Volume 1, Number 1, 2010
- René Carmona, Ronnie Sircar:
Message From the Editors-in-Chief.
1
- Peter Carr, Dilip B. Madan:
Local Volatility Enhanced by a Jump to Default.
2-15
- Constantinos Kardaras, Eckhard Platen:
Minimizing the Expected Market Time to Reach a Certain Wealth Level.
16-29
- Jin Liang, Bei Hu, Lishang Jiang:
Optimal Convergence Rate of the Binomial Tree Scheme for American Options with Jump Diffusion and Their Free Boundaries.
30-65
- Andreas H. Hamel, Frank Heyde:
Duality for Set-Valued Measures of Risk.
66-95
- Min Dai, Zuo Quan Xu, Xun Yu Zhou:
Continuous-Time Markowitz's Model with Transaction Costs.
96-125
- Jin Feng, Martin Forde, Jean-Pierre Fouque:
Short-Maturity Asymptotics for a Fast Mean-Reverting Heston Stochastic Volatility Model.
126-141
- Thomas R. Hurd, Zhuowei Zhou:
A Fourier Transform Method for Spread Option Pricing.
142-157
- Teemu Pennanen, Irina Penner:
Hedging of Claims with Physical Delivery under Convex Transaction Costs.
158-178
- A. Kohatsu-Higa, S. Ortiz-Latorre:
Weak Kyle-Back Equilibrium Models for Max and ArgMax.
179-211
- Victor Goodman, Kyounghee Kim:
Common Forward Rate Volatility.
212-229
- Martino Bardi, Annalisa Cesaroni, Luigi Manca:
Convergence by Viscosity Methods in Multiscale Financial Models with Stochastic Volatility.
230-265
- Thaleia Zariphopoulou, Gordan Zitkovic:
Maturity-Independent Risk Measures.
266-288
- Eric Benhamou, Emmanuel Gobet, Mohammed Miri:
Time Dependent Heston Model.
289-325
- M. Musiela, Thaleia Zariphopoulou:
Portfolio Choice under Space-Time Monotone Performance Criteria.
326-365
- Imen Ben Tahar, H. Mete Soner, Nizar Touzi:
Merton Problem with Taxes: Characterization, Computation, and Approximation.
366-395
- Ilya S. Molchanov, Michael Schmutz:
Multivariate Extension of Put-Call Symmetry.
396-426
- Christian Y. Robert, Mathieu Rosenbaum:
On the Microstructural Hedging Error.
427-453
- Peter Hepperger:
Option Pricing in Hilbert Space-Valued Jump-Diffusion Models Using Partial Integro-Differential Equations.
454-489
- Aurélien Alfonsi, Alexander Schied:
Optimal Trade Execution and Absence of Price Manipulations in Limit Order Book Models.
490-522
- Damir Filipovic, Stefan Tappe, Josef Teichmann:
Term Structure Models Driven by Wiener Processes and Poisson Measures: Existence and Positivity.
523-554
- Rama Cont, Romain Deguest, Yu Hang Kan:
Default Intensities Implied by CDO Spreads: Inversion Formula and Model Calibration.
555-585
- Marco Avellaneda, Stanley Zhang:
Path-Dependence of Leveraged ETF Returns.
586-603
- L. C. G. Rogers:
Dual Valuation and Hedging of Bermudan Options.
604-608
- Archil Gulisashvili:
Asymptotic Formulas with Error Estimates for Call Pricing Functions and the Implied Volatility at Extreme Strikes.
609-641
- Eymen Errais, Kay Giesecke, Lisa R. Goldberg:
Affine Point Processes and Portfolio Credit Risk.
642-665
- Alain Bensoussan, J. David Diltz, SingRu Celine Hoe:
Real Options Games in Complete and Incomplete Markets with Several Decision Makers.
666-728
- Juri Hinz, Max Fehr:
Storage Costs in Commodity Option Pricing.
729-751
- L. Putzig, D. Becherer, I. Horenko:
Optimal Allocation of a Futures Portfolio Utilizing Numerical Market Phase Detection.
752-779
- M. Dai, Q. Zhang, Q. J. Zhu:
Trend Following Trading under a Regime Switching Model.
780-810
- Volker Krätschmer, John Schoenmakers:
Representations for Optimal Stopping under Dynamic Monetary Utility Functionals.
811-832
- Francesco Corielli, Paolo Foschi, Andrea Pascucci:
Parametrix Approximation of Diffusion Transition Densities.
833-867
- Kay Giesecke, Hossein Kakavand, Mohammad Mousavi, H. Takada:
Exact and Efficient Simulation of Correlated Defaults.
868-896
- Idris Kharroubi, Huyên Pham:
Optimal Portfolio Liquidation with Execution Cost and Risk.
897-931
- Sungwoo Park, Dianne P. O'Leary:
Portfolio Selection Using Tikhonov Filtering to Estimate the Covariance Matrix.
932-961
Last update Mon May 20 18:23:57 2013
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