SIAM Journal on Financial Mathematics, Volume 2

Volume 2, Number 1, 2011

• Takuji Arai:
  Good Deal Bounds Induced by Shortfall Risk. 1-21
  
• Mark Davis, Sebastien Lleo:
  Jump-Diffusion Risk-Sensitive Asset Management I: Diffusion Factor Model. 22-54
  
• Mats Brodén, Magnus Wiktorsson:
  On the Convergence of Higher Order Hedging Schemes: The Delta-Gamma Case. 55-78
  
• Sergei Levendorskii:
  Convergence of Price and Sensitivities in Carr's Randomization Approximation Globally and Near Barrier. 79-111
  
• Rama Cont, Yu Hang Kan:
  Dynamic Hedging of Portfolio Credit Derivatives. 112-140
  
• Alexander M. G. Cox, Jan Oblój:
  Robust Hedging of Double Touch Barrier Options. 141-182
  
• Silviu Predoiu, Gennady Shaikhet, Steven E. Shreve:
  Optimal Execution in a General One-Sided Limit-Order Book. 183-212
  
• Mathias Beiglböck, Peter Friz, Stephan Sturm:
  Is the Minimum Value of an Option on Variance Generated by Local Volatility? 213-220
  
• Jean-Pierre Fouque, Matthew J. Lorig:
  A Fast Mean-Reverting Correction to Heston's Stochastic Volatility Model. 221-254
  
• Lech A. Grzelak, Cornelis W. Oosterlee:
  On the Heston Model with Stochastic Interest Rates. 255-286
  
• Rama Cont, Nicolas Lantos, Olivier Pironneau:
  A Reduced Basis for Option Pricing. 287-316
  
• Rudra P. Jena, Peter Tankov:
  Arbitrage Opportunities in Misspecified Stochastic Volatility Models. 317-341
  
• Frédéric Abergel, Nicolas Millot:
  Nonquadratic Local Risk-Minimization for Hedging Contingent Claims in Incomplete Markets. 342-356
  
• Marco Frittelli, Marco Maggis:
  Dual Representation of Quasi-convex Conditional Maps. 357-382
  
• Gianluca Fusai, Daniele Marazzina, Marina Marena:
  Pricing Discretely Monitored Asian Options by Maturity Randomization. 383-403
  
• Bruno Bouchard, Ngoc-Minh Dang, Charles-Albert Lehalle:
  Optimal Control of Trading Algorithms: A General Impulse Control Approach. 404-438
  
• Fang Fang, Cornelis W. Oosterlee:
  A Fourier-Based Valuation Method for Bermudan and Barrier Options under Heston's Model. 439-463
  
• Sebastian Jaimungal, Vladimir Surkov:
  Lévy-Based Cross-Commodity Models and Derivative Valuation. 464-487
  
• Michael Ludkovski:
  Stochastic Switching Games and Duopolistic Competition in Emissions Markets. 488-511
  
• Jonathan Goodman, Daniel N. Ostrov:
  An Option to Reduce Transaction Costs. 512-537
  
• Benjamin Jourdain, M. H. Vellekoop:
  Regularity of the Exercise Boundary for American Put Options on Assets with Discrete Dividends. 538-561
  
• Christian Bender:
  Primal and Dual Pricing of Multiple Exercise Options in Continuous Time. 562-586
  
• Pierre Del Moral, Peng Hu, Nadia Oudjane, Bruno Rémillard:
  On the Robustness of the Snell Envelope. 587-626
  
• N. Bush, B. M. Hambly, Helen Haworth, L. Jin, Christoph Reisinger:
  Stochastic Evolution Equations in Portfolio Credit Modelling. 627-664
  
• Jean-Pierre Fouque, Sebastian Jaimungal, Matthew J. Lorig:
  Spectral Decomposition of Option Prices in Fast Mean-Reverting Stochastic Volatility Models. 665-691
  
• Xinzheng Huang, Cornelis W. Oosterlee:
  Saddlepoint Approximations for Expectations and an Application to CDO Pricing. 692-714
  
• Zhijian Wu, Chunhui Yu, Xiaohua Zheng:
  Managing Risk with Short-Term Futures Contracts. 715-726
  
• Baojun Bian, Sheng Miao, Harry Zheng:
  Smooth Value Functions for a Class of Nonsmooth Utility Maximization Problems. 727-747
  
• Gordana Dmitrasinovic-Vidovic, Antony Ware:
  Optimal Portfolios of Mean-Reverting Instruments. 748-767
  
• Tim Leung, Mike Ludkovski:
  Optimal Timing to Purchase Options. 768-793
  
• Peter Carr, Sergey Nadtochiy:
  Static Hedging under Time-Homogeneous Diffusions. 794-838
  
• Robert Jarrow, Younes Kchia, Philip Protter:
  How to Detect an Asset Bubble. 839-865
  
• El Hadj Aly Dia, Damien Lamberton:
  Continuity Correction for Barrier Options in Jump-Diffusion Models. 866-900
  
• Wen Cheng, Nick Costanzino, John Liechty, Anna L. Mazzucato, Victor Nistor:
  Closed-Form Asymptotics and Numerical Approximations of 1D Parabolic Equations with Applications to Option Pricing. 901-934
  
• Richard Jordan, Charles Tier:
  Asymptotic Approximations to Deterministic and Stochastic Volatility Models. 935-964
  
• Paul V. Johnson, Nicholas J. Sharp, Peter W. Duck, David P. Newton:
  A Bridge between American and European Options: The "Ameripean" Delayed-Exercise Model. 965-988
  
• Marie Bernhart, Peter Tankov, Xavier Warin:
  A Finite-Dimensional Approximation for Pricing Moving Average Options. 989-1013
  
• Wahid Faidi, Anis Matoussi, Mohamed Mnif:
  Maximization of Recursive Utilities: A Dynamic Maximum Principle Approach. 1014-1041
  
• Sophie Laruelle, Charles-Albert Lehalle, Gilles Pagès:
  Optimal Split of Orders Across Liquidity Pools: A Stochastic Algorithm Approach. 1042-1076
  

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