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ORCIDFinance and Stochastics, Volume 23
Volume 23, Number 1, January 2019
- Jean-Paul Décamps, Stéphane Villeneuve:
A two-dimensional control problem arising from dynamic contracting theory. 1-28 - Christoph Belak, Sören Christensen
:
Utility maximisation in a factor model with constant and proportional transaction costs. 29-96 - Tiziano De Angelis, Gabriele Stabile:
On the free boundary of an annuity purchase. 97-137 - Mario Hefter, Arnulf Jentzen:
On arbitrarily slow convergence rates for strong numerical approximations of Cox-Ingersoll-Ross processes and squared Bessel processes. 139-172 - Alain Bensoussan, Kwok Chuen Wong, Sheung Chi Phillip Yam:
A paradox in time-consistency in the mean-variance problem? 173-207 - Denis Belomestny, Tobias Hübner, Volker Krätschmer, Sascha Nolte:
Minimax theorems for American options without time-consistency. 209-238 - Wing Fung Chong, Ying Hu, Gechun Liang, Thaleia Zariphopoulou:
An ergodic BSDE approach to forward entropic risk measures: representation and large-maturity behavior. 239-273
Volume 23, Number 2, April 2019
- Charles-Albert Lehalle, Eyal Neuman:
Incorporating signals into optimal trading. 275-311 - Paolo Guasoni, Yu-Jui Huang:
Consumption, investment and healthcare with aging. 313-358 - David Hobson, Dominykas Norgilas:
Robust bounds for the American put. 359-395 - Delia Coculescu, Monique Jeanblanc:
Some no-arbitrage rules under short-sales constraints, and applications to converging asset prices. 397-421 - Elisa Alòs, Kenichiro Shiraya:
Estimating the Hurst parameter from short term volatility swaps: a Malliavin calculus approach. 423-447
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