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ORCIDFinance and Stochastics, Volume 11
Volume 11, Number 1, January 2007
- Martin Schweizer:
Editorial. 1-2 - Jean-Paul Décamps, Stéphane Villeneuve:
Optimal dividend policy and growth option. 3-27 - Leif Andersen, Vladimir V. Piterbarg:
Moment explosions in stochastic volatility models. 29-50 - Vathana Ly Vath, Mohamed Mnif, Huyên Pham:
A model of optimal portfolio selection under liquidity risk and price impact. 51-90 - Lo-Bin Chang, Kenneth James Palmer:
Smooth convergence in the binomial model. 91-105 - Alexander Schied:
Optimal investments for risk- and ambiguity-averse preferences: a duality approach. 107-129 - Andreas E. Kyprianou, Budhi Arta Surya:
Principles of smooth and continuous fit in the determination of endogenous bankruptcy levels. 131-152
Volume 11, Number 2, April 2007
- Nan Chen
, Paul Glasserman:
Additive and multiplicative duals for American option pricing. 153-179 - Mark H. A. Davis, Vicente Mataix-Pastor:
Negative Libor rates in the swap market model. 181-193 - Robert A. Jarrow, Philip Protter, A. Deniz Sezer:
Information reduction via level crossings in a credit risk model. 195-212 - Erhan Bayraktar, Virginia R. Young:
Correspondence between lifetime minimum wealth and utility of consumption. 213-236 - Dimitri De Vallière, Yuri Kabanov, Christophe Stricker:
No-arbitrage criteria for financial markets with transaction costs and incomplete information. 237-251 - Sara Biagini, Marco Frittelli:
The supermartingale property of the optimal wealth process for general semimartingales. 253-266 - Beatrice Acciaio:
Optimal risk sharing with non-monotone monetary functionals. 267-289 - Alexander S. Cherny, Pavel G. Grigoriev:
Dilatation monotone risk measures are law invariant. 291-298
Volume 11, Number 3, July 2007
- Jeffrey F. Collamore, Andrea Höing:
Small-time ruin for a financial process modulated by a Harris recurrent Markov chain. 299-322 - Yu-Ting Chen, Cheng-Few Lee, Yuan-Chung Sheu:
An ODE approach for the expected discounted penalty at ruin in a jump-diffusion model. 323-355 - L. C. G. Rogers, José A. Scheinkman:
Optimal exercise of executive stock options. 357-372 - Ignacio Cascos, Ilya S. Molchanov:
Multivariate risks and depth-trimmed regions. 373-397 - Tahir Choulli, Christophe Stricker, Jia Li:
Minimal Hellinger martingale measures of order q. 399-427 - Jacek Jakubowski, Jerzy Zabczyk:
Exponential moments for HJM models with jumps. 429-445
Volume 11, Number 4, October 2007
- Ioannis Karatzas, Constantinos Kardaras:
The numéraire portfolio in semimartingale financial models. 447-493 - Arnaud Gloter:
Efficient estimation of drift parameters in stochastic volatility models. 495-519 - Benjamin Jourdain:
Stochastic flow approach to Dupire's formula. 521-535 - Alexander S. Cherny:
Pricing and hedging European options with discrete-time coherent risk. 537-569 - Elisa Alòs, Jorge A. León, Josep Vives:
On the short-time behavior of the implied volatility for jump-diffusion models with stochastic volatility. 571-589 - Luciano Campi, Umut Çetin:
Insider trading in an equilibrium model with default: a passage from reduced-form to structural modelling. 591-602
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