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Content
2005, Volume 08, Issue 03
- 393-407 Hedging Double Barriers With Singles
by Alessandro Sbuelz
2005, Volume 08, Issue 02
- 141-159 Calibrated Option Bounds
by Alan J. King & Matti Koivu & Teemu Pennanen - 161-184 Affine Processes, Arbitrage-Free Term Structures Of Legendre Polynomials, And Option Pricing
by Caio Ibsen Rodrigues De Almeida - 185-206 Optimal Investment Strategy Via Interval Arithmetic
by Benito Stradi & Emmanuel Haven - 207-221 Computation Of Local Volatilities From Regularized Dupire Equations
by Martin Hanke & Elisabeth Rösler - 223-238 Affine Lattice Models
by Claudio Albanese & Alexey Kuznetsov - 239-253 The Forward Pde For European Options On Stocks With Fixed Fractional Jumps
by Peter Carr & Alireza Javaheri - 255-281 Pathwise Identification Of The Memory Function Of Multifractional Brownian Motion With Application To Finance
by Sergio Bianchi
2005, Volume 08, Issue 01
- 1-12 Bayesian Inference, Prior Information On Volatility, And Option Pricing: A Maximum Entropy Approach
by Francisco Venegas-Martínez - 13-58 Drawdown Measure In Portfolio Optimization
by Alexei Chekhlov & Stanislav Uryasev & Michael Zabarankin - 59-74 Profit-Sharing In Transactions Governed By A Subadditive Capitalization Function
by Salvador Cruz Rambaud & María Del Carmen Valls Martínez - 75-95 Modeling The Risk And Return Relation Conditional On Market Volatility And Market Conditions
by Don U. A. Galagedera & Robert Faff - 97-121 Bayesian Model Selection Via Filtering For A Class Of Micro-Movement Models Of Asset Price
by Michael A. Kouritzin & Yong Zeng - 123-139 The Swing Option On The Stock Market
by Martin Dahlgren & Ralf Korn
2004, Volume 07, Issue 08
- 949-978 An Option-Theoretic Prepayment Model For Mortgages And Mortgage-Backed Securities
by Andrew Kalotay & Deane Yang & Frank J. Fabozzi - 979-995 The Sequential Estimation Of Subset Var With Forgetting Factor And Intercept Variable
by T. J. O'Neill & J. H. W. Penm & R. D. Terrell - 997-1030 A Parsimonious Continuous Time Model Of Equity Index Returns: Inferred From High Frequency Data
by Mascia Bedendo & Stewart D. Hodges - 1031-1068 An Extreme Value Theory Approach To The Allocation Of Multiple Assets
by Brendan O. Bradley & Murad S. Taqqu - 1069-1085 On The Validity Of The Random Walk Hypothesis Applied To The Dhaka Stock Exchange
by Mohammad S. Hasan
2004, Volume 07, Issue 07
- 805-822 Optimal Strategies For The Issuances Of Public Debt Securities
by Massimiliano Adamo & Anna Lisa Amadori & Massimo Bernaschi & Claudia La Chioma & Alessia Marigo & Benedetto Piccoli & Simone Sbaraglia & Adamo Uboldi & Davide Vergni & Paola Fabbri & Davide Iacovoni & Francesco Natale & Stefano Scalera & Lucia Spilotro & Antonella Valletta - 823-851 Towards A Multifractal Paradigm Of Stochastic Volatility?
by Nicolas Boitout & Loredana Ureche-Rangau - 853-878 Inventory Hedging And Option Market Making
by Antoine Giannetti & Rui Zhong & Lixin Wu - 879-885 Long Memory In Stock Trading
by Andrei Leonidov - 887-900 Balayage Monotonous Risk Measures
by Johannes Leitner - 901-907 Options Written On Stocks With Known Dividends
by Erik Ekström & Johan Tysk - 909-917 Coherent Portfolio Separation — Inherent Systemic Risk?
by Nils Chr. Framstad - 919-947 Time-Varying Risk Premia In Emerging Markets: Explanation By A Multi-Factor Affine Term Structure Model
by Caio Ibsen Rodrigues De Almeida
2004, Volume 07, Issue 06
- 659-684 Adaptive Finite Element Methods For Local Volatility European Option Pricing
by Alexandre Ern & Stéphane Villeneuve & Antonino Zanette - 685-700 Conditions For Consistent Exponential-Polynomial Forward Rate Processes With Multiple Nontrivial Factors
by Emmanuel Sharef & Damir Filipović - 701-721 Valuation Of Exchangeable Convertible Bonds
by Marco Realdon - 723-739 An Empirical Study On The Statistical Properties Of Romanian Emerging Stock Market Rasdaq
by Mircea Gligor - 741-755 Corporate Bond Risk From Stock Dividend Uncertainty
by Mark B. Wise & Peter B. Lee & Vineer Bhansali - 757-768 Option Pricing With Feedback Effects
by Alexander Lyukov - 769-804 Valuation, Tax Shields And The Cost-Of-Capital With Personal Taxes: A Framework For Incorporating Taxes
by Wolfgang Schultze
2004, Volume 07, Issue 05
- 531-540 An Explanation Of Non-Equilibrium Currency Bid-Ask Spreads
by Kofi B. Afful - 541-554 Model Performance Measures For Leveraged Investors
by Craig Friedman & Sven Sandow - 555-575 A Two-Regime, Stochastic-Volatility Extension Of The Libor Market Model
by Riccardo Rebonato & Dherminder Kainth - 577-589 Estimates Of The Short-Term Rate Process In An Arbitrage-Free Framework
by Hossein Kazemi & Mahnaz Mahdavi & Brett Salazar - 591-614 A New Monte Carlo Method For American Options
by G. N. Milstein & O. Reiß & J. Schoenmakers - 615-643 Estimating The Fractal Dimension Of The S&P 500 Index Using Wavelet Analysis
by Erhan Bayraktar & H. Vincent Poor & K. Ronnie Sircar - 645-657 Growth-Optimal Strategies With Quadratic Friction Over Finite-Time Investment Horizons
by Erik Aurell & Paolo Muratore-Ginanneschi
2004, Volume 07, Issue 04
- 385-405 Integration Of Global Capital Markets: An Empirical Exploration
by Malay Bhattacharyya & Ashok Banerjee - 407-423 Reinforced Urn Processes For Modeling Credit Default Distributions
by Emanuele Amerio & Pietro Muliere & Piercesare Secchi - 425-464 Storage Options Valuation Using Multilevel Trees And Calendar Spreads
by Mihaela Manoliu - 465-509 Risk Sensitivities Of Bermuda Swaptions
by Vladimir V. Piterbarg - 511-529 Modeling The Volatility And Expected Value Of A Diversified World Index
by Eckhard Platen
2004, Volume 07, Issue 03
- 193-230 Modeling Private Equity Funds And Private Equity Collateralised Fund Obligations
by Etienne de Malherbe - 231-251 Modeling Financial Series Distributions: A Versatile Data Fitting Approach
by Jen S. Shang & Pandu R. Tadikamalla - 253-267 Nfa For Factor Number Determination In Apt
by Kai-Chun Chiu & Lei Xu - 269-287 Detecting And Modeling Tail Dependence
by Fabio Bellini & Gianna Figà-Talamanca - 289-301 Testing For "Pure" Contagion Effects In International Banking: The Case Of Bcci'S Failure
by Angelos Kanas - 303-335 Pricing Of The American Put Under Lévy Processes
by S. Z. Levendorskiǐ - 337-384 The Spectral Decomposition Of The Option Value
by Vadim Linetsky
2004, Volume 07, Issue 02
- 85-99 Agricultural Finance Revenue Futures Contract
by Martial V. Guinvarc'H & Jacques Janssen & Jean E. Cordier - 101-120 Calibration Of Multifactor Models In Electricity Markets
by Martin Barlow & Yuri Gusev & Manpo Lai - 121-133 Dividend Policy, Trading Characteristics And Share Prices: Empirical Evidence From Egyptian Firms
by Mohammed Omran & John Pointon - 135-149 Causal Linkages Among Shanghai, Shenzhen, And Hong Kong Stock Markets
by Hongquan Zhu & Zudi Lu & Shouyang Wang & Abdol S. Soofi - 151-175 Analytical Pricing Of Double-Barrier Options Under A Double-Exponential Jump Diffusion Process: Applications Of Laplace Transform
by Artur Sepp - 177-192 The Normal Inverse Gaussian Distribution And Spot Price Modelling In Energy Markets
by Fred Espen Benth & Jūratė Šaltytė-Benth
2004, Volume 07, Issue 01
- 1-18 Long-Short Portfolio Modeling: Critique And Extension
by Clarence C. Y. Kwan - 19-23 The Charpin–Lacaze Response To C. C. Y. Kwan'S Paper "Long-Short Portfolio Modeling: Critique And Extension"
by Françoise Charpin & Dominique Lacaze - 25-29 Long-Short Strategies: An Extension
by Françoise Charpin & Dominique Lacaze - 31-44 Long Memory And Persistence In Dollar-Based Real Exchange Rates
by Fotios Siokis & Chris Christodoulou - 45-62 Dividends And Uncertainty: Evidence From The Italian Market
by Anna Battauz & Francesca Beccacece - 63-81 Pricing Derivative Securities Using Cross-Entropy: An Economic Analysis
by Nicole Branger - 83-83 Book Review: "Nigel Da Costa Lewis (2003) Market Risk Modelling: Applied Statistical Methods for Practitioners"
by Marsha Lipton
2003, Volume 06, Issue 08
- 793-819 Optimal Portfolios With Defaultable Securities A Firm Value Approach
by Ralf Korn & Holger Kraft - 821-827 Modelling Inflation As A Random Process
by S. Rawal & G. J. Rodgers - 829-837 Bubbles And Crashes: Optimism, Trend Extrapolation And Panic
by Frank Westerhoff - 839-864 The Pricing Of Exotic Options By Monte–Carlo Simulations In A Lévy Market With Stochastic Volatility
by Wim Schoutens & Stijn Symens - 865-884 Quasi Monte–Carlo Evaluation Of Sensitivities Of Options In Commodity And Energy Markets
by Fred E. Benth & Lars O. Dahl & Kenneth H. Karlsen - 885-903 A Generalization Of Principal Component Analysis For Non-Observable Term Structures In Emerging Markets
by Caio Ibsen Rodrigues De Almeida & Antonio Marcos Duarte & Cristiano Augusto Coelho Fernandes
2003, Volume 06, Issue 07
- 663-692 Backward Stochastic PDE and Imperfect Hedging
by M. Mania & R. Tevzadze - 693-702 When Should We be Prepared to Improve a Portfolio by Lacklustre Stocks? — A Note on Log-Optimal Portfolio Selection
by D. Schäfer - 703-720 Multiple Optimal Solutions in the Portfolio Selection Model with Short-Selling
by A. Schianchi & L. Bongini & M. D. Esposti & C. Giardinà - 721-738 Independent Component Analysis and Immunization: An Exploratory Study
by Fabio Bellini & Ernesto Salinelli - 739-765 Inventory Effects on Daily Returns in Financial Markets
by Andreas Krause - 767-789 High Order Compact Finite Difference Schemes for a Nonlinear Black-Scholes Equation
by Bertram Düring & Michel Fournié & Ansgar Jüngel - 791-792 Book Review: "Exotic Options: The Cutting-edge Collection", Alexander Lipton, ed., (2003)
by Guillaume Gimonet
2003, Volume 06, Issue 06
- 553-563 Measuring the Complexity of Currency Markets by Fractal Dimension Analysis
by Abdol S. Soofi & Andreas Galka - 565-591 On American Derivatives and Related Obstacle Problems
by Jörg Kampen - 593-604 Optimal Asset Allocation with Asymptotic Criteria
by Slava Karguine - 605-612 The Effects of the Asian Crisis of 1997 on Emergent Markets Through a Critical Phenomena Model
by M. G. Figueroa & M. C. Mariani & M. B. Ferraro - 613-636 Mean-Variance Hedging Under Additional Market Information
by F. Thierbach - 637-653 Options with Multiple Reset Rights
by Min Dai & Yue Kuen Kwok & Li Xin Wu - 655-662 Jump Diffusion Models for Risky Debts: Quality Spread Differentials
by Hoi Ying Wong & Yue Kuen Kwok
2003, Volume 06, Issue 05
- 443-467 A Quantum Field Theory Term Structure Model Applied to Hedging
by Belal E. Baaquie & Marakani Srikant & Mitch C. Warachka - 469-489 Beyond Black–Scholes: A Neural Networks-Based Approach to Options Pricing
by Christopher A. Zapart - 491-505 On the Pricing of Credit Spread Options: A Two Factor HW–BK Algorithm
by Joao B. C. Garcia & Helmut van Ginderen & Reinaldo C. Garcia - 507-519 Systematic Generation of Parametric Correlation Structures for the LIBOR Market Model
by John Schoenmakers & Brian Coffey - 521-552 Effectiveness of Hedging Strategies under Model Misspecification and Trading Restrictions
by Antje Mahayni
2003, Volume 06, Issue 04
- 317-326 A Complete Yield Curve Description Of A Markov Interest Rate Model
by Robert J. Elliott & Rogemar S. Mamon - 327-353 An Adaptive Method For Evaluating Multidimensional Contingent Claims: Part Ii
by Lars O. Dahl - 355-401 Model Performance Measures For Expected Utility Maximizing Investors
by Craig Friedman & Sven Sandow - 403-418 Portfolio Optimization Of Small Scale Fund Using Mean-Absolute Deviation Model
by Hiroshi Konno - 419-442 Which Process Gives Rise To The Observed Dependence Of Swaption Implied Volatility On The Underlying?
by Riccardo Rebonato
2003, Volume 06, Issue 03
- 213-238 OPTIMAL LISTING POLICY FOR IPOsIN THE GERMAN FINANCIAL MARKET
by Manfred Eckert - 239-255 A Family Of Models Explaining The Level-Slope-Curvature Effect
by Liliana Forzani & Carlos Tolmasky - 257-275 Valuation And Optimal Exercise Time For The Banxico Put Option
by Begoñna Fernández Fernández & Patricia Saavedra Barrera - 277-299 A Model For The Optimal Asset-Liability Management For Insurance Companies
by S. Sbaraglia & M. Papi & M. Briani & M. Bernaschi & F. Gozzi - 301-316 An Adaptive Method For Evaluating Multidimensional Contingent Claims: Part I
by Lars O. Dahl
2003, Volume 06, Issue 02
- 103-117 Uncertainty In Pricing Tradable Options
by Jorge R. Sobehart & Sean C. Keenan - 119-134 Long Memory In Financial Time Series Data With Non-Gaussian Disturbances
by Luis A. Gil-Alana - 135-172 Symmetries In Jump-Diffusion Models With Applications In Option Pricing And Credit Risk
by J. K. Hoogland & C. D. D. Neumann & M. H. Vellekoop - 173-194 A Continuous-Time Reexamination Of Dollar-Cost Averaging
by Moshe A. Milevsky & Steven E. Posner - 195-212 Adaptive And Monotone Spline Estimation Of The Cross-Sectional Term Structure
by Alessandro Ramponi
2003, Volume 06, Issue 01
- 1-30 Underpricing Of New Equity Offerings By Privatized Firms: An International Test
by Qi Huang & Richard M. Levich - 31-55 Informed Opportunistic Trading And Price Optimal Control
by Laurent Gauthier - 57-72 Explicit Bond Option Formula In Heath–Jarrow–Morton One Factor Model
by Marc Henrard - 73-86 Why The Return Notion Matters
by Gregor Dorfleitner - 87-102 A Closer Look At The Epps Effect
by Roberto Renò
2002, Volume 05, Issue 08
- 775-783 Fractional Integration In The Stock Market Volatility Series
by Luis A. Gil-Alana - 785-795 Ambiguity And Portfolio Inertia
by Marcello Basili & Fulvio Fontini - 797-821 A Process-Reconstruction Analysis Of Market Fluctuations
by R. Vilela Mendes & R. Lima & T. Araújo - 823-844 Defaultable Debt Pricing In Multi-Factor Models
by K. G. Lim & Shiwei Chang & Tsui Kai Chong - 845-875 Market Power And Feedback Effects From Hedging Derivatives
by João Amaro De Matos & João Sobral Do Rosário
2002, Volume 05, Issue 07
- 667-694 A Joint Empirical And Theoretical Investigation Of The Modes Of Deformation Of Swaption Matrices: Implications For Model Choice
by Riccardo Rebonato & Mark Joshi - 695-700 The Heath–Jarrow–Morton Duration And Convexity: A Generalized Approach
by Manfred Frühwirth - 701-728 On The Pricing Of An Islamic Convertible Mortgage For Infrastructure Project Financing
by Muhammed-Shahid Ebrahim & Tariqullah Khan - 729-736 A Paradox Of Intuition: Hedging The Limit Or Hedging In The Limit?
by J. R. Sobehart & S. C. Keenan - 737-756 The Efficient Frontier Of Long-Short Portfolios
by Françoise Charpin & Dominique Lacaze - 757-774 Perfect Hedging Of Index Derivatives Under A Minimal Market Model
by David Heath & Eckhard Platen
2002, Volume 05, Issue 06
- 563-573 From Rags To Riches: On Constant Proportions Investment Strategies
by Igor V. Evstigneev & Klaus Reiner Schenk-Hoppé - 575-583 Moving Averages And Price Dynamics
by R. Baviera & M. Pasquini & J. Raboanary & M. Serva - 585-597 Asymmetries, Correlations And Fat Tails In Percolation Market Model
by Iksoo Chang & Dietrich Stauffer & Ras B. Pandey - 599-618 Distribution-Based Option Pricing On Lattice Asset Dynamics Models
by Yuji Yamada & James A. Primbs - 619-643 Volatility Smile By Multilevel Least Square
by Yves Achdou & Olivier Pironneau - 645-657 Mean Reversion In The Spanish Stock Market Prices Using Fractionally Integrated Semiparametric Techniques
by Javier Depenya & L. A. Gil-Alana - 659-666 Prediction And Volatility Of Black Market Currencies: Evidence From Renminbi And Rial Exchange Rates
by Abdol S. Soofi & Liangyue Cao
2002, Volume 05, Issue 05
- 447-454 A Note On The Pricing Of Index Amortising Rate Swaps In A Worst-Case Scenario
by D. Epstein & P. Wilmott - 455-478 Effect Of Asset Value Correlation On Credit-Linked Note Values
by C. H. Hui & C. F. Lo - 479-495 A Model For Market Closure And International Portfolio Management Within Incomplete Information
by Mondher Bellalah & Zhen Wu - 497-514 American Options With Regime Switching
by John Buffington & Robert J. Elliott - 515-530 Stochastic Volatility
by Sotirios Sabanis - 531-540 Inner Market As A 'Black Box' Of Parameters For The Entire Market
by Ari Belenkiy - 541-562 A Correlated Stochastic Volatility Model Measuring Leverage And Other Stylized Facts
by Jaume Masoliver & Josep Perelló
2002, Volume 05, Issue 04
- 333-354 Value-At-Risk Estimation For Dynamic Hedging
by Yuji Yamada & James A. Primbs - 355-383 The Entropy Theory Of Bond Option Pricing
by Les Gulko - 385-399 Portfolio Optimization, Hidden Markov Models, And Technical Analysis Of P&F-Charts
by Robert Elliott & Juri Hinz - 401-426 Correlation Analysis In The Libor And Swap Market Model
by Etienne De Malherbe - 427-446 Lognormal-Mixture Dynamics And Calibration To Market Volatility Smiles
by Damiano Brigo & Fabio Mercurio
2002, Volume 05, Issue 03
- 223-253 Equity Allocation And Portfolio Selection In Insurance: A Simplified Portfolio Model
by Erik Taflin - 255-278 A New Class Of Commodity Hedging Strategies: A Passport Options Approach
by Vicky Henderson & David Hobson & Glenn Kentwell - 279-306 The End-Of-The-Year Bonus: How To Optimally Reward A Trader?
by H. Ahn & Jeff Dewynne & P. Hua & Antony Penaud & Paul Wilmott - 307-320 Option Pricing And Hedging With Temporal Correlations
by Lorenzo Cornalba & Jean-Philippe Bouchaud & Marc Potters - 321-332 Increasing Spot Rates Of Interest: Structure Of The Price Of A Default Free Discount Bond
by Salvador Cruz Rambaud & María Del Carmen Valls Martínez
2002, Volume 05, Issue 02
- 123-146 A Path Integral Approach To Derivative Security Pricing Ii: Numerical Methods
by Marco Rosa-Clot & Stefano Taddei - 147-169 An Accurate Valuation Of Asian Options Using Moments
by G. Fusai & A. Tagliani - 171-187 Optimal Portfolios Under The Threat Of A Crash
by Ralf Korn & Paul Wilmott - 189-221 A Review Of Techniques For The Estimation Of The Term Structure
by Livio Marangio & Massimo Massimo & Alessandro Ramponi
2002, Volume 05, Issue 01
- 1-31 The Britten-Jones And Neuberger Smile-Consistent With Stochastic Volatility Option Pricing Model: A Further Analysis
by Alessandro Rossi - 33-54 Confronting Model Misspecification In Finance: Tractable Collections Of Scenario Probability Measures For Robust Financial Optimization Problems
by Craig Friedman - 55-78 Real Exchange Rate Behaviour Under Hong Kong'S Linked Exchange Rate System: An Empirical Investigation
by Zhichao Zhang - 79-106 All For One … One For All? A Principal Component Analysis Of Latin American Brady Bond Debt From 1994 To 2000
by Kevin Paul Scherer & Marco Avellaneda - 107-122 How Does The Eurodollar Interest Rate Behave?
by Tiziana Di Matteo & Tomaso Aste
2001, Volume 04, Issue 06
- 837-852 A Network Model For Foreign Exchange Arbitrage, Hedging And Speculation
by C. Kenneth Jones - 853-920 Bubbles And Anti-Bubbles In Latin-American, Asian And Western Stock Markets: An Empirical Study
by Anders Johansen & Didier Sornette - 921-938 Credit Contagion: Pricing Cross-Country Risk In Brady Debt Markets
by Marco Avellaneda & Lixin Wu - 939-957 Minimal Cost Index Tracking Under Nonlinear Transaction Costs And Minimal Transaction Unit Constraints
by Hiroshi Konno & Annista Wijayanayake
2001, Volume 04, Issue 05
- 711-731 A Note On Portfolio Management Under Non-Gaussian Logreturns
by Fred Espen Benth & Kenneth Hvistendahl Karlsen & Kristin Reikvam - 733-758 Hedging And Arbitrage Warrants Under Smile Effects: Analysis And Evidence
by Son-Nan Chen & An-Pin Chen & Camus Chang - 759-772 Optimal Trading Strategy With Partial Information And The Value Of Information: The Simplified And Generalized Models
by Zhaojun Yang & Chaoqun Ma - 773-781 Refining The Quadratic Approximation Formula For An American Option
by Woon Kwong Wong & Kai Xu - 783-803 Market Equilibrium With Capital Loss Deduction Options
by Austin Murphy - 805-818 Pricing Barrier Options With Square Root Process
by C. F. Lo & P. H. Yuen & C. H. Hui - 819-835 Coherent Risk Measures For Derivatives Under Black–Scholes Economy
by H. Yang & T. K. Siu
2001, Volume 04, Issue 04
- 567-584 Financial Signal Processing: A Self Calibrating Model
by Robert J. Elliott & William C. Hunter & Barbara M. Jamieson - 585-602 Stock Evaluation Using Fuzzy Logic
by Hussein Dourra & Pepe Siy - 603-620 A Taylor Formula To Price And Hedge European Contingent Claims
by Maria Elvira Mancino - 621-634 Renormalization Of Black-Scholes Equation For Stochastically Fluctuating Interest Rate
by Alexander G. Muslimov & Nikolai A. Silant'Ev - 635-650 "Behavioral Econometric" Interpretation Of Dynamic Supply And Demand Functions In A Market Pricing Model
by Joseph K. Wang - 651-675 From The Implied Volatility Skew To A Robust Correction To Black-Scholes American Option Prices
by Jean-Pierre Fouque & George Papanicolaou & K. Ronnie Sircar - 677-709 Simulated Swaption Delta–Hedging In The Lognormal Forward Libor Model
by Tim Dun & Geoff Barton & Erik Schlögl
2001, Volume 04, Issue 03
- 375-401 Mathematical Pseudo-Completion Of The Bgm Model
by Takashi Yasuoka - 403-437 Volatility Smile Consistent Option Models: A Survey
by George Skiadopoulos - 439-466 Replication Of American Contingent Claims In Incomplete Markets
by Jiongmin Yong - 467-489 Understanding Bid-Ask Spreads Of Derivatives Under Uncertain Volatility And Transaction Costs
by Thierry Ané & Vincent Lacoste - 491-509 The Pricing Of Debt And Pareto-Optimal Financing Under Endogenous Bankruptcy
by M. Shahid Ebrahim & Ike Mathur - 511-534 Wavelet Transforms For The Statistical Analysis Of Returns Generating Stochastic Processes
by Enrico Capobianco - 535-543 How To Price Information By Kullback-Leibler Entropy And A Moment-Return Relation For Portfolios
by Andreas De Vries - 545-565 On The Consistency Of The Deterministic Local Volatility Function Model ('Implied Tree')
by Karl Strobl
2001, Volume 04, Issue 02
- 199-210 A Nonlinear Filtering Approach To Volatility Estimation With A View Towards High Frequency Data
by Rüdiger Frey & Wolfgang J. Runggaldier - 211-243 Incomplete Markets And Short-Sales Constraints: An Equilibrium Approach
by A. Bizid & E. Jouini - 245-261 Incomplete Information With Recursive Preferences
by Jaksa Cvitanić & Ali Lazrak & Marie Claire Quenez & Fernando Zapatero - 263-284 Mean-Variance Hedging For Partially Observed Drift Processes
by Huyên Pham - 285-302 Asymmetrical Information And Incomplete Markets
by Axel Grorud & Monique Pontier - 303-320 A Filtering Approach To Pricing In Multifactor Term Structure Models
by Andrea Gombani & Wolfgang J. Runggaldier - 321-333 Maximizing The Probability Of Achieving A Goal In The Case Of A Partially Observed Drift Process
by Gady Zohar - 335-354 Transaction Costs: A New Point Of View
by Roberto Baviera - 355-359 Closed Form Valuation Of American Barrier Options
by Espen Gaarder Haug - 361-373 The Limitations Of No-Arbitrage Arguments For Real Options
by F. Hubalek & W. Schachermayer
2001, Volume 04, Issue 01
- 1-21 Local Scale Invariance And Contingent Claim Pricing
by J. K. Hoogland & C. D. D. Neumann - 23-43 Local Scale Invariance And Contingent Claim Pricing Ii: Path-Dependent Contingent Claims
by J. K. Hoogland & C. D. D. Neumann - 45-89 Implied And Local Volatilities Under Stochastic Volatility
by Roger W. Lee - 91-119 Weighted Monte Carlo: A New Technique For Calibrating Asset-Pricing Models
by Marco Avellaneda & Robert Buff & Craig Friedman & Nicolas Grandechamp & Lukasz Kruk & Joshua Newman - 121-146 A General Subordinated Stochastic Process For Derivatives Pricing
by J. L. Lesne & J. L. Prigent - 147-177 Operators On Inhomogeneous Time Series
by Gilles Zumbach & Ulrich Müller - 179-195 Option Pricing For Incomplete Markets Via Stochastic Optimization: Transaction Costs, Adaptive Control And Forecast
by Sergei Fedotov & Sergei Mikhailov