default search action
Google
Google Scholar
Semantic Scholar
Internet Archive Scholar
CiteSeerX
ORCIDFinance and Stochastics, Volume 2
Volume 2, Number 1, November 1997
- L. C. G. Rogers, E. J. Stapleton:
Fast accurate binomial pricing. 3-17 - Mark H. A. Davis:
A note on the forward measure. 19-28 - Stefan Jaschke:
Arbitrage bounds for the term structure of interest rates. 29-40 - Ole E. Barndorff-Nielsen:
Processes of normal inverse Gaussian type. 41-68 - Hans Föllmer, Yuri M. Kabanov:
Optional decomposition and Lagrange multipliers. 69-81
Volume 2, Number 2, February 1998
- Ralf Korn:
Portfolio optimisation with strictly positive transaction costs and impulse control. 85-114 - Rüdiger Frey:
Perfect option hedging for a large trader. 115-141 - Yuri M. Kabanov, Dmitry O. Kramkov:
Asymptotic arbitrage in large financial markets. 143-172 - Huyên Pham, Thorsten Rheinländer, Martin Schweizer:
Mean-variance hedging for continuous processes: New proofs and examples. 173-198 - Lisa R. Goldberg:
Volatility of the short rate in the rational lognormal model. 199-211
Volume 2, Number 3, May 1998
- Ioannis Karatzas, S. G. Kou
:
Hedging American contingent claims with constrained portfolios. 215-258 - Jean Jacod, Albert N. Shiryaev:
Local martingales and the fundamental asset pricing theorems in the discrete-time case. 259-273 - Philip J. Hunt, Joanne E. Kennedy:
Implied interest rate pricing models. 275-293 - Yaozhong Hu, Bernt Øksendal:
Optimal time to invest when the price processes are geometric Brownian motions. 295-310 - Sabrina Mulinacci, Maurizio Pratelli:
Functional convergence of Snell envelopes: Applications to American options approximations. 311-327
Volume 2, Number 4, August 1998
- David Hobson:
Robust hedging of the lookback option. 329-347 - Boris Leblanc, Olivier Scaillet:
Path dependent options on yields in the affine term structure model. 349-367 - Guy Barles, Halil Mete Soner:
Option pricing with transaction costs and a nonlinear Black-Scholes equation. 369-397 - Boris Leblanc, Marc Yor:
Lévy processes in finance: a remedy to the non-stationarity of continuous martingales. 399-408 - Nicole El Karoui, Monique Jeanblanc-Picqué:
Optimization of consumption with labor income. 409-440
manage site settings
To protect your privacy, all features that rely on external API calls from your browser are turned off by default. You need to opt-in for them to become active. All settings here will be stored as cookies with your web browser. For more information see our F.A.Q.
last updated on 2025-12-09 00:13 CET by the dblp team
all metadata released as open data under CC0 1.0 license
see also: Terms of Use | Privacy Policy | Imprint
dblp was originally created in 1993 at:
since 2018, dblp has been operated and maintained by:
the dblp computer science bibliography is funded and supported by:
