Finance and Stochastics, Volume 10

Volume 10, Number 1, January 2006

• Gianluca Fusai, I. David Abrahams, Carlo Sgarra:
  An exact analytical solution for discrete barrier options. 1-26
  
• Anastasia Kolodko, John Schoenmakers:
  Iterative construction of the optimal Bermudan stopping time. 27-49
  
• R. Tyrrell Rockafellar, Stan Uryasev, Michael Zabarankin:
  Generalized deviations in risk analysis. 51-74
  
• Peter Holm Nielsen:
  Utility maximization and risk minimization in life and pension insurance. 75-97
  
• Gordan Zitkovic:
  Financial equilibria in the semimartingale setting: Complete markets and markets with withdrawal constraints. 99-119
  
• Koichi Matsumoto:
  Optimal portfolio of low liquid assets with a log-utility function. 121-145
  
• Patrick Cheridito, Christopher Summer:
  Utility maximization under increasing risk aversion in one-period models. 147-158
  

Volume 10, Number 2, April 2006

• Paolo Guasoni:
  Asymmetric Information in Fads Models. 159-177
  
• Hans Buehler:
  Consistent Variance Curve Models. 178-203
  
• E. Chevalier:
  Optimal Early Retirement Near the Expiration of a Pension Plan. 204-221
  
• Jan Bergenthum, Ludger Rüschendorf:
  Comparison of Option Prices in Semimartingale Models. 222-249
  
• Robert J. Elliott, Carlton-James U. Osakwe:
  Option Pricing for Pure Jump Processes with Markov Switching Compensators. 250-275
  
• Bruno Bouchard:
  No-arbitrage in Discrete-time Markets with Proportional Transaction Costs and General Information structure. 276-297
  
• Lothar Rogge:
  Call Completeness Implies Completeness in the n -period Model of a Financial Market. 298-301
  

Volume 10, Number 3, September 2006

• Peter Carr, Vadim Linetsky:
  A jump to default extended CEV model: an application of Bessel processes. 303-330
  
• David Heath, Hyejin Ku:
  Consistency among trading desks. 331-340
  
• Paul Embrechts, Giovanni Puccetti:
  Bounds for Functions of Dependent Risks. 341-352
  
• Elisa Alòs:
  A generalization of the Hull and White formula with applications to option pricing approximation. 353-365
  
• A. S. Cherny:
  Weighted V@R and its Properties. 367-393
  
• Hiroaki Hata, Yasunari Iida:
  A risk-sensitive stochastic control approach to an optimal investment problem with partial information. 395-426
  
• Patrick Cheridito, Freddy Delbaen, Michael Kupper:
  Coherent and convex monetary risk measures for unbounded càdlàg processes. 427-448
  

Volume 10, Number 4, December 2006

• Denis Belomestny, Markus Reiß:
  Spectral calibration of exponential Lévy models. 449-474
  
• Marc Chesney, Laurent Gauthier:
  American Parisian options. 475-506
  
• Raoul Pietersz, Marcel van Regenmortel:
  Generic market models. 507-528
  
• Gordana Dmitrasinovic-Vidovic, Antony Ware:
  Asymptotic behaviour of mean-quantile efficient portfolios. 529-551
  
• Nathanael Ringer, Michael Tehranchi:
  Optimal portfolio choice in the bond market. 553-573
  
• Alet Roux, Tomasz Zastawniak:
  A counter-example to an option pricing formula under transaction costs. 575-578
  
• Luciano Campi, Walter Schachermayer:
  A super-replication theorem in Kabanov's model of transaction costs. 579-596