Volume 3, Number 1, 2012
- Ivar Ekeland, Oumar Mbodji, Traian A. Pirvu:
Time-Consistent Portfolio Management.
1-32
- José E. Figueroa-López, Martin Forde:
The Small-Maturity Smile for Exponential Lévy Models.
33-65
- Johannes Muhle-Karbe, Oliver Pfaffel, Robert Stelzer:
Option Pricing in Multivariate Stochastic Volatility Models of OU Type.
66-94
- Akihiko Takahashi, Toshihiro Yamada:
An Asymptotic Expansion with Push-Down of Malliavin Weights.
95-136
- Paul Glasserman, Sira Suchintabandid:
Quadratic Transform Approximation for CDO Pricing in Multifactor Models.
137-162
- Robert Almgren:
Optimal Trading with Stochastic Liquidity and Volatility.
163-181
- Peter Carr, Laurent Cousot:
Explicit Constructions of Martingales Calibrated to Given Implied Volatility Smiles.
182-214
- Sam Howison:
Asymptotic Approximations for Asian, European, and American Options with Discrete Averaging or Discrete Dividend/Coupon Payments.
215-241
- Luciano Campi, M. Del Vigna:
Weak Insider Trading and Behavioral Finance.
242-279
- Patrick Cheridito, Ashkan Nikeghbali, Eckhard Platen:
Processes of Class Sigma, Last Passage Times, and Drawdowns.
280-303
- Nicole Bäuerle, Sebastian P. Urban, Luitgard A. M. Veraart:
The Relaxed Investor with Partial Information.
304-327
- Patrick Cheridito, Alexander Wugalter:
Pricing and Hedging in Affine Models with Possibility of Default.
328-350
- Erhan Bayraktar, Constantinos Kardaras, Hao Xing:
Valuation Equations for Stochastic Volatility Models.
351-373
Last update Sat May 18 17:18:38 2013
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