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ORCIDFinance and Stochastics, Volume 7
Volume 7, Number 1, January 2003
- Paul Glasserman, Nicolas Merener:
Numerical solution of jump-diffusion LIBOR market models. 1-27 - Jürgen Amendinger, Dirk Becherer
, Martin Schweizer:
A monetary value for initial information in portfolio optimization. 29-46 - Kyung-Ha Cho:
Continuous auctions and insider trading: uniqueness and risk aversion. 47-71 - Angelos Dassios, Ji-Wook Jang:
Pricing of catastrophe reinsurance and derivatives using the Cox process with shot noise intensity. 73-95 - Michael I. Taksar, Charlotte Markussen:
Optimal dynamic reinsurance policies for large insurance portfolios. 97-121 - Konstantin Borovkov, Fima C. Klebaner, Eleanor Virag:
Random step functions model for interest rates. 123-143
Volume 7, Number 2, April 2003
- Paul Embrechts, Andrea Höing, Alessandro Juri:
Using copulae to bound the Value-at-Risk for functions of dependent risks. 145-167 - Huyên Pham:
A large deviations approach to optimal long term investment. 169-195 - Thomas Møller:
Indifference pricing of insurance contracts in a product space model. 197-217 - Jianming Xia:
Dividing gains between a client and her agent. 219-230 - Per Hörfelt:
Extension of the corrected barrier approximation by Broadie, Glasserman, and Kou. 231-243 - Wendell H. Fleming, Daniel Hernández-Hernández:
An optimal consumption model with stochastic volatility. 245-262 - Michael A. H. Dempster, Igor V. Evstigneev, Klaus Reiner Schenk-Hoppé:
Exponential growth of fixed-mix strategies in stationary asset markets. 263-276
Volume 7, Number 3, July 2003
- Fred E. Benth, Kenneth H. Karlsen, Kristin Reikvam:
A semilinear Black and Scholes partial differential equation for valuing American options. 277-298 - Christian Hipp, Michael Plum:
Optimal investment for investors with state dependent income, and for insurers. 299-321 - Hideyuki Takamizawa, Isao Shoji:
Modeling the term structure of interest rates with general short-rate models. 323-335 - John B. Walsh:
The rate of convergence of the binomial tree scheme. 337-361 - Holger Dette, Carsten von Lieres und Wilkau:
On a test for a parametric form of volatility in continuous time financial models. 363-384 - Michael Mania, Marina Santacroce, Revaz Tevzadze:
A semimartingale BSDE related to the minimal entropy martingale measure. 385-402 - Yuri Kabanov, Miklós Rásonyi, Christophe Stricker:
On the closedness of sums of convex cones in L0 and the robust no-arbitrage property. 403-411 - Anja Göing-Jaeschke, Marc Yor:
A clarification note about hitting times densities for Ornstein-Uhlenbeck processes. 413-415
Volume 7, Number 4, October 2003
- Per Aslak Mykland:
The interpolation of options. 417-432 - Walter Schachermayer:
A super-martingale property of the optimal portfolio process. 433-456 - Jostein Paulsen:
Optimal dividend payouts for diffusions with solvency constraints. 457-473 - Costis Skiadas:
Robust control and recursive utility. 475-489 - Elyès Jouini:
Convergence of the equilibrium prices in a family of financial models. 491-507 - Tsukasa Fujiwara, Yoshio Miyahara:
The minimal entropy martingale measures for geometric Lévy processes. 509-531 - Patrick Cheridito:
Arbitrage in fractional Brownian motion models. 533-553
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