaluation of Greeks for Multidimensional Barrier and Lookback Options
by Guillaume Bernis & Emmanuel Gobet & Arturo Kohatsu‐Higa - 115-134 Error Calculus and Path Sensitivity in Financial Models
by Nicolas Bouleau - 135-151 Efficient Computation of Hedging Portfolios for Options with Discontinuous Payoffs
by Jakša Cvitanić & Jin Ma & Jianfeng Zhang - 153-169 Malliavin's Calculus in Insider Models: Additional Utility and Free Lunches
by Peter Imkeller - 171-185 An Anticipating Calculus Approach to the Utility Maximization of an Insider
by Jorge A. León & Reyla Navarro & David Nualart - 187-199 Quantiles of the Euler Scheme for Diffusion Processes and Financial Applications
by Denis Talay & Ziyu Zheng - 201-214 Analysis of Error with Malliavin Calculus: Application to Hedging
by E. Temam
October 2002, Volume 12, Issue 4
- 287-298 A Diffusion Model For Electricity Prices
by M. T. Barlow - 299-328 Passport Options
by Freddy Delbaen & Marc Yor - 329-339 Market Selection Of Financial Trading Strategies: Global Stability
by Igor V. Evstigneev & Thorsten Hens & Klaus Reiner Schenk‐Hoppé - 341-349 Separable Term Structures And The Maximal Degree Problem
by Damir Filipović - 351-373 Valuation Of Claims On Nontraded Assets Using Utility Maximization
by Vicky Henderson - 375-409 Partial Hedging In A Stochastic Volatility Environment
by Mattias Jonsson & K. Ronnie Sircar - 411-425 Monotonicity And Convexity Of Option Prices Revisited
by Masaaki Kijima - 427-446 Pricing Coupon‐Bond Options And Swaptions In Affine Term Structure Models
by Kenneth J. Singleton & Len Umantsev - 447-451 A General Proof Of The Dybvig‐Ingersoll‐Ross Theorem: Long Forward Rates Can Never Fall
by Friedrich Hubalek & Irene Klein & Josef Teichmayn
July 2002, Volume 12, Issue 3
- 173-198 Equilibrium Pricing in the Presence of Cumulative Dividends Following a Diffusion
by Knut K. Aase - 199-218 A General Approach to Hedging Options: Applications to Barrier and Partial Barrier Options
by Hans‐Peter Bermin - 219-237 American options on assets with dividends near expiry
by J. D. Evans & R. Kuske & Joseph B. Keller - 239-269 Portfolio Value‐at‐Risk with Heavy‐Tailed Risk Factors
by Paul Glasserman & Philip Heidelberger & Perwez Shahabuddin - 271-286 Monte Carlo valuation of American options
by L. C. G. Rogers
April 2002, Volume 12, Issue 2
- 99-123 Exponential Hedging and Entropic Penalties
by Freddy Delbaen & Peter Grandits & Thorsten Rheinländer & Dominick Samperi & Martin Schweizer & Christophe Stricker - 125-134 On the optimal portfolio for the exponential utility maximization: remarks to the six‐author paper
by Yuri M. Kabanov & Christophe Stricker - 135-142 Put Option Premiums and Coherent Risk Measures
by Robert Jarrow - 143-154 The Use of Archimedean Copulas to Model Portfolio Allocations
by David A. Hennessy & Harvey E. Lapan - 155-172 Optimal Financing of a Corporation Subject To Random Returns
by Suresh P. Sethi & Michael I. Taksar
January 2002, Volume 12, Issue 1
- 1-21 On the Existence of Minimax Martingale Measures
by Fabio Bellini & Marco Frittelli - 23-43 Principal Component Value at Risk
by R. Brummelhuis & A. Córdoba & M. Quintanilla & L. Seco - 45-61 Hedging under Transaction Costs in Currency Markets: a Discrete‐Time Model
by Freddy Delbaen & Yuri M. Kabanov & Esko Valkeila - 63-70 Hedging under Transaction Costs in Currency Markets: a Continuous‐Time Model
by Yuri M. Kabanov & Günter Last - 71-87 Calibrating a Diffusion Pricing Model with Uncertain Volatility: Regularization and Stability
by Dominick Samperi - 89-97 Dynamic Arbitrage‐Free Asset Pricing with Proportional Transaction Costs
by Shunming Zhang & Chunlei Xu & Xiaotie Deng
October 2001, Volume 11, Issue 4
- 365-384 Optimal Portfolios with Bounded Capital at Risk
by Susanne Emmer & Claudia Klüppelberg & Ralf Korn - 385-413 A Comparison of Two Quadratic Approaches to Hedging in Incomplete Markets
by David Heath & Eckhard Platen & Martin Schweizer - 415-445 Return Dynamics when Persistence is Unobservable
by Timothy C. Johnson - 447-474 The Liquidity Discount
by Ajay Subramanian & Robert A. Jarrow - 475-494 A Generalized Cameron–Martin Formula with Applications to Partially Observed Dynamic Portfolio Optimization
by Gady Zohar
July 2001, Volume 11, Issue 3
- 267-284 Pricing of New Securities in an Incomplete Market: the Catch 22 of No‐Arbitrage Pricing
by Phelim Boyle & Tan Wang - 285-314 Robust Hedging of Barrier Options
by Haydyn Brown & David Hobson & L. C. G. Rogers - 315-329 No Arbitrage in Discrete Time Under Portfolio Constraints
by Laurence Carassus & Huye^n Pham & Nizar Touzi - 331-346 Bounds on Derivative Prices in an Intertemporal Setting with Proportional Transaction Costs and Multiple Securities
by George M. Constantinides & Thaleia Zariphopoulou - 347-355 Leland's Approach to Option Pricing: The Evolution of a Discontinuity
by Peter Grandits & Werner Schachinger - 357-363 A Note on the Boyle–Vorst Discrete‐Time Option Pricing Model with Transactions Costs
by Ken Palmer
April 2001, Volume 11, Issue 2
- 153-188 Dynamic Optimization of Long‐Term Growth Rate for a Portfolio with Transaction Costs and Logarithmic Utility
by Marianne Akian & Agnès Sulem & Michael I. Taksar - 189-203 MSM Estimators of European Options on Assets with Jumps
by João Amaro de Matos - 205-243 On the Existence of Finite‐Dimensional Realizations for Nonlinear Forward Rate Models
by Tomas Björk & Lars Svensson - 245-265 Finding Generators for Markov Chains via Empirical Transition Matrices, with Applications to Credit Ratings
by Robert B. Israel & Jeffrey S. Rosenthal & Jason Z. Wei
January 2001, Volume 11, Issue 1
- 1-31 On the Existence of Linear Equilibria in Models of Market Making
by Mark Bagnoli & S. Viswanathan & Craig Holden - 33-77 Randomized Stopping Times and American Option Pricing with Transaction Costs
by Prasad Chalasani & Somesh Jha - 79-96 Time Changes for Lévy Processes
by Hélyette Geman & Dilip B. Madan & Marc Yor - 97-115 Analytical Valuation of American Options on Jump‐Diffusion Processes
by Chandrasekhar Reddy Gukhal - 117-151 The Asymptotic Expansion Approach to the Valuation of Interest Rate Contingent Claims
by Naoto Kunitomo & Akihiko Takahashi
October 2000, Volume 10, Issue 4
- 407-428 Laguerre Series for Asian and Other Options
by Daniel Dufresne - 429-442 Generic Existence and Robust Nonexistence of Numéraires in Finite Dimensional Securities Markets
by Bruno Girotto & Fulvio Ortu - 443-458 A Fundamental Theorem of Asset Pricing for Large Financial Markets
by Irene Klein - 459-459 Correction: Pricing Options with Curved Boundaries (Mathematical Finance 1992, 2, 275–297)
by Naoto Kunitomo & Masayuki Ikeda