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Content
October 2000, Volume 10, Issue 4
July 2000, Volume 10, Issue 3
- 339-353 Louis Bachelier on the Centenary of Théorie de la Spéculation
by Jean‐Michel Courtault & Yuri Kabanov & Bernard Bru & Pierre Crépel & Isabelle Lebon & Arnaud Le Marchand - 355-385 A Martingale Characterization of Consumption Choices and Hedging Costs with Margin Requirements
by Domenico Cuoco & Hong Liu - 387-406 Optimal Dynamic Portfolio Selection: Multiperiod Mean‐Variance Formulation
by Duan Li & Wan‐Lung Ng
April 2000, Volume 10, Issue 2
- 89-108 On the Pricing of Contingent Claims with Frictions
by A. Bensoussan & H. Julien - 109-123 Mean‐Variance Hedging for Stochastic Volatility Models
by Francesca Biagini & Paolo Guasoni & Maurizio Pratelli - 125-139 Multiple Ratings Model of Defaultable Term Structure
by Tomasz R. Bielecki & Marek Rutkowski - 141-156 Classical and Impulse Stochastic Control of the Exchange Rate Using Interest Rates and Reserves
by Abel Cadenillas & Fernando Zapatero - 157-177 Pricing American Options Fitting the Smile
by M. A. H. Dempster & D. G. Richards - 179-195 On Models of Default Risk
by R. J. Elliott & M. Jeanblanc & M. Yor - 197-213 Risk‐Sensitive Control and an Optimal Investment Model
by W. H. Fleming & S. J. Sheu - 215-225 Risk Minimization with Incomplete Information in a Model for High‐Frequency Data
by Rüdiger Frey - 227-241 Value Preserving Strategies and a General Framework for Local Approaches to Optimal Portfolios
by Ralf Korn - 243-257 Multidimensional Variance‐Optimal Hedging in Discrete‐Time Model—A General Approach
by M. Motoczyński - 259-276 Pricing Via Utility Maximization and Entropy
by Richard Rouge & Nicole El Karoui - 277-288 A Stochastic Control Approach to Risk Management Under Restricted Information
by Wolfgang J. Runggaldier & Anna Zaccaria - 289-303 Portfolio Optimization and Martingale Measures
by Manfred Schäl - 305-321 Option Pricing in Discrete‐Time Incomplete Market Models
by Lukasz Stettner - 323-338 On Level Curves of Value Functions in Optimization Models of Expected Utility
by Cristian‐Ioan Tiu & Thaleia Zariphopoulou
January 2000, Volume 10, Issue 1
- 1-21 Equilibrium with Default and Endogenous Collateral
by Aloisio Araújo & Jaime Orrillo & Mario R. Páscoa - 23-38 Endogenous Random Asset Prices in Overlapping Generations Economies
by Volker Böhm & Nicole Deutscher & Jan Wenzelburger - 39-52 The Minimal Entropy Martingale Measure and the Valuation Problem in Incomplete Markets
by Marco Frittelli - 53-75 On the Rate of Convergence of Discrete‐Time Contingent Claims
by Steve Heston & Guofu Zhou - 77-88 Approximating Large Diversified Portfolios
by Norbert Hofmann & Eckhard Platen
October 1999, Volume 9, Issue 4
- 293-321 Pricing General Barrier Options: A Numerical Approach Using Sharp Large Deviations
by Paolo Baldi & Lucia Caramellino & Maria Gabriella Iovino - 323-348 Interest Rate Dynamics and Consistent Forward Rate Curves
by Tomas Björk & Bent Jesper Christensen - 349-359 A Note on the Nelson–Siegel Family
by Damir Filipović - 361-385 Self‐Financing Trading Strategies for Sliding, Rolling‐Horizon, and Consol Bonds
by Marek Rutkowski - 387-412 European‐Type Contingent Claims in an Incomplete Market with Constrained Wealth and Portfolio
by Jiongmin Yong
July 1999, Volume 9, Issue 3
- 203-228 Coherent Measures of Risk
by Philippe Artzner & Freddy Delbaen & Jean‐Marc Eber & David Heath - 229-254 Pricing American Stock Options by Linear Programming
by M. A. H. Dempster & J. P. Hutton - 255-273 The Second Fundamental Theorem of Asset Pricing
by Robert A. Jarrow & Xing Jin & Dilip B. Madan - 275-292 Viability and Equilibrium in Securities Markets with Frictions
by Elyès Jouini & Hédi Kallal
April 1999, Volume 9, Issue 2
- 97-116 Bounds on European Option Prices under Stochastic Volatility
by Rüdiger Frey & Carlos A. Sin - 117-152 Asymptotically Optimal Importance Sampling and Stratification for Pricing Path‐Dependent Options
by Paul Glasserman & Philip Heidelberger & Perwez Shahabuddin - 153-182 Controlling Risk Exposure and Dividends Payout Schemes:Insurance Company Example
by Bjarne Hø Jgaard & Michael Taksar - 183-201 Generalized Hyperbolic Diffusion Processes with Applications in Finance
by Tina Hviid Rydberg
January 1999, Volume 9, Issue 1
- 1-30 Currency Prices, the Nominal Exchange Rate, and Security Prices in a Two‐Country Dynamic Monetary Equilibrium
by Suleyman Basak & Michael Gallmeyer - 31-53 Term Structure Models Driven by General Lévy Processes
by Ernst Eberlein & Sebastian Raible - 55-96 Step Options
by Vadim Linetsky
October 1998, Volume 8, Issue 4
- 291-323 Long memory in continuous‐time stochastic volatility models
by Fabienne Comte & Eric Renault - 325-347 On‐Line Portfolio Selection Using Multiplicative Updates
by David P. Helmbold & Robert E. Schapire & Yoram Singer & Manfred K. Warmuth - 349-383 Applications of Eigenfunction Expansions in Continuous‐Time Finance
by Alan L. Lewis - 385-403 When Does Convergence of Asset Price Processes Imply Convergence of Option Prices?
by Friedrich Hubalek & Walter Schachermayer
July 1998, Volume 8, Issue 3
- 169-178 Investment and Arbitrage Opportunities with Short Sales Constraints
by Laurence Carassus & Elyès Jouini - 179-200 Mean‐Variance Hedging and Numéraire
by Christian Gourieroux & Jean Paul Laurent & Huyên Pham - 201-228 Double Lookbacks
by Hua He & William P. Keirstead & Joachim Rebholz - 229-247 Monotonicities in a Markov Chain Model for Valuing Corporate Bonds Subject to Credit Risk
by Masaaki Kijima - 249-275 A Discrete‐Time Intertemporal Asset Pricing Model: GE Approach with Recursive Utility
by Chenghu Ma - 277-290 Volatility Estimation with Price Quanta
by L. C. G. Rogers
April 1998, Volume 8, Issue 2
- 93-126 Robustness of the Black and Scholes Formula
by Nicole El Karoui & Monique Jeanblanc‐Picquè & Steven E. Shreve - 127-152 A Discrete Time Equivalent Martingale Measure
by Robert J. Elliott & Dilip B. Madan - 153-161 A Note on Hedging in ARCH and Stochastic Volatility Option Pricing Models
by René Garcia & Èric Renault - 163-168 Pricing by Arbitrage Under Arbitrary Information
by Simon H. Babbs & Michael J. P. Selby
January 1998, Volume 8, Issue 1
- 1-11 A Simple Counterexample to Several Problems in the Theory of Asset Pricing
by Freddy Delbaen & Walter Schachermayer - 13-26 Option Pricing in ARCH‐type Models
by Jan Kallsen & Murad S. Taqqu - 27-48 Complete Models with Stochastic Volatility
by David G. Hobson & L. C. G. Rogers - 49-65 Consumption and Portfolio Selection with Labor Income: A Continuous Time Approach
by Hyeng Keun Koo - 67-84 On Feedback Effects from Hedging Derivatives
by Eckhard Platen & Martin Schweizer - 85-91 Ergodicity, State Prices, and Long Bond Returns
by Anthony Tessitore & Nilufer Usmen
October 1997, Volume 7, Issue 4
- 325-349 A Continuity Correction for Discrete Barrier Options
by Mark Broadie & Paul Glasserman & Steven Kou - 351-374 Market Volatility and Feedback Effects from Dynamic Hedging
by Rüdiger Frey & Alexander Stremme - 375-398 Market Participation and Share Prices
by Gerhard O. Orosel - 399-412 Contingent Claims and Market Completeness in a Stochastic Volatility Model
by Marc Romano & Nizar Touzi - 413-426 Pricing Stock Options in a Jump‐Diffusion Model with Stochastic Volatility and Interest Rates: Applications of Fourier Inversion Methods
by Louis O. Scott
July 1997, Volume 7, Issue 3
- 241-286 The Valuation of American Options on Multiple Assets
by Mark Broadie & Jérôme Detemple - 287-305 The Statistical Properties of the Black–Scholes Option Price
by Mthuli Ncube & Stephen Satchell - 307-324 An Asymptotic Analysis of an Optimal Hedging Model for Option Pricing with Transaction Costs
by A. E. Whalley & P. Wilmott
April 1997, Volume 7, Issue 2
- 107-118 Characterizing Gaussian Models of the Term Structure of Interest Rates
by D. P. Kennedy - 119-125 A Note on the Stability of Lognormal Interest Rate Models and the Pricing of Eurodollar Futures
by Klaus Sandmann & Dieter Sondermann - 127-155 The Market Model of Interest Rate Dynamics
by Alan Brace & Dariusz G¸atarek & Marek Musiela - 157-176 The Potential Approach to the Term Structure of Interest Rates and Foreign Exchange Rates
by L. C. G. Rogers - 177-209 A Nonlinear Model of the Term Structure of Interest Rates
by Julian Tice & Nick Webber - 211-239 Bond Market Structure in the Presence of Marked Point Processes
by Tomas Björk & Yuri Kabanov & Wolfgang Runggaldier
January 1997, Volume 7, Issue 1
- 1-71 Backward Stochastic Differential Equations in Finance
by N. El Karoui & S. Peng & M. C. Quenez - 73-81 Arbitrage and Growth Rate for Riskless Investments in a Stationary Economy
by Ilan Adler & David Gale - 83-93 Pricing Barrier Options with Time–Dependent Coefficients
by G. O. Roberts & C. F. Shortland - 95-105 Arbitrage with Fractional Brownian Motion
by L. C. G. Rogers
October 1996, Volume 6, Issue 4
- 341-364 Minimizing Transaction Costs Of Option Hedging Strategies
by E. R. Grannan & G. H. Swindle - 365-378 Pricing And Hedging Double‐Barrier Options: A Probabilistic Approach
by Hélyette Geman & Marc Yor - 379-406 A Yield‐Factor Model Of Interest Rates
by Darrell Duffie & Rui Kan - 407-408 Erratum To “A Stochastic Extension Of The Miller‐Modigliani Framework”1
by P. Sethi & N. A. Derzko & L. P. Lehoczky
July 1996, Volume 6, Issue 3
- 237-277 Portfolio Selection Problems Via The Bivariate Characterization Of Stochastic Dominance Relations1
by Masaaki Kijima & Masamitsu Ohnishi - 279-302 Option Hedging And Implied Volatilities In A Stochastic Volatility Model1
by Eric Renault & Nizar Touzi - 303-322 Martingale Approach To Pricing Perpetual American Options On Two Stocks
by Hans U. Gerber & Hlias S. W. Shiu - 323-330 Choquet Pricing For Financial Markets With Frictions1
by A. Chateauneuf & R. Kast & A. Lapied - 331-340 General Equilibrium With Constant Relative Risk Aversion And Vasicek Interest Rates1
by Robert Goldstein & Fernando Zapatero
April 1996, Volume 6, Issue 2
- 119-132 Infinite Horizon Incomplete Markets With A Continuum Of States
by Aloisio Araujo & Paulo K. Monteiro & M´rio Rui P´ascoa - 133-165 Hedging And Portfolio Optimization Under Transaction Costs: A Martingale Approach12
by Jakša Cvitanić & Ioannis Karatzas - 167-196 Incomplete Markets In Infinite Horizon: Debt Constraints Versus Node Prices1
by Monique Florenzano & Pascal Gourdel - 197-213 Wiener Chaos: A New Approach To Option Hedging
by Vincent Lacoste - 215-236 Equilibrium State Prices In A Stochastic Volatility Model1
by Huyěn Pham & Nizar Touzi
January 1996, Volume 6, Issue 1
- 1-16 Dynamic Spanning: Are Options An Appropriate Instrument?1
by Isabelle Bajeux‐Besnainou & Jean‐Charles Rochet - 17-51 Pricing Of American Path‐Dependent Contingent Claims
by Jérôme Barraquand & Thierry Pudet - 53-88 Pricing Callable Bonds By Means Of Green'S Function1
by Hans‐Jürg Büttler & Jorg Waldvogel - 89-109 Solution Of The Extended Cir Term Structure And Bond Option Valuation
by Yoosef Maghsoodi - 111-117 Diffusion Coefficient Estimation And Asset Pricing When Risk Premia And Sensitivities Are Time Varying: A Comment
by Sergio Pastorello
October 1995, Volume 5, Issue 4
- 279-296 Optimal Investment Of A Life Interest
by S. D. Jacka - 297-309 Certainty Equivalence And Logarithmic Utilities In Consumption/Investment Problems
by Yoichi Kuwana - 311-336 Option Pricing Using The Term Structure Of Interest Rates To Hedge Systematic Discontinuities In Asset Returns1
by Robert Jarrow & Dilip Madan - 337-356 Optimal Portfolio Management With Fixed Transaction Costs
by Andrew J. Morton & Stanley R. Pliska - 357-367 Portfolio Management With Transaction Costs: An Asymptotic Analysis Of The Morton And Pliska Model
by C. Atkinson & P. Wilmott
July 1995, Volume 5, Issue 3
- 187-195 Default Risk Insurance And Incomplete Markets1
by Philippe Artzner & Freddy Delbaen - 197-232 Arbitrage In Securities Markets With Short‐Sales Constraints
by Elyégs Jouini & Hédi Kallal - 233-246 Existence Of A Nonnegative Equilibrium Price Vector In The Mean‐Variance Capital Market
by Hiroshi Konno & Hiroshi Shirakawa - 247-277 Takeovers Of Diffusely Held Firms: A Nonstandard Approach
by Thomas H. Noe
April 1995, Volume 5, Issue 2
- 77-95 Critical Stock Price Near Expiration
by Guy Barles & Julien Burdeau & Marc Romano & Nicolas Samsoen - 97-119 Tax Basis And Nonlinearity In Cash Stream Valuation
by Jaime Cuevas Dermody & R. Tyrrell Rockafellar - 121-131 Attainable Claims In A Markov Market1
by Alain Bensoussan & Robert J. Elliott - 133-153 Multivariate Stable Futures Prices
by B. N. Cheng & S. T. Rachev - 155-165 Isolating The Wild Card Option
by Hugh Cohen - 167-185 Factor Models Of Domestic And Foreign Interest Rates With Stochastic Volatilities
by Antoine Frachot
January 1995, Volume 5, Issue 1
- 1-11 Approximate Completeness With Multiple Martingale Measures
by Philippe Artzner & David Heath - 13-32 The Garch Option Pricing Model
by Jin‐Chuan Duan - 33-54 Arbitrage And Information In A Sequential Economy With Many Credit Agencies
by Dale O. Stahl - 55-72 Volatility Structures Of Forward Rates And The Dynamics Of The Term Structure1
by Peter Ritchken & L. Sankarasubramanian
October 1994, Volume 4, Issue 4
- 289-304 Convergence Of American Option Values From Discrete‐ To Continuous‐Time Financial Models1
by Kaushik Amin & Ajay Khanna - 305-312 When Is The Short Rate Markovian?
by Andrew Carverhill - 313-325 The Early Exercise Premium Representation Of Foreign Market American Options1
by Marek Rutkowski - 327-342 Risk‐Minimizing Hedging Strategies Under Restricted Information
by Martin Schweizer - 343-348 Arbitrage And Free Lunch With Bounded Risk For Unbounded Continuous Processes
by Freddy Delbaen & Walter Schachermayer
July 1994, Volume 4, Issue 3
- 223-245 Contingent Claims Valued And Hedged By Pricing And Investing In A Basis
by Dilip B. Madan & Frank Milne - 247-258 The Term Structure Of Interest Rates As A Gaussian Random Field
by D. P. Kennedy - 259-283 A Multifactor Gauss Markov Implementation Of Heath, Jarrow, And Morton
by Alan Brace & Marek Musiela
April 1994, Volume 4, Issue 2
- 103-119 The Statistics Of Long‐Horizon Regressions Revisited1
by Jacob Boudouk & Matthew Richardson - 121-141 A Pricing Operator‐Based Testing Foundation For A Class Of Factor Pricing Models
by Zhiwu Chen & Peter J. Knez - 143-154 Efficiency Gains In Beta‐Pricing Models1
by Bent Jesper Christensen - 155-167 Maximum Likelihood Estimation Using Price Data Of The Derivative Contract
by Jin‐Chuan Duan - 169-181 Asymptotic Inference For The Parameters Of A Discrete‐Time Square‐Root Process
by Halina Frydman - 183-204 Modeling Stochastic Volatility: A Review And Comparative Study
by Stephen J. Taylor - 205-221 Threshold Autoregressive Modeling In Finance: The Price Differences Of Equivalent Assets1
by Pradeep K. Yadav & Peter F. Pope & Krishna Paudyal
January 1994, Volume 4, Issue 1
- 1-24 Optimal Consumption And Portfolio Selection With Incomplete Markets And Upper And Lower Bound Constraints
by Hiroshi Shirakawa - 25-55 Martingale Measures For Discrete‐Time Processes With Infinite Horizon
by W. Schachermayer - 57-65 ON COMPONENTWISE and VECTOR STOCHASTIC INTEGRATION
by Michel Chatelain & Christophe Stricker - 67-68 A Note On The Generalized Multibeta Capm
by Cheng‐Few Lee & Haim Reisman & Yusif Simaan - 69-73 Consumption And Portfolio Policies With Incomplete Markets And Short‐Sale Constraints In The Finite‐Dimensional Case: Some Remarks
by Bruno Girotto & Fulvio Ortu
October 1993, Volume 3, Issue 4
- 311-347 A Test Of A General Equilibrium Stock Option Pricing Model
by Peter Bossaerts & Pierre Hillion - 349-375 Bessel Processes, Asian Options, And Perpetuities
by Hélyette Geman & Marc Yor
July 1993, Volume 3, Issue 3
- 241-276 Optimal Investment Strategies For Controlling Drawdowns
by Sanford J. Grossman & Zhongquan Zhou - 277-294 Anaytical Solutions For The Pricing Of American Bond And Yield Options1
by Marc Chesney & Robert J. Elliott & Rajna Gibson - 295-308 Discontinuous Asset Prices And Non‐Attainable Contingent Claims1
by David B. Colwell & Robert J. Elliott
April 1993, Volume 3, Issue 2
- 65-84 A Jump/Diffusion Consumption‐Based Capital Asset Pricing Model and the Equity Premium Puzzle
by Knut K. Aase - 85-99 Diffusion Coefficient Estimation and Asset Pricing When Risk Premia and Sensitivities Are Time Varying1
by Marc Chesney & Robert J. Elliott & Dilip Madan & Hailiang Yang - 101-123 From Discrete to Continuous Financial Models: New Convergence Results For Option Pricing
by Nigel J. Cutland & Ekkehard Kopp & Walter Willinger - 125-134 Consols In the Cir Model
by Freddy Delsaen - 135-148 Optimal Investment With Undiversifiable Income Risk
by Darrell Duffie & Thaleia Zariphopoulou - 149-159 Option and Futures Evaluation With Deterministic Volatilities1
by Farshid Jamshidian - 161-177 Impulse Control Method and Exchange Rate
by Monique Jeanblanc‐Picqué - 179-190 Convergence of the Critical Price In the Approximation of American Options
by Damien Lamberton - 191-200 Option Pricing For Jump Diffusions: Approximations and Their Interpretation
by Fabio Mercurio & Wolfgang J. Runggaldier - 201-216 The Pricing of Options With an Uncertain Interest Rate: A Discrete‐Time Approach1
by Klaus Sandmann - 217-229 A Counterexample to Several Problems In the Theory of Asset Pricing
by Walter Schachermayer - 231-240 On Some Exponential‐Integral Functionals of Bessel Processes
by Marc Yor
January 1993, Volume 3, Issue 1
- 1-23 A Microeconomic Approach to Diffusion Models For Stock Prices
by Hans Föllmer & Martin Schweizer - 25-41 Hedging Index Options With Few Assets1
by Damien Lamberton & Bernard Lapeyre - 43-53 Martingale Measures For A Class of Right‐Continuous Processes
by Peter Lakner - 55-63 Exact Ruin Probabilities and the Evaluation of Program Trading On Financial Markets
by D. P. Kennedy
October 1992, Volume 2, Issue 4
- 217-237 Pricing Options On Risky Assets In A Stochastic Interest Rate Economy1
by Kaushik I. Amin & Robert A. Jarrow - 239-250 A Martingale Representation Result and an Application to Incomplete Financial Markets
by S. D. Jacka - 251-274 Optimal Consumption‐Portfolio Policies With Habit Formation1
by Jerome B. Detemple & Fernando Zapatero - 275-298 Pricing Options With Curved Boundaries1
by Naoto Kunitomo & Masayuki Ikeda - 299-308 Option Pricing When Jump Risk Is Systematic1
by Chang Mo Ahn
July 1992, Volume 2, Issue 3
- 153-187 Option Pricing Under Incompleteness and Stochastic Volatility
by Norbert Hofmann & Eckhard Platen & Martin Schweizer - 189-196 Tax Arbitrage, Existence of Equilibrium, and Bounded Tax Rebates1
by Chris Jones & Frank Milne - 197-214 Pricing the Quality Option In Treasury Bond Futures1
by Peter Ritchken & L. Sankarasubramanian
April 1992, Volume 2, Issue 2
- 63-86 Derivative Asset Pricing With Transaction Costs1
by Bernard Bensaid & Jean‐Philippe Lesne & Henri Pagès & José Scheinkman - 87-106 Alternative Characterizations Of American Put Options
by Peter Carr & Robert Jarrow & Ravi Myneni - 107-130 Representing Martingale Measures When Asset Prices Are Continuous And Bounded
by Freddy Delbaen - 131-150 Asymptotically Optimal Portfolios
by Farshid Jamshidian
January 1992, Volume 2, Issue 1
- 1-15 From Discrete‐ to Continuous‐Time Finance: Weak Convergence of the Financial Gain Process1
by Darrell Duffie & Philip Protter - 17-32 On Modeling Questions In Security Valuation
by Ernst Eberlein - 33-46 The Relationship Between Risk and Maturity In A Stochastic Setting
by Paul H. Zipkin - 47-60 Optimality of Stationary Asset Equilibria Under A Stochastic Inflation Tax
by Bernhard Eckwert
October 1991, Volume 1, Issue 4
- 1-38 A Nonstandard Approach to Option Pricing
by Nigel Cutland & Ekkehard Kopp & Walter Willinger - 39-55 Option Pricing With V. G. Martingale Components1
by Dilip B. Madan & Frank Milne - 57-76 A Stochastic Extension of the Miller‐Modigliani Framework1
by S. P. Sethi & N. A. Derzko & J. P. Lehoczky - 77-94 Interest Rate Option Pricing With Poisson‐Gaussian Forward Rate Curve Processes
by Hiroshi Shirakawa
July 1991, Volume 1, Issue 3
- 1-1 ERRATUM: risk‐Aversion Behavior In Consumption/Investment Problems
by E. Presman & S. Sethi - 1-10 Consumption and Portfolio Policies With Incomplete Markets and Short‐Sale Constraints: the Finite‐Dimensional Case1
by Hua He & Neil D. Pearson - 11-29 Equilibrium Models With Singular Asset Prices
by Ioannis Karatzas & John P. Lehoczky & Steven E. Shreve - 31-43 A Characterization of Complete Security Markets On A Brownian Filtration1
by Robert A. Jarrow & Dilip B. Madan - 45-52 Arbitrage Values Generally Depend On A Parametric Rate of Return
by Robin J. Brenner & J. L. Denny - 53-84 Optimal Investment and Consumption With Two Bonds and Transaction Costs1
by S. E. Shreve & H. M. Soner & G.‐L. Xu
April 1991, Volume 1, Issue 2
- 1-14 Optimal Stopping and the American Put
by S. D. Jacka - 15-55 Optimal Sure Portfolio Plans
by Lucien Foldes - 57-70 A Note On Utility Maximization Under Partial Observations1
by Ioannis Karatzas & Xlng‐Xlong Xue
January 1991, Volume 1, Issue 1
- 1-29 Universal Portfolios
by Thomas M. Cover - 31-54 Cash Stream Valuation In the Face of Transaction Costs and Taxes
by Jaime Cuevas Dermody & R. Tyrrell Rockafellar - 55-59 Toward A Convergence Theory For Continuous Stochastic Securities Market Models1
by Walter Willinger & Murad S. Taqqu - 100-124 Risk‐Aversion Behavior In Consumption/Investment Problems1
by E. Presman & S. Sethi