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ORCIDFinance and Stochastics, Volume 18
Volume 18, Number 1, January 2014
- Stefan Gerhold, Paolo Guasoni
, Johannes Muhle-Karbe, Walter Schachermayer:
Transaction costs, trading volume, and the liquidity premium. 1-37 - Henri Pagès, Dylan Possamaï:
A mathematical treatment of bank monitoring incentives. 39-73 - Paolo Guasoni, Constantinos Kardaras, Scott Robertson, Hao Xing:
Abstract, classic, and explicit turnpikes. 75-114 - Peter Carr, Travis Fisher, Johannes Ruf:
On the hedging of options on exploding exchange rates. 115-144 - Walter Farkas, Pablo Koch-Medina, Cosimo Munari:
Beyond cash-additive risk measures: when changing the numéraire fails. 145-173 - Masaaki Fukasawa:
Efficient discretization of stochastic integrals. 175-208 - Stefan Tappe, Stefan Weber:
Stochastic mortality models: an infinite-dimensional approach. 209-248 - Claudia Ravanelli, Gregor Svindland:
Comonotone Pareto optimal allocations for law invariant robust utilities on L 1. 249-269
Volume 18, Number 2, April 2014
- Volker Krätschmer, Alexander Schied, Henryk Zähle:
Comparative and qualitative robustness for law-invariant risk measures. 271-295 - Francesca Biagini, Hans Föllmer, Sorin Nedelcu:
Shifting martingale measures and the birth of a bubble as a submartingale. 297-326 - Yan Dolinsky, H. Mete Soner:
Robust hedging with proportional transaction costs. 327-347 - Kun Gao, Roger Lee:
Asymptotics of implied volatility to arbitrary order. 349-392 - Koichiro Takaoka, Martin Schweizer:
A note on the condition of no unbounded profit with bounded risk. 393-405 - Fred Espen Benth, Jukka Lempa:
Optimal portfolios in commodity futures markets. 407-430 - Lijun Bo, Agostino Capponi:
Bilateral credit valuation adjustment for large credit derivatives portfolios. 431-482 - Emmanuel Gobet:
A correction note to "Discrete time hedging errors for options with irregular payoffs". 483-485
Volume 18, Number 3, July 2014
- Winslow Strong:
Fundamental theorems of asset pricing for piecewise semimartingales of stochastic dimension. 487-514 - Claudio Fontana, Monique Jeanblanc, Shiqi Song:
On arbitrages arising with honest times. 515-543 - Tomas Björk, Agatha Murgoci:
A theory of Markovian time-inconsistent stochastic control in discrete time. 545-592 - Vicky Henderson, Gechun Liang:
Pseudo linear pricing rule for utility indifference valuation. 593-615 - Jakob Söhl:
Confidence sets in nonparametric calibration of exponential Lévy models. 617-649 - Maxim Bichuch:
Pricing a contingent claim liability with transaction costs using asymptotic analysis for optimal investment. 651-694 - Takashi Kato:
An optimal execution problem with market impact. 695-732
Volume 18, Number 4, October 2014
- Teemu Pennanen:
Optimal investment and contingent claim valuation in illiquid markets. 733-754 - Agostino Capponi, Stefano Pagliarani, Tiziano Vargiolu:
Pricing vulnerable claims in a Lévy-driven model. 755-789 - Marcel Nutz:
Superreplication under model uncertainty in discrete time. 791-803 - Jörn Sass, Martin Smaga:
FTAP in finite discrete time with transaction costs by utility maximization. 805-823 - Daniel Hackmann, Alexey Kuznetsov:
Asian options and meromorphic Lévy processes. 825-844 - Curdin Ott:
Bottleneck options. 845-872 - Maxim Bichuch, Stephan Sturm:
Portfolio optimization under convex incentive schemes. 873-915 - Irene Klein, Emmanuel Lépinette, Lavinia Perez-Ostafe:
Asymptotic arbitrage with small transaction costs. 917-939
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