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ORCIDFinance and Stochastics, Volume 8
Volume 8, Number 1, January 2004
- Freddy Delbaen, Paul Embrechts, Hans Föllmer, Yuri Kabanov, Steven E. Shreve:
Editorial. 1-2 - Amir Dembo, Jean-Dominique Deuschel, Darrell Duffie:
Large portfolio losses. 3-16 - Susanne Emmer, Claudia Klüppelberg
:
Optimal portfolios when stock prices follow an exponential Lévy process. 17-44 - Bruno Bouchard, Ivar Ekeland, Nizar Touzi:
On the Malliavin approach to Monte Carlo approximation of conditional expectations. 45-71 - Andreas E. Kyprianou:
Some calculations for Israeli options. 73-86 - Marzia De Donno, Maurizio Pratelli:
On the use of measure-valued strategies in bond markets. 87-109 - Thierry Jeantheau:
A link between complete models with stochastic volatility and ARCH models. 111-131 - Elyès Jouini, Clotilde Napp:
Convergence of utility functions and convergence of optimal strategies. 133-144 - Christophette Blanchet-Scalliet, Monique Jeanblanc:
Hazard rate for credit risk and hedging defaultable contingent claims. 145-159
Volume 8, Number 2, May 2004
- Youssef El-Khatib, Nicolas Privault:
Computations of Greeks in a market with jumps via the Malliavin calculus. 161-179 - Karel Janecek, Steven E. Shreve:
Asymptotic analysis for optimal investment and consumption with transaction costs. 181-206 - Yuri Kabanov, Claudia Klüppelberg:
A geometric approach to portfolio optimization in models with transaction costs. 207-227 - Marek Musiela, Thaleia Zariphopoulou:
An example of indifference prices under exponential preferences. 229-239 - Jianming Xia:
Multi-agent investment in incomplete markets. 241-259 - Jan Kallsen, Christoph Kühn:
Pricing derivatives of American and game type in incomplete markets. 261-284 - Guillaume Lasserre:
Asymmetric information and imperfect competition in a continuous time multivariate security model. 285-309
Volume 8, Number 3, August 2004
- Umut Çetin, Robert A. Jarrow, Philip Protter:
Liquidity risk and arbitrage pricing theory. 311-341 - Farshid Jamshidian:
Valuation of credit default swaps and swaptions. 343-371 - Vadim Linetsky:
Lookback options and diffusion hitting times: A spectral expansion approach. 373-398 - Marek Musiela, Thaleia Zariphopoulou:
A valuation algorithm for indifference prices in incomplete markets. 399-414 - Fabrice Baudoin, Laurent Nguyen-Ngoc:
The financial value of a weak information on a financial market. 415-435 - José Manuel Corcuera, Peter Imkeller, Arturo Kohatsu-Higa, David Nualart:
Additional utility of insiders with imperfect dynamical information. 437-450
Volume 8, Number 4, November 2004
- Jean-Pierre Fouque, George Papanicolaou, Ronnie Sircar, Knut Sølna:
Maturity cycles in implied volatility. 451-477 - Thomas Møller:
Stochastic orders in dynamic reinsurance markets. 479-499 - Yuan Gao, Kian Guan Lim, Kah Hwa Ng:
An approximation pricing algorithm in an incomplete market: A differential geometric approach. 501-523 - Jean-Michel Courtault, Freddy Delbaen, Yuri Kabanov, Christophe Stricker:
On the law of one price. 525-530 - Elyès Jouini, Moncef Meddeb, Nizar Touzi:
Vector-valued coherent risk measures. 531-552 - Jörn Sass, Ulrich G. Haussmann:
Optimizing the terminal wealth under partial information: The drift process as a continuous time Markov chain. 553-577 - Bruno Bouchard, Huyên Pham:
Wealth-path dependent utility maximization in incomplete markets. 579-603
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