Finance and Stochastics: Back issues

Papers published in Finance and Stochastics

Volume 13 (2009), issue 4

Special Issue on Computational Methods in Finance (Part II)

Hilber, N., Reich, N., Schwab, C. and Winter, C. Numerical methods for Lévy processes
Feng, L. and Linetsky, V. Computing exponential moments of the discrete maximum of a Lévy process and lookback options
Kudryatsev, O. and Levendorskii Fast and accurate pricing of barrier options under Lévy processes
Benhamou, E., Gobet, E. and Miri, M. Smart expansion and fast calibration for jump diffusions
Bäuerle, N. and Rieder, U. MDP algorithms for portfolio optimization problems in pure jump markets
Carmona, R., Fouque, J.-P. and Vestal, D. Interacting particle systems for the computation of rare credit portfolio losses

Volume 13 (2009), issue 3

Special Issue on Computational Methods in Finance (Part I)

Schweizer, M. and Korn, R. Editorial
L'Ecuyer, P. Quasi-Monte Carlo methods with applications in finance
Kaebe, C., Maruhn, J.M. and Sachs, E.W. Adjoint-based Monte Carlo calibration of financial market models
Avikainen, R. On irregular functionals of SDEs and the Euler scheme
Giles, M.B., Higham, D.J. and Mao, X. Analysing multi-level Monte Carlo for options with non-globally Lipschitz payoff
Ninomiya, M. and Ninomiya, S. A new higher-order weak approximation scheme for stochastic differential equations and the Runge–Kutta method
Zheng, H. and Jiang, L. Basket CDS pricing with interacting intensities

Volume 13 (2009), issue 2

El Karoui, N. and Jiao, Y. Stein’s method and zero bias transformation for CDO tranche pricing
Schied, A. and Schöneborn Risk aversion and the dynamics of optimal liquidation strategies in illiquid markets
Anderluh, J.H.M and van der Weide, J.A.M. Double-sided Parisian option pricing
Christensen, K., Podolskij, M. and Vetter, M. Bias-correcting the realized range-based variance in the presence of market microstructure noise
Antonelli, F. and Scarlatti, S. Pricing options under stochastic volatility: a power series approach

Volume 13 (2009), issue 1

Carmona, R. and Nadtochiy, S. Local volatility dynamic models
Schachermayer, W., Sîrbu, M. and Taflin, E. In which financial markets do mutual fund theorems hold true?
Ehlers, P. and Schönbucher, P. Background filtrations and canonical loss processes for top-down models of portfolio credit risk
De Vallière, D., Denis, E. and Kabanov, Y. Hedging of American options under transaction costs
Morlais, M.-A. Quadratic BSDEs driven by a continuous martingale and applications to the utility maximization problem

Volume 12 (2008), issue 4

Bender, C., Sottinen, T. and Valkeila, E. Pricing by hedging and no-arbitrage beyond semimartingales
Schweizer, M. and Wissel, J. Arbitrage-free market models for option prices: The multi-strike case
Chen, Z. and Glasserman, P. Sensitivity estimates for portfolio credit derivatives using Monte Carlo
Levendorskii, S. American and European options in multi-factor jump-diffusion models, near expiry
Lamberton, D. and Mikou, M. The critical price for the American put in an exponential Lévy model
Jacka, S., Berkaoui, A. and Warren, J. No arbitrage and closure results for trading cones with transaction costs

Volume 12 (2008), issue 3

Kabanov, Y. In discrete time a local martingale is a martingale under an equivalent probability measure
Elie, R. and Touzi, N. Optimal lifetime consumption and investment under a drawdown constraint
Jiang, Z. and Pistorius, M. On perpetual American put valuation and first-passage in a regime-switching model with jumps
Fischer, T. Consumption processes and positively homogeneous projection properties
Bender, Ch. and Niethammer, Ch. On q-optimal martingale measures in exponential Lévy models
Malamud, S. Universal bounds for asset prices in heterogeneous economies
Filipovic, D. and Svindland, G. Optimal capital and risk allocations for law- and cash-invariant convex functions

Volume 12 (2008), issue 2

Keller-Ressel, M. and Steiner, T. Yield curve shapes and the asymptotic short rate distribution in affine one-factor models
Rokhlin, D. Asymptotic arbitrage and numéraire portfolios in large financial markets
Coculescu, D., Geman, H. and Jeanblanc, M. Valuation of default-sensitive claims under imperfect information
Publisher's Erratum, vol. 14 (2009), issue 1
Bion-Nadal, J. Dynamic risk measures: Time consistency and risk measures from BMO martingales
Malamud, S. Long run forward rates and long yields of bonds and options in heterogeneous equilibria
Eberlein, E., Papantoleon, A. and Shiryaev, A.N. On the duality principle in option pricing: semimartingale setting

Volume 12 (2007), issue 1

Guasoni, P. and Robertson, S. Optimal importance sampling with explicit formulas in continuous time
Pascucci, A. Free boundary and optimal stopping problems for American Asian optionsk
Seiler, P. and Taub, B. The dynamics of strategic information flows in stock markets + ESM available
Filipovic, D. and Tappe, S. Existence of Lévy term structure models
Ekström, E. and Tysk, J. Convexity theory for the term structure equation

Volume 11 (2007), issue 4

Karatzas, I. and Kardaras, C. The numéraire portfolio in semimartingale financial models
Gloter, A. Efficient estimation of drift parameters in stochastic volatility models
Jourdain, B. Stochastic flows approach to Dupire's formula
Cherny, A. Pricing and hedging European options with discrete-time coherent risk
Alós, E., León, J.A., and Vives, J. On the short-time behavior of the implied volatility for jump-diffusion models with stochastic volatility
Campi, L. and Çetin, U. Insider trading in an equilibrium model with default: a passage from reduced-form to structural modelling
Call for Papers for a special issue of Finance and Stochastics on “Computational Methods in Finance”

Volume 11 (2007), issue 3

Collamore, J.F. and Hoeing, A. Small-time ruin for a financial process modulated by a Harris recurrent Markov chain
Chen, Y.-T., Lee, C.-F. and Sheu, Y.-C. An ODE approach for the expected discounted penalty at ruin in a jump-diffusion model
Rogers, L.C.G. and Scheinkman, J. Optimal exercise of executive stock options
Cascos, I. and Molchanov, I. Multivariate risks and depth-trimmed regions
Choulli,T., Stricker, C. and Li, J. Minimal Hellinger martingale measures of order q
Jakubowski, J. and Zabczyk, J. Exponential moment for HJM models with jumps

Volume 11 (2007), issue 2

Chen, N. and Glasserman, P. Additive and multiplicative duals for American option pricing
Davis, M. H. A. and Mataix-Pastor, V. Negative Libor rates in the swap market model
Jarrow, R. A., Protter, P. and Sezer, D. Information reduction via level crossings in a credit risk model
Bayraktar, E. and Young, V.R. Correspondence between lifetime minimum wealth and utility of consumption
De Vallière, D. Kabanov, Y. and Stricker C. No-arbitrage properties for financial markets with transaction costs and incomplete information
Sara Biagini and Marco Frittelli The supermartingale property of the optimal wealth process for general semimartingales
Acciaio, B. Optimal risk sharing with non-monotone monetary functions
Cherny, A.S. and Grigoriev, P.G. Dilatation monotone risk measures are law invariant

Volume 11 (2007), issue 1

Schweizer, M. Editorial
Décamps, J.-P. and Villeneuve, S. Optimal dividend policy and growth option
Andersen, L. and Piterbarg, V. Moment explosions in stochastic volatility models
Ly Vath, V., Mnif, M. and Pham, H. A model of optimal portfolio selection under liquidity risk and price impact
Chang, L.-B. and Palmer, K. Smooth convergence in the binominal model
Kyprianou, A. E. and Surya, B. A. Principles of smooth and continuous fit in the determination of endogenous bankruptcy levels

Volume 10 (2006), issue 4

Belomestny, D. and Reiß, M. Spectral calibration of Lévy models
Chesney, M. and Gauthier, L. American Parisian options
Pietersz, R. and van Regenmortel, M. Generic market models
Dmitrasinovic-Vidovic, G. and Ware, A. Asymptotic behaviour of mean-quantile efficient portfolios
Ringer, N. and Tehranchi, M. Optimal portfolio choice in the bond market
Roux, A. and Zastawniak, T. A counter-example to the option pricing formula under transaction costs
Campi, L. and Schachermayer, W.A super-replication theorem in Kabanov's model of transaction costs

Volume 10 (2006), issue 3

Carr, P. and Linetsky, V. A jump to default extended CEV model: an application of Bessel processes
Heath, D. and Ku, H. Consistency among trading desks
Embrechts, P. and Puccetti, G. Bounds for functions of dependent risks
Alòs, E. A generalization of the Hull and White formula with applications to option pricing approximation
Cherny, A.S. Weighted V@R and its properties
Hata, H. and Iida, Y. A risk-sensitive stochastic control approach to an optimal investment problem with partial information
Cheridito, P., Delbaen, F. and Kupper, M. Publisher's Erratum to: Coherent and convex monetary risk measures for unbounded càdlàg processes

Volume 10 (2006), issue 2

Guasoni, P. Asymmetric information in fads models
Buehler, H. Consistent variance curve models
Chevalier, E. Optimal early retirement near the expiration of a pension plan
Bergenthum, J. and Rüschendorf, L. Comparison of option prices in semimartingale models
Elliott, R. and Osakwe, C.-J. Option pricing for pure jump processes with Markov switching compensators
Bouchard, B. No-arbitrage in discrete-time markets with proportional transaction costs and general information structure
Rogge, L. Call completeness implies completeness in the n-period model of a financial market

Volume 10 (2006), issue 1

Fusai, G.; Abrahams, I.D. and Sgarra, C. An exact analytical solution for discrete barrier options
Kolodko, A. and Schoenmakers, J. Iterative construction of the optimal Bermudan stopping time
Rockafellar, R.T.; Uryasev, S. and Zabarankin, M. Generalized deviations in risk analysis
Holm Nielsen, P. Utility maximization and risk minimization in life and pension insurance
Zitkovic, G. Financial equilibria in the semimartingale setting: complete markets and markets with withdrawal constraints
Matsumoto, K. Optimal portfolio of low liquid assets with a log-utility function
Cheridito, P. and Summer, C. Utility maximization under increasing risk aversion in one-period models

Volume 9 (2005), issue 4

Carr, P.; Geman, H.; Madan, D. and Yor, M. Pricing options on realized variance
Cox, A.M.G. and Hobson, D.G. Local martingales, bubbles and option prices
Biagini, S. and Frittelli, M. Utility maximization in incomplete markets for unbounded processes
Norberg, R. Anomalous PDEs in Markov chains: Domains of validity and numerical solutions
Detlefsen, K. and Scandolo, G. Conditional and dynamic convex risk measures
Espen Benth, F. and Meyer-Brandis, T. The density process of the minimal entropy martingale measure in a stochastic volatility model with jumps
Schloegl, L. and O'Kane, D. The large homogeneous portfolio approximation with the Student-t copula
Ilhan, A.; Jonsson, M. and Sircar, R. Optimal investment with derivative securities
Krätschmer, V. Robust representation of convex risk measures by probability measures

Volume 9 (2005), issue 3

Cont, R. and Voltchkova, E. Integro-differential equations for option prices in exponential Lévy models
Eberlein, E. and Özkan, F. The Lévy LIBOR model
Detemple, J.; Garcia, R. and Rindisbacher, M. Representation formulas for Malliavin derivatives of diffusion processes
Cheridito, P.; Delbaen, P. and Kupper, M. Coherent and convex monetary risk measures for unbounded càdlàg processes
Publishers Erratum, vol. 10 (2006), issue 3
Tehranchi, M. A note on invariant measures for HJM models
Rheinländer, T. An entropy approach to the Stein and Stein model with correlation
Muroi, Y. Pricing contingent claims with credit risk: Asymptotic expansion approach
Taflin, E. Bond market completeness and attainable contingent claims

Volume 9 (2005), issue 2

Gundel, A. Robust utility maximization for complete and incomplete market models
Larsen, K.; Pirvu, T.A.; Shreve, S.E. and Tütüncü, R. Satisfying convex risk limits by trading
Björk, T. and Hult, H. A note on Wick products and the fractional Black-Scholes model
Chen, L. and Filipovic, D. A simple model for credit migration and spread curves
Kruse, S. and Nögel, U. On the pricing of forward starting options in Heston's model on stochastic volatility
Peskir, G. The Russian option: Finite horizon
Barrieu, P. and El Karoui, N. Inf-convolution of risk measures and optimal risk transfer

Volume 9 (2005), issue 1

Fernholz, R.; Karatzas, I. and Kardaras, C. Diversity and relative arbitrage in financial markets
Brigo, D. and Alfonsi, A. Credit default swap calibration and derivatives pricing with the SSRD stochastic intensity model
Hughston, L.P. and Rafailidis, A. A chaotic approach to interest rate modelling
Eberlein, E.; Jacod, J. and Raible, S. Lévy term structure models: no-arbitrage and completeness
Szimayer, A. Valuation of American options in the presence of event risk
Corcuera, J.M.; Nualart, D. and Schoutens, W. Completion of a Lévy market by power-jump assets
Arai, T. An extension of mean-variance hedging to the discontinuous case
Melnikov, A.V. and Petrachenko, Y.G. On option pricing in binomial market with transaction costs

Volume 8 (2004), issue 4

Fouque, J.-P.; Papanicolaou, G.; Sircar, R. and Solna, K. Maturity cycles in implied volatility
Møller, T. Stochastic orders in dynamic reinsurance markets
Gao, Y.; Lim, K.G. and Ng, K.H. An approximation pricing algorithm in an incomplete market: a differential geometric approach
Courtault, J.; Delbaen, F.; Kabanov, Y. and Stricker, C. On the law of one price
Jouini, E.; Meddeb, M. and Touzi, N. Vector-valued coherent risk measures
Sass, J. and Haussmann, U.G. Optimizing the terminal wealth under partial information: the drift process as a continuous time markov chain
Bouchard, B. and Pham, H. Wealth-path dependent utility maximization in incomplete markets

Volume 8 (2004), issue 3

Çetin, U.; Jarrow R.A. and Protter, P. Liquidity risk and arbitrage pricing theory
Jamshidian, F. Valuation of credit default swaps and swaptions
Linetsky, V. Lookback options and diffusion hitting times: A spectral expansion approach
Musiela, M. and Zariphopoulou, T. A valuation algorithm for indifference prices in incomplete markets
Baudoin, F. and Nguyen-Ngoc, L. The financial value of a weak information on a financial market
Corcuera, J.; Imkeller, P.; Kohatsu-Higa, A. and Nualart, D. Additional utility of insiders with imperfect dynamical information

Volume 8 (2004), issue 2

El-Khatib, Y. and Privault, N. Computations of Greeks in a market with jumps via the Malliavin calculus
Janecek, K. and Shreve, S. Asymptotic analysis for optimal investment and consumption with transaction costs
Kabanov, Y. and Klüppelberg, C. A geometric approach to portfolio optimization in models with transaction costs
Musiela, M. and Zariphopoulou, T. An example of indifference prices under exponential preferences
Xia, J. Multi-agent investment in incomplete markets
Kallsen, J. and Kühn, C. Pricing derivatives of American and game type in incomplete markets
Lasserre, G. Asymmetric information and imperfect competition in a continuous time multivariate security model

Volume 8 (2004), issue 1

Dembo, A.; Deuschel, J.D. and Duffie, D. Large portfolio losses
Emmer, S. and Klüppelberg, C. Optimal portfolios when stock prices follow an exponential Lévy process
Bouchard, B.; Ekeland, I. and Touzi, N. On the Malliavin approach to Monte Carlo approximation of conditional expectations
Kyprianou, A.E. Some calculations for Israeli options
De Donno, M. and Pratelli, M. On the use of measure-valued strategies in bond markets
Jeantheau, T. A link between complete models with stochastic volatility and ARCH models
Jouini, E. and Napp, C. Convergence of utility functions and convergence of optimal strategies
Blanchet-Scalliet, C. and Jeanblanc, M. Hazard rate for credit risk and hedging defaultable contingent claims

Volume 7 (2003), issue 4

Mykland, P. The interpolation of options
Schachermayer, W. A super-martingale property of the optimal portfolio process
Paulsen, J. Optimal dividend payouts for diffusions with solvency constraints
Skiadas, C. Robust control and recursive utility
Jouini, E. Convergence of the equilibrium prices in a family of financial models
Fujiwara, T. and Miyahara, Y. The minimal entropy martingale measures for geometric Lévy processes
Cheridito, P. Arbitrage in fractional Brownian motion models

Volume 7 (2003), issue 3

Benth, F.E.; Karlsen, K.H. and Reikvam, K. A semilinear Black and Scholes partial differential equation for valuing American options
Hipp, C. and Plum, M. Optimal investment for investors with state dependent income, and for insurers
Takamizawa, H. and Shoji, I. Modeling the term structure of interest rates with general short-sate models
Walsh, J.B. The rate of convergence of the binomial tree scheme
Dette, H. and von Lieres und Wilkau, C. On a test for a parametric form of volatility in continuous time financial models
Mania, M.; Santacroce, M. and Tevzadze, R. A semimartingale BSDE related to the minimal entropy martingale measure
Kabanov, Y.; Rásonyi M. and Stricker Ch. On the closedness of sums of convex cones in L⁰ and the robust no-arbitrage property
Göing-Jaeschke, A. and Yor, M. Clarification note about hitting times densities for Ornstein-Uhlenbeck processes

Volume 7 (2003), issue 2

Embrechts, P.; Höing, A. and Juri, A. Using copulae to bound the Value-at-Risk for functions of dependent risks
Pham, H. A large deviations approach to optimal long term investment
Møller, T. Indifference pricing of insurance contracts in a product space model
Xia, J. Dividing gains between a client and her agent
Hörfelt, P. Extension of the corrected barrier approximation by Broadie, Glasserman and Kou
Fleming, W.H. and Hernández-Hernández, D. An optimal consumption model with stochastic volatility
Dempster, M.A.H.; Evstigneev, I.V. and Schenk-Hoppé, K.R. Exponential growth of fixed-mix strategies in stationary asset markets

Volume 7 (2003), issue 1

Glasserman, P. and Merener, N. Numerical solution of jump-diffusion LIBOR market models
Amendinger, J.; Becherer, D. and Schweizer, M. A monetary value for initial information in portfolio optimization
Cho, K.H. Continuous auctions and insider trading: uniqueness and risk aversion
Dassios, A. and Jang, J.W. Pricing of catastrophe reinsurance and derivatives using the Cox process with shot noise intensity
Taksar, M. I. and Markussen, C. Optimal Dynamic Reinsurance Policies for Large Insurance Portfolios
Borovkov, K.; Klebaner, F.C.; Virag, E. Random Step Functions Model for Interest Rates

Volume 6 (2002), issue 4:

Kallsen, J. and Shiryaev, A.N. The Cumulant Process and Esscher's Change of Measure
Föllmer, H. and Schied, A. Convex measures of risk and trading constraints
Clément, E.; Lamberton, D. and Protter, P. An Analysis of a Least Squares Regression Method for American Option Pricing
Mordecki, E. Optimal Stopping and Perpetual Options for Lévy processes
Bouchard, B. Utility Maximization on the Real Line under Proportional Transaction Costs
Talay D. and Zheng Z. Worst case model risk management

Volume 6 (2002), issue 3:

Friedman, A. and Shen, W. A variational inequality approach to financial valuation of retirement benefits based on salary
Björk, T. and Landén, C. On the construction of finite dimensional realizations for nonlinear forward rate models
Babbs, S.H. Conditional Gaussian models of the term structure of interest rates
Nielsen, J.A. and Sandmann, K. Pricing of Asian exchange rate options under stochastic interest rates as a sum of options
Kabanov, Y.M. ; Rásonyi, M. and Stricker, C. No-arbitrage criteria for financial markets with efficient friction
Albeverio, S. and Steblovskaya, V. A model of financial market with several interacting assets. Complete market case.

Volume 6 (2002), issue 2:

Schmock, U.; Shreve S.E. and Wystup, U. Valuation of exotic options under shortselling constraints
Schlögl, E. A multicurrency extension of the lognormal interest rate market models
León, J.A.; Solé, J.L.; Utzet, F. and Vives, J. On Lévy processes, Malliavin calculus and market models with jumps
Frolova, A.; Kabanov, Y. and Pergamenshchikov, S. In the insurance business risky investments are dangerous
Hilberink, B. and Rogers, L.C.G. Optimal capital structure and endogenous default
Griffin, P.S. The expectations hypothesis with non-negative rates

Volume 6 (2002), issue 1:

Bru, B. and Yor, M. Comments on the life and mathematical legacy of Wolfgang Doeblin
Malliavin, P. and Mancino, M.E. Fourier series method for measurement of multivariate volatilities
Geman, H.; Madan, D.B. and Yor, M. Stochastic volatility, jumps and hidden time changes
Guasoni, P. Risk minimization under transaction costs
Kallsen, J. Derivative pricing based on local utility maximization

Volume 5 (2001), issue 4:

Møller, T. Risk-minimizing hedging strategies for insurance payment processes
Benth, F.E.; Karlsen, K.H. and Reikvam, K. Optimal portfolio management rules in a non-Gaussian market with durability and intertemporal substitution
Fernholz, R. Equity portfolios generated by functions of ranked market weights
Bank, P. and Riedel, F. Existence and structure of stochastic equilibria with intertemporal substitution
Elliott, R.J. and van der Hoek, J. Stochastic flows and the forward measure
Højgaard, B. and Taksar, M. Optimal risk control for a large corporation in the presence of returns on investments
Reisman, H. Black and Scholes pricing and markets with transaction costs: an example
Goll, T. and Rüschendorf, L. Minimax and minimal distance martingale measures and their relationship to portfolio optimization

Volume 5 (2001), issue 3:

Benth, F.E.; Karlsen, K.H. and Reikvam, K. Optimal portfolio selection with consumption and nonlinear integro-differential equations with gradient constraint: a viscosity solution approach
Jouini, E. and Napp, C. Arbitrage and investment opportunities
Becherer, D. The numeraire portfolio for unbounded semimartingales
Sottinen, T. Fractional Brownian motion, random walks and binary market models
Gobet, E. and Temam, E. Discrete time hedging errors for options with irregular payoffs
Brigo, D. and Mercurio, F. A deterministic-shift extension of analytically-tractable and time-homogenous short-rate models
Filipovic, D. A general characterization of affine term structure models
Tütüncü, R.H. A note on calculating the optimal risky portfolio

Volume 5 (2001), issue 2:

Rogers, L.C.G. The relaxed investor and parameter uncertainty
Duffie, D. and Pan, J. Analytical value-at-risk with jumps and credit risk
Jaschke, S. and Küchler, U. Coherent risk measures and good-deal bounds
Fournié, E.; Lasry, J.-M.; Lebuchoux, J. and Lions, P.-L. Applications of Malliavin calculus to Monte Carlo methods in finance. II
Chiarella, C. and Kwon O.K. Forward rate dependent Markovian transformations of the Heath-Jarrow-Morton term structure model
Cvitanic, J.; Schachermayer, W. and Wang, H. Utility maximization in incomplete markets with random endowments

Volume 5 (2001), issue 1:

Taqqu, M.S. Bachelier and his times: a conversation with Bernard Bru
Carr, P.; Jin, X. and Madan, D. Optimal investment in derivatives securities
Zariphopoulou, T. A solution approach to valuation with unhedgeable risks
Anh, V.V. and Nguyen, C.N. Semimartingale representation of fractional Riesz-Bessel motion
Barndorff-Nielsen, O.E. and Prause, K. Apparent scaling
Hartvig, N.V.; Jensen, J.L. and Pedersen, J. A class of risk neutral densities with heavy tails

Volume 4 (2000), issue 4:

Landén, C. Bond pricing in a hidden Markov model of the short rate
Hunt, P.; Kennedy, J. and A. Pelsser, A. Markov-functional interest rate models
Hansen, T. and Poulsen, R. A simple regime switching term structure model
Döberlein, F; Schweizer, M. and Stricker, C. Implied savings accounts are unique
Kifer, Y. Game options
Aase, K.; Privault, N.; Øksendal, B. and Ubøe, J. White noise generalizations of the Clark-Haussmann-Ocone theorem, with application to mathematical finance

Volume 4 (2000), issue 3:

Shreve, S.E. and Vecer, J. Options on a traded account: vacation calls, vacation puts and passport options
Frittelli, M. Introduction to a theory of value coherent with the no-arbitrage
Asmussen, S.; Højgaard, B. and Taksar, M. Optimal risk control and dividend distribution policies. Example of excess-of-loss reinsurance for an insurance corporation
Romagnoli, S. and Vargiolu, T. Robustness of the Black-Scholes approach in the case of options on several assets
Norvaisa, R. Modelling of stock price changes: a real analysis approach

Volume 4 (2000), issue 2:

Föllmer, H. and Leukert, P. Efficient hedging: cost versus shortfall risk
Brigo, D. and Mercurio, F. Option pricing impact of alternative continuous-time dynamics for discretely-observed stock prices
Frey, R. Superreplication in stochastic volatility models and optimal stopping
Härdle, W. and Hafner, C. Discrete time option pricing with flexible volatility estimation
Bellamy, N. and Jeanblanc, M. Incompleteness of markets driven by a mixed diffusion
Øksendal A. Irreversible investment problems

Volume 4 (2000), issue 1:

Bielecki, T. and Pliska, S. Risk sensitive asset management with transaction costs
Glasserman, P. and Zhao, X. Arbitrage-free discretization of lognormal forward libor and swap rate models
Henderson, V. and Hobson, D. Local time, coupling and the passport option
Lesne, J.P.; Prigent, J.L. and Scaillet, O. Convergence of discrete time option pricing models under stochastic interest rates
Pelsser, A. Pricing double barrier options using Laplace transforms
Hui, C.H.; Lo, C.F. and Yuen, P.H. Comment on "Pricing double barrier options using Laplace transforms" by Antoon Pelsser
Leblanc, B.; Renault, O. and Scaillet, O. A correction note on the first passage time of an Orstein-Uhlenbeck process to a boundary

Volume 3 (1999), issue 4:

Norberg, R. A theory of bonus in life insurance
Fournié, E.; Lasry, J.M.; Lebuchoux, J. and Touzi, N. An application of Malliavin calculus to Monte Carlo methods in finance
Björk, T. and Gombani, A. Minimal realizations of interest rate models
Knudsen, T.S.; Meister, B. and Zervos, M. On the relationship of the dynamic programming approach and the contingent claim approach to asset valuation
Cvitanic, J. and Karatzas, I. On dynamic measures of risk
Vargiolu, T. Invariant measures for the Musiela equation with deterministic diffusion term

Volume 3 (1999), issue 3:

Föllmer, H. and Leukert, P. Quantile Hedging
Browne, S. Beating a moving target: optimal portfolio strategies for outperforming a stochastic benchmark
Villeneuve, S. Exercise regions of American option on several assets
Pedersen, J. Convergence of strategies: an approach using Clark-Haussmann's formula
Constantinides, G.M. and Zariphopoulou, T. Bounds on prices of contingent claims in an intertemporal economy with proportional transaction costs and general preferences

Volume 3 (1999), issue 2:

Cadenillas, A. and Pliska, S.R. Optimal trading of a security when there are taxes and transaction costs
Khanna, A. and Kulldorff, M. A generalization of the mutual fund theorem
Gallus, C. Exploding hedging errors for digital options
Dritschel, M. and Protter, P. Complete markets with discontinuous security price
Platen, E. A short term interest rate model
Mordecki, E. Optimal stopping for a diffusion with jumps
Kabanov, Y.M. Hedging and liquidation under transaction costs in currency markets

Volume 3 (1999), issue 1:

Teverovsky, V.; Taqqu, M.S. and Willinger, W. Stock market prices and long-range dependence
Huang, C. and Zariphopoulou, T. Turnpike behavior of long-term investments
Cvitanic, J.; Pham, H. and Touzi, N. A closed-form solution to the problem of super-replication under transaction costs
Broadie, M.; Glasserman, P. and Kou, S. Connecting discrete and continuous path-dependent options
Laurent, J.P. and Pham, H. Dynamic programming and mean-variance hedging
Jarrow, R.A. and Madan, D.B. Hedging contingent claims on semimartingales

Volume 2 (1998), issue 4:

Hobson, D.G. Robust hedging of the lookback option
Leblanc, B. and Scaillet, O. Path dependent options on yields in the affine term structure model
Barles, G. and Soner, H.M. Option pricing with transaction costs and a nonlinear Black-Scholes equation
Leblanc, B. and Yor, M. Lévy processes in finance: a remedy to the non-stationarity of continuous martingales
El Karoui, N. and Jeanblanc-Picque, M. Optimization of consumption with labor income

Volume 2 (1998), issue 3:

Karatzas, I. and Kou, S.G. Hedging American contingent claims with constrained portfolios
Jacod, J. and Shiryaev, A.N. Local martingales and the fundamental asset pricing theorems in the discrete-time case
Hunt, P.J. and Kennedy, J.E. Implied interest rate pricing models
Hu, Y. and Øksendal, B. Optimal time to invest when the price processes are geometric Brownian motions
Mulinacci, S. and Pratelli, M. Functional convergence of Snell envelopes; applications to American options approximations

Volume 2 (1998), issue 2:

Korn, R. Portfolio optimisation with strictly positive transaction costs and impulse control
Frey, R. Perfect option hedging for a large trader
Kabanov, Y.M. and Kramov, D.O. Asymptotic arbitrage in large financial markets
Pham, H.; Rheinländer, T. and Schweizer, M. Mean-variance hedging for continuous processes: new proofs and examples
Goldberg, L.R. Volatility of the short rate in the rational lognormal model

Volume 2 (1998), issue 1:

Rogers, L.C.G. and Stapleton, E.J.M. Fast accurate binomial pricing
Davis, M. A note on the forward measure
Jaschke, S.R. Arbitrage bounds for the term structure of interest rates
Barndorff-Nielssen, O.E. Processes of normal inverse Gaussian type
Föllmer, H. and Kabanov, Y.M. Optional decomposition and Lagrange multipliers

Volume 1 (1997), issue 4:

Musiela, M. and Rutkowski, M. Continuous-time term structure models: forward measure approach
Jamshidian, F. LIBOR and swap market models and measures
Rady, S. Option pricing in the presence of boundaries and a quadratic diffusion term
Goldys, B. A note on pricing interest rate derivatives when forward LIBOR rates are lognormal

Volume 1 (1997), issue 3:

Delbaen, F.; Monat, P.; Schachermayer, W.; Schweizer, M. and Stricker, C. Weighted norm inequalities and hedging in incomplete markets
Elliott, R.J. and van der Hoek, J. An application of hidden Markov models to asset allocation problems
Kabanov, Y.M. and Safarian, M.M. On Leland's strategy of option pricing with transactions costs
Rydberg, T.H. A note on the existence of unique equivalent martingale measures in a Markovian setting

Volume 1 (1997), issue 2:

Guillaume, D.M.; Dacorogna, M.M.; Davé, R.R.; Müller, U.A.; Olsen, R.B. and Pictet, O.V. From the bird's eye to the microscope: a survey of new stylized facts of the intra-daily foreign exchange markets
Eberlein, E. and Jacod, J. On the range of options prices
Björk, T.; Di Masi, G.; Kabanov, Y.M. and Runggaldier, W. Towards a general theory of bond markets

Volume 1 (1997), issue 1:

Schmidt, W.M. On a general class of non-factor models for the term structure of interest rates
Bibby, B.M. and Sørensen, M. A hyperbolic diffusion model for stock prices
Jamshidian, F. and Zhu, Y. Scenario simulation: theory and methodology
Baldursson, F.M. and Karatzas, I. Irreversible investment and industry equilibrium

Last update 25.05.2012 St. Neidhardt