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Content
January 2012, Volume 16, Issue 1
- 155-175 Worst case portfolio vectors and diversification effects
by Ludger Rüschendorf
December 2011, Volume 15, Issue 4
- 607-633 On irreversible investment
by Frank Riedel & Xia Su - 635-654 Asymptotic analysis for stochastic volatility: martingale expansion
by Masaaki Fukasawa - 655-683 Pricing Bermudan options by nonparametric regression: optimal rates of convergence for lower estimates
by Denis Belomestny - 685-724 On the calibration of local jump-diffusion asset price models
by S. Kindermann & P. Mayer - 725-753 Optimal investment with counterparty risk: a default-density model approach
by Ying Jiao & Huyên Pham - 755-780 The large-maturity smile for the Heston model
by Martin Forde & Antoine Jacquier - 781-784 A note on essential smoothness in the Heston model
by Martin Forde & Antoine Jacquier & Aleksandar Mijatović - 785-818 Proving regularity of the minimal probability of ruin via a game of stopping and control
by Erhan Bayraktar & Virginia Young
September 2011, Volume 15, Issue 3
- 399-419 Liquidity risk, price impacts and the replication problem
by Alexandre Roch - 421-459 A stochastic control problem with delay arising in a pension fund model
by Salvatore Federico - 461-499 Multivariate utility maximization with proportional transaction costs
by Luciano Campi & Mark Owen - 501-512 Minimal sufficient conditions for a primal optimizer in nonsmooth utility maximization
by Nicholas Westray & Harry Zheng - 513-540 Pricing equity default swaps under the jump-to-default extended CEV model
by Rafael Mendoza-Arriaga & Vadim Linetsky - 541-572 Hedging of a credit default swaption in the CIR default intensity model
by Tomasz Bielecki & Monique Jeanblanc & Marek Rutkowski - 573-605 Robust pricing and hedging of double no-touch options
by Alexander Cox & Jan Obłój
June 2011, Volume 15, Issue 2
- 191-219 Option pricing with quadratic volatility: a revisit
by Leif Andersen - 221-241 Asset price bubbles from heterogeneous beliefs about mean reversion rates
by Xi Chen & Robert Kohn - 243-265 Ruin probabilities under general investments and heavy-tailed claims
by Henrik Hult & Filip Lindskog - 267-296 Gamma expansion of the Heston stochastic volatility model
by Paul Glasserman & Kyoung-Kuk Kim - 297-342 Pension funds with a minimum guarantee: a stochastic control approach
by Marina Di Giacinto & Salvatore Federico & Fausto Gozzi - 343-363 On a class of law invariant convex risk measures
by Gilles Angelsberg & Freddy Delbaen & Ivo Kaelin & Michael Kupper & Joachim Näf - 365-397 The efficient hedging problem for American options
by Sabrina Mulinacci
January 2011, Volume 15, Issue 1
- 1-26 Dual pricing of multi-exercise options under volume constraints
by Christian Bender - 27-55 Co-monotonicity of optimal investments and the design of structured financial products
by Marc Rieger - 57-83 Arbitrage and deflators in illiquid markets
by Teemu Pennanen - 85-115 Optimal consumption policies in illiquid markets
by Alessandra Cretarola & Fausto Gozzi & Huyên Pham & Peter Tankov - 117-140 Minimal q-entropy martingale measures for exponential time-changed Lévy processes
by Stefan Kassberger & Thomas Liebmann - 141-181 Unbiased and efficient Greeks of financial options
by Yuh-Dauh Lyuu & Huei-Wen Teng - 183-190 A note on the existence of the power investor’s optimizer
by Kasper Larsen
December 2010, Volume 14, Issue 4
- 495-526 Pricing credit derivatives under incomplete information: a nonlinear-filtering approach
by Rüdiger Frey & Wolfgang Runggaldier - 527-567 On Kolmogorov equations for anisotropic multivariate Lévy processes
by N. Reich & C. Schwab & C. Winter - 569-591 A global consistency result for the two-dimensional Pareto distribution in the presence of misspecified inflation
by Peter Grandits & Grigory Temnov - 593-623 On optimal portfolio diversification with respect to extreme risks
by Georg Mainik & Ludger Rüschendorf - 625-667 Mean square error for the Leland–Lott hedging strategy: convex pay-offs
by Emmanuel Denis & Yuri Kabanov
September 2010, Volume 14, Issue 3
- 317-341 Option hedging for small investors under liquidity costs
by Umut Çetin & H. Soner & Nizar Touzi - 343-374 Asset allocation and liquidity breakdowns: what if your broker does not answer the phone?
by Peter Diesinger & Holger Kraft & Frank Seifried - 375-395 On measuring nonlinear risk with scarce observations
by Alexander Cherny & Raphael Douady & Stanislav Molchanov - 397-418 Asymptotic distribution of law-invariant risk functionals
by Georg Pflug & Nancy Wozabal - 419-448 Exponential utility maximization under partial information
by Michael Mania & Marina Santacroce - 449-472 Representation of the penalty term of dynamic concave utilities
by Freddy Delbaen & Shige Peng & Emanuela Rosazza Gianin - 473-494 Perturbed Brownian motion and its application to Parisian option pricing
by Angelos Dassios & Shanle Wu
April 2010, Volume 14, Issue 2
- 157-177 From implied to spot volatilities
by Valdo Durrleman - 179-207 Hedging variance options on continuous semimartingales
by Peter Carr & Roger Lee - 209-233 Central limit theorem for the realized volatility based on tick time sampling
by Masaaki Fukasawa - 235-248 Can the implied volatility surface move by parallel shifts?
by L. Rogers & M. Tehranchi - 249-283 Zero-intelligence realized variance estimation
by Jim Gatheral & Roel Oomen - 285-315 Risk-neutral compatibility with option prices
by Jean Jacod & Philip Protter
January 2010, Volume 14, Issue 1
- 1-12 A high-low-based omnibus test for symmetry, the Lévy property, and other hypotheses on intraday returns
by Stefan Klößner - 13-48 Local time and the pricing of time-dependent barrier options
by Aleksandar Mijatović - 49-80 Nonparametric estimation for a stochastic volatility model
by F. Comte & V. Genon-Catalot & Y. Rozenholc - 81-128 A generalization of Panjer’s recursion and numerically stable risk aggregation
by Stefan Gerhold & Uwe Schmock & Richard Warnung - 129-152 Comparison results for stochastic volatility models via coupling
by David Hobson - 153-155 Valuation of default-sensitive claims under imperfect information (Publisher’s Erratum)
by Delia Coculescu & Hélyette Geman & Monique Jeanblanc
September 2009, Volume 13, Issue 4
- 471-500 Numerical methods for Lévy processes
by N. Hilber & N. Reich & C. Schwab & C. Winter - 501-529 Computing exponential moments of the discrete maximum of a Lévy process and lookback options
by Liming Feng & Vadim Linetsky - 531-562 Fast and accurate pricing of barrier options under Lévy processes
by Oleg Kudryavtsev & Sergei Levendorskiǐ - 563-589 Smart expansion and fast calibration for jump diffusions
by E. Benhamou & E. Gobet & M. Miri - 591-611 MDP algorithms for portfolio optimization problems in pure jump markets
by Nicole Bäuerle & Ulrich Rieder - 613-633 Interacting particle systems for the computation of rare credit portfolio losses
by René Carmona & Jean-Pierre Fouque & Douglas Vestal
September 2009, Volume 13, Issue 3
- 305-306 Editorial
by Ralf Korn & Martin Schweizer - 307-349 Quasi-Monte Carlo methods with applications in finance
by Pierre L’Ecuyer - 351-379 Adjoint-based Monte Carlo calibration of financial market models
by C. Kaebe & J. Maruhn & E. Sachs - 381-401 On irregular functionals of SDEs and the Euler scheme
by Rainer Avikainen - 403-413 Analysing multi-level Monte Carlo for options with non-globally Lipschitz payoff
by Michael Giles & Desmond Higham & Xuerong Mao - 415-443 A new higher-order weak approximation scheme for stochastic differential equations and the Runge–Kutta method
by Mariko Ninomiya & Syoiti Ninomiya - 445-469 Basket CDS pricing with interacting intensities
by Harry Zheng & Lishang Jiang
April 2009, Volume 13, Issue 2
- 151-180 Stein’s method and zero bias transformation for CDO tranche pricing
by N. El Karoui & Y. Jiao - 181-204 Risk aversion and the dynamics of optimal liquidation strategies in illiquid markets
by Alexander Schied & Torsten Schöneborn - 205-238 Double-sided Parisian option pricing
by J. Anderluh & J. Weide - 239-268 Bias-correcting the realized range-based variance in the presence of market microstructure noise
by Kim Christensen & Mark Podolskij & Mathias Vetter - 269-303 Pricing options under stochastic volatility: a power series approach
by Fabio Antonelli & Sergio Scarlatti
January 2009, Volume 13, Issue 1
- 1-48 Local volatility dynamic models
by René Carmona & Sergey Nadtochiy - 49-77 In which financial markets do mutual fund theorems hold true?
by Walter Schachermayer & Mihai Sîrbu & Erik Taflin - 79-103 Background filtrations and canonical loss processes for top-down models of portfolio credit risk
by Philippe Ehlers & Philipp Schönbucher - 105-119 Hedging of American options under transaction costs
by D. Vallière & E. Denis & Y. Kabanov - 121-150 Quadratic BSDEs driven by a continuous martingale and applications to the utility maximization problem
by Marie-Amélie Morlais
October 2008, Volume 12, Issue 4
- 441-468 Pricing by hedging and no-arbitrage beyond semimartingales
by Christian Bender & Tommi Sottinen & Esko Valkeila - 469-505 Arbitrage-free market models for option prices: the multi-strike case
by Martin Schweizer & Johannes Wissel - 507-540 Sensitivity estimates for portfolio credit derivatives using Monte Carlo
by Zhiyong Chen & Paul Glasserman - 541-560 American and European options in multi-factor jump-diffusion models, near expiry
by Sergei Levendorskiǐ - 561-581 The critical price for the American put in an exponential Lévy model
by Damien Lamberton & Mohammed Mikou - 583-600 No arbitrage and closure results for trading cones with transaction costs
by Saul Jacka & Abdelkarem Berkaoui & Jon Warren
July 2008, Volume 12, Issue 3
- 293-297 In discrete time a local martingale is a martingale under an equivalent probability measure
by Yuri Kabanov - 299-330 Optimal lifetime consumption and investment under a drawdown constraint
by Romuald Elie & Nizar Touzi - 331-355 On perpetual American put valuation and first-passage in a regime-switching model with jumps
by Zhengjun Jiang & Martijn Pistorius - 357-380 Consumption processes and positively homogeneous projection properties
by Tom Fischer - 381-410 On q-optimal martingale measures in exponential Lévy models
by Christian Bender & Christina Niethammer - 411-422 Universal bounds for asset prices in heterogeneous economies
by Semyon Malamud - 423-439 Optimal capital and risk allocations for law- and cash-invariant convex functions
by Damir Filipović & Gregor Svindland
April 2008, Volume 12, Issue 2
- 149-172 Yield curve shapes and the asymptotic short rate distribution in affine one-factor models
by Martin Keller-Ressel & Thomas Steiner - 173-194 Asymptotic arbitrage and numéraire portfolios in large financial markets
by Dmitry Rokhlin - 195-218 Valuation of default-sensitive claims under imperfect information
by Delia Coculescu & Hélyette Geman & Monique Jeanblanc - 219-244 Dynamic risk measures: Time consistency and risk measures from BMO martingales
by Jocelyne Bion-Nadal - 245-264 Long run forward rates and long yields of bonds and options in heterogeneous equilibria
by Semyon Malamud - 265-292 On the duality principle in option pricing: semimartingale setting
by Ernst Eberlein & Antonis Papapantoleon & Albert Shiryaev
January 2008, Volume 12, Issue 1
- 1-19 Optimal importance sampling with explicit formulas in continuous time
by Paolo Guasoni & Scott Robertson - 21-41 Free boundary and optimal stopping problems for American Asian options
by Andrea Pascucci - 43-82 The dynamics of strategic information flows in stock markets
by P. Seiler & B. Taub - 83-115 Existence of Lévy term structure models
by Damir Filipović & Stefan Tappe - 117-147 Convexity theory for the term structure equation
by Erik Ekström & Johan Tysk
October 2007, Volume 11, Issue 4
- 447-493 The numéraire portfolio in semimartingale financial models
by Ioannis Karatzas & Constantinos Kardaras - 495-519 Efficient estimation of drift parameters in stochastic volatility models
by Arnaud Gloter - 521-535 Stochastic flow approach to Dupire’s formula
by B. Jourdain - 537-569 Pricing and hedging European options with discrete-time coherent risk
by Alexander Cherny - 571-589 On the short-time behavior of the implied volatility for jump-diffusion models with stochastic volatility
by Elisa Alòs & Jorge León & Josep Vives - 591-602 Insider trading in an equilibrium model with default: a passage from reduced-form to structural modelling
by Luciano Campi & Umut Çetin
July 2007, Volume 11, Issue 3
- 299-322 Small-time ruin for a financial process modulated by a Harris recurrent Markov chain
by Jeffrey Collamore & Andrea Höing - 323-355 An ODE approach for the expected discounted penalty at ruin in a jump-diffusion model
by Yu-Ting Chen & Cheng-Few Lee & Yuan-Chung Sheu - 357-372 Optimal exercise of executive stock options
by L. Rogers & José Scheinkman - 373-397 Multivariate risks and depth-trimmed regions
by Ignacio Cascos & Ilya Molchanov - 399-427 Minimal Hellinger martingale measures of order q
by Tahir Choulli & Christophe Stricker & Jia Li - 429-445 Exponential moments for HJM models with jumps
by Jacek Jakubowski & Jerzy Zabczyk
April 2007, Volume 11, Issue 2
- 153-179 Additive and multiplicative duals for American option pricing
by Nan Chen & Paul Glasserman - 181-193 Negative Libor rates in the swap market model
by Mark Davis & Vicente Mataix-Pastor - 195-212 Information reduction via level crossings in a credit risk model
by Robert Jarrow & Philip Protter & A. Sezer - 213-236 Correspondence between lifetime minimum wealth and utility of consumption
by Erhan Bayraktar & Virginia Young - 237-251 No-arbitrage criteria for financial markets with transaction costs and incomplete information
by Dimitri De Vallière & Yuri Kabanov & Christophe Stricker - 253-266 The supermartingale property of the optimal wealth process for general semimartingales
by Sara Biagini & Marco Frittelli - 267-289 Optimal risk sharing with non-monotone monetary functionals
by Beatrice Acciaio - 291-298 Dilatation monotone risk measures are law invariant
by Alexander Cherny & Pavel Grigoriev
January 2007, Volume 11, Issue 1
- 1-2 Editorial
by Martin Schweizer - 3-27 Optimal dividend policy and growth option
by Jean-Paul Décamps & Stéphane Villeneuve - 29-50 Moment explosions in stochastic volatility models
by Leif Andersen & Vladimir Piterbarg - 51-90 A model of optimal portfolio selection under liquidity risk and price impact
by Vathana Ly Vath & Mohamed Mnif & Huyên Pham - 91-105 Smooth convergence in the binomial model
by Lo-Bin Chang & Ken Palmer - 107-129 Optimal investments for risk- and ambiguity-averse preferences: a duality approach
by Alexander Schied - 131-152 Principles of smooth and continuous fit in the determination of endogenous bankruptcy levels
by A. Kyprianou & B. Surya
December 2006, Volume 10, Issue 4
- 449-474 Spectral calibration of exponential Lévy models
by Denis Belomestny & Markus Reiß - 475-506 American Parisian options
by Marc Chesney & Laurent Gauthier - 507-528 Generic market models
by Raoul Pietersz & Marcel Regenmortel - 529-551 Asymptotic behaviour of mean-quantile efficient portfolios
by Gordana Dmitrašinović-Vidović & Antony Ware - 553-573 Optimal portfolio choice in the bond market
by Nathanael Ringer & Michael Tehranchi - 575-578 A counter-example to an option pricing formula under transaction costs
by Alet Roux & Tomasz Zastawniak - 579-596 A super-replication theorem in Kabanov’s model of transaction costs
by Luciano Campi & Walter Schachermayer
September 2006, Volume 10, Issue 3
- 303-330 A jump to default extended CEV model: an application of Bessel processes
by Peter Carr & Vadim Linetsky - 331-340 Consistency among trading desks
by David Heath & Hyejin Ku - 341-352 Bounds for Functions of Dependent Risks
by Paul Embrechts & Giovanni Puccetti - 353-365 A generalization of the Hull and White formula with applications to option pricing approximation
by Elisa Alòs - 367-393 Weighted V@R and its Properties
by A. Cherny - 395-426 A risk-sensitive stochastic control approach to an optimal investment problem with partial information
by Hiroaki Hata & Yasunari Iida - 427-448 Coherent and convex monetary risk measures for unbounded càdlàg processes
by Patrick Cheridito & Freddy Delbaen & Michael Kupper
April 2006, Volume 10, Issue 2
- 159-177 Asymmetric Information in Fads Models
by Paolo Guasoni - 159-177 Asymmetric Information in Fads Models
by Paolo Guasoni - 178-203 Consistent Variance Curve Models
by Hans Buehler - 178-203 Consistent Variance Curve Models
by Hans Buehler - 204-221 Optimal Early Retirement Near the Expiration of a Pension Plan
by E. Chevalier - 204-221 Optimal Early Retirement Near the Expiration of a Pension Plan
by E. Chevalier - 222-249 Comparison of Option Prices in Semimartingale Models
by Jan Bergenthum & Ludger Rüschendorf - 222-249 Comparison of Option Prices in Semimartingale Models
by Jan Bergenthum & Ludger Rüschendorf - 250-275 Option Pricing for Pure Jump Processes with Markov Switching Compensators
by Robert Elliott & Carlton-James Osakwe - 250-275 Option Pricing for Pure Jump Processes with Markov Switching Compensators
by Robert J. Elliott & Carlton-James U. Osakwe - 276-297 No-arbitrage in Discrete-time Markets with Proportional Transaction Costs and General Information structure
by Bruno Bouchard - 276-297 No-arbitrage in Discrete-time Markets with Proportional Transaction Costs and General Information structure
by Bruno Bouchard - 298-301 Call Completeness Implies Completeness in the n-period Model of a Financial Market
by Lothar Rogge - 298-301 Call Completeness Implies Completeness in the n-period Model of a Financial Market
by Lothar Rogge
January 2006, Volume 10, Issue 1
- 1-26 An exact analytical solution for discrete barrier options
by Gianluca Fusai & I. Abrahams & Carlo Sgarra - 27-49 Iterative construction of the optimal Bermudan stopping time
by Anastasia Kolodko & John Schoenmakers - 51-74 Generalized deviations in risk analysis
by R. Rockafellar & Stan Uryasev & Michael Zabarankin - 75-97 Utility maximization and risk minimization in life and pension insurance
by Peter Nielsen - 99-119 Financial equilibria in the semimartingale setting: Complete markets and markets with withdrawal constraints
by Gordan Žitković - 121-145 Optimal portfolio of low liquid assets with a log-utility function
by Koichi Matsumoto - 147-158 Utility maximization under increasing risk aversion in one-period models
by Patrick Cheridito & Christopher Summer
October 2005, Volume 9, Issue 4
- 453-475 Pricing options on realized variance
by Peter Carr & Hélyette Geman & Dilip Madan & Marc Yor - 477-492 Local martingales, bubbles and option prices
by Alexander Cox & David Hobson - 493-517 Utility maximization in incomplete markets for unbounded processes
by Sara Biagini & Marco Frittelli - 519-537 Anomalous PDEs in Markov chains: Domains of validity and numerical solutions
by Ragnar Norberg - 539-561 Conditional and dynamic convex risk measures
by Kai Detlefsen & Giacomo Scandolo - 563-575 The density process of the minimal entropy martingale measure in a stochastic volatility model with jumps
by Fred Benth & Thilo Meyer-Brandis - 577-584 A note on the large homogeneous portfolio approximation with the Student-t copula
by Lutz Schloegl & Dominic O’Kane - 585-595 Optimal investment with derivative securities
by Aytaç Ílhan & Mattias Jonsson & Ronnie Sircar - 597-608 Robust representation of convex risk measures by probability measures
by Volker Krätschmer
July 2005, Volume 9, Issue 3
- 299-325 Integro-differential equations for option prices in exponential Lévy models
by Rama Cont & Ekaterina Voltchkova - 327-348 The Lévy LIBOR model
by Ernst Eberlein & Fehmi Özkan - 349-367 Representation formulas for Malliavin derivatives of diffusion processes
by Jérôme Detemple & René Garcia & Marcel Rindisbacher - 369-387 Coherent and convex monetary risk measures for unbounded càdlàg processes
by Patrick Cheridito & Freddy Delbaen & Michael Kupper - 389-398 A note on invariant measures for HJM models
by Michael Tehranchi - 399-413 An entropy approach to the Stein and Stein model with correlation
by Thorsten Rheinländer - 415-427 Pricing contingent claims with credit risk: Asymptotic expansion approach
by Yoshifumi Muroi - 429-452 Bond market completeness and attainable contingent claims
by Erik Taflin
April 2005, Volume 9, Issue 2
- 151-176 Robust utility maximization for complete and incomplete market models
by Anne Gundel - 177-195 Satisfying convex risk limits by trading
by Kasper Larsen & Traian Pirvu & Steven Shreve & Reha Tütüncü - 197-209 A note on Wick products and the fractional Black-Scholes model
by Tomas Björk & Henrik Hult - 211-231 A simple model for credit migration and spread curves
by Li Chen & Damir Filipović - 233-250 On the pricing of forward starting options in Heston’s model on stochastic volatility
by Susanne Kruse & Ulrich Nögel - 251-267 The Russian option: Finite horizon
by Goran Peskir - 269-298 Inf-convolution of risk measures and optimal risk transfer
by Pauline Barrieu & Nicole El Karoui
January 2005, Volume 9, Issue 1
- 1-27 Diversity and relative arbitrage in equity markets
by Robert Fernholz & Ioannis Karatzas & Constantinos Kardaras - 29-42 Credit default swap calibration and derivatives pricing with the SSRD stochastic intensity model
by Damiano Brigo & Aurélien Alfonsi - 43-65 A chaotic approach to interest rate modelling
by Lane Hughston & Avraam Rafailidis - 67-88 Lévy term structure models: No-arbitrage and completeness
by Ernst Eberlein & Jean Jacod & Sebastian Raible - 89-107 Valuation of American options in the presence of event risk
by Alex Szimayer - 109-127 Completion of a Lévy market by power-jump assets
by José Manuel Corcuera & David Nualart & Wim Schoutens - 129-139 An extension of mean-variance hedging to the discontinuous case
by Takuji Arai - 141-149 On option pricing in binomial market with transaction costs
by Alexander Melnikov & Yury Petrachenko
November 2004, Volume 8, Issue 4
- 451-477 Maturity cycles in implied volatility
by Jean-Pierre Fouque & George Papanicolaou & Ronnie Sircar & Knut Solna - 479-499 Stochastic orders in dynamic reinsurance markets
by Thomas Møller - 501-523 An approximation pricing algorithm in an incomplete market: A differential geometric approach
by Yuan Gao & Kian Lim & Kah Ng