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ORCIDFinance and Stochastics, Volume 16
Volume 16, Number 1, January 2012
- Lars Peter Hansen, José A. Scheinkman:
Pricing growth-rate risk. 1-15 - Stefan Ankirchner, Gregor Heyne:
Cross hedging with stochastic correlation. 17-43 - S. Kaji, Shinichi Kotani:
Financial inverse problem and reconstruction of infinitely divisible distributions with Gaussian component. 45-62 - René Carmona, Sergey Nadtochiy
:
Tangent Lévy market models. 63-104 - Rüdiger Frey, Thorsten Schmidt:
Pricing and hedging of credit derivatives via the innovations approach to nonlinear filtering. 105-133 - Emmanuel Denis, Yuri Kabanov:
Consistent price systems and arbitrage opportunities of the second kind in models with transaction costs. 135-154 - Ludger Rüschendorf:
Worst case portfolio vectors and diversification effects. 155-175
Volume 16, Number 2, April 2012
- Gordan Zitkovic:
An example of a stochastic equilibrium with incomplete markets. 177-206 - Jan-Henrik Steg:
Irreversible investment in oligopoly. 207-224 - Aleksandar Mijatovic, Mikhail Urusov:
Deterministic criteria for the absence of arbitrage in one-dimensional diffusion models. 225-247 - Cristina Costantini, Marco Papi, Fernanda D'Ippoliti:
Singular risk-neutral valuation equations. 249-274 - Erhan Bayraktar, Constantinos Kardaras, Hao Xing:
Strict local martingale deflators and valuing American call-type options. 275-291 - Cassio Neri, Lorenz Schneider:
Maximum entropy distributions inferred from option portfolios on an asset. 293-318 - John Schoenmakers:
A pure martingale dual for multiple stopping. 319-334 - Peter Carr, Roger Lee, Liuren Wu:
Variance swaps on time-changed Lévy processes. 335-355
Volume 16, Number 3, July 2012
- Julien Grépat, Yuri Kabanov:
Small transaction costs, absence of arbitrage and consistent price systems. 357-368 - Jun Sekine:
Long-term optimal portfolios with floor. 369-401 - Elisa Alòs:
A decomposition formula for option prices in the Heston model and applications to option pricing approximation. 403-422 - Jérôme Detemple, Weidong Tian, Jie Xiong:
An optimal stopping problem with a reward constraint. 423-448 - Zhengjun Jiang, Martijn Pistorius:
Optimal dividend distribution under Markov regime switching. 449-476 - Lihua Bai, Martin Hunting, Jostein Paulsen:
Optimal dividend policies for a class of growth-restricted diffusion processes under transaction costs and solvency constraints. 477-511 - Delia Coculescu, Monique Jeanblanc, Ashkan Nikeghbali:
Default times, no-arbitrage conditions and changes of probability measures. 513-535 - Michal Barski, Jerzy Zabczyk:
Forward rate models with linear volatilities. 537-560
Volume 16, Number 4, October 2012
- Vladimir Vovk:
Continuous-time trading and the emergence of probability. 561-609 - David Hobson, Martin Klimmek:
Model-independent hedging strategies for variance swaps. 611-649 - Constantinos Kardaras:
Market viability via absence of arbitrage of the first kind. 651-667 - Beatrice Acciaio, Hans Föllmer, Irina Penner:
Risk assessment for uncertain cash flows: model ambiguity, discounting ambiguity, and the role of bubbles. 669-709 - Christa Cuchiero, Martin Keller-Ressel, Josef Teichmann:
Polynomial processes and their applications to mathematical finance. 711-740 - Paolo Guasoni, Emmanuel Lépinette, Miklós Rásonyi:
The fundamental theorem of asset pricing under transaction costs. 741-777 - Kasper Larsen, Hang Yu:
Horizon dependence of utility optimizers in incomplete models. 779-801
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