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ORCIDFinance and Stochastics, Volume 1
Volume 1, Number 1, December 1996
- Wolfgang M. Schmidt:
On a general class of one-factor models for the term structure of interest rates. 3-24 - Bo Martin Bibby, Michael Malmros Sørensen:
A hyperbolic diffusion model for stock prices. 25-41 - Farshid Jamshidian, Yu Zhu:
Scenario Simulation: Theory and methodology. 43-67 - Fridrik M. Baldursson
, Ioannis Karatzas:
Irreversible investment and industry equilibrium. 69-89
Volume 1, Number 2, April 1997
- Dominique M. Guillaume, Michel M. Dacorogna, Rakhal R. Davé, Ulrich A. Müller, Richard B. Olsen, Olivier V. Pictet:
From the bird's eye to the microscope: A survey of new stylized facts of the intra-daily foreign exchange markets. 95-129 - Ernst Eberlein, Jean Jacod:
On the range of options prices. 131-140 - Tomas Björk, Giovanni B. Di Masi, Yuri Kabanov, Wolfgang J. Runggaldier:
Towards a general theory of bond markets. 141-174
Volume 1, Number 3, July 1997
- Freddy Delbaen, Pascale Monat, Walter Schachermayer, Martin Schweizer, Christophe Stricker:
Weighted norm inequalities and hedging in incomplete markets. 181-227 - Robert J. Elliott, John van der Hoek:
An application of hidden Markov models to asset allocation problems. 229-238 - Yuri M. Kabanov, Mher M. Safarian:
On Leland's strategy of option pricing with transactions costs. 239-250 - Tina Hviid Rydberg:
A note on the existence of unique equivalent martingale measures in a Markovian setting. 251-257
Volume 1, Number 4, September 1997
- Marek Musiela, Marek Rutkowski:
Continuous-time term structure models: Forward measure approach. 261-291 - Farshid Jamshidian:
LIBOR and swap market models and measures. 293-330 - Sven Rady:
Option pricing in the presence of natural boundaries and a quadratic diffusion term. 331-344 - Beniamin Goldys:
A note on pricing interest rate derivatives when forward LIBOR rates are lognormal. 345-352
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