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ORCIDSIAM Journal on Financial Mathematics, Volume 1
Volume 1, Number 1, 2010
- René Carmona, Ronnie Sircar:
Message From the Editors-in-Chief. 1 - Peter Carr, Dilip B. Madan:
Local Volatility Enhanced by a Jump to Default. 2-15 - Constantinos Kardaras, Eckhard Platen
:
Minimizing the Expected Market Time to Reach a Certain Wealth Level. 16-29 - Jin Liang, Bei Hu, Lishang Jiang:
Optimal Convergence Rate of the Binomial Tree Scheme for American Options with Jump Diffusion and Their Free Boundaries. 30-65 - Andreas H. Hamel, Frank Heyde:
Duality for Set-Valued Measures of Risk. 66-95 - Min Dai, Zuo Quan Xu, Xun Yu Zhou:
Continuous-Time Markowitz's Model with Transaction Costs. 96-125 - Jin Feng, Martin Forde, Jean-Pierre Fouque:
Short-Maturity Asymptotics for a Fast Mean-Reverting Heston Stochastic Volatility Model. 126-141 - Thomas R. Hurd, Zhuowei Zhou:
A Fourier Transform Method for Spread Option Pricing. 142-157 - Teemu Pennanen, Irina Penner:
Hedging of Claims with Physical Delivery under Convex Transaction Costs. 158-178 - Arturo Kohatsu-Higa, Salvador Ortiz-Latorre:
Weak Kyle-Back Equilibrium Models for Max and ArgMax. 179-211 - Victor Goodman, Kyounghee Kim:
Common Forward Rate Volatility. 212-229 - Martino Bardi, Annalisa Cesaroni, Luigi Manca:
Convergence by Viscosity Methods in Multiscale Financial Models with Stochastic Volatility. 230-265 - Thaleia Zariphopoulou, Gordan Zitkovic:
Maturity-Independent Risk Measures. 266-288 - Eric Benhamou, Emmanuel Gobet, Mohammed Miri:
Time Dependent Heston Model. 289-325 - Marek Musiela, Thaleia Zariphopoulou:
Portfolio Choice under Space-Time Monotone Performance Criteria. 326-365 - Imen Ben Tahar, H. Mete Soner, Nizar Touzi:
Merton Problem with Taxes: Characterization, Computation, and Approximation. 366-395 - Ilya S. Molchanov, Michael Schmutz:
Multivariate Extension of Put-Call Symmetry. 396-426 - Christian Y. Robert, Mathieu Rosenbaum:
On the Microstructural Hedging Error. 427-453 - Peter Hepperger:
Option Pricing in Hilbert Space-Valued Jump-Diffusion Models Using Partial Integro-Differential Equations. 454-489 - Aurélien Alfonsi, Alexander Schied:
Optimal Trade Execution and Absence of Price Manipulations in Limit Order Book Models. 490-522 - Damir Filipovic, Stefan Tappe, Josef Teichmann:
Term Structure Models Driven by Wiener Processes and Poisson Measures: Existence and Positivity. 523-554 - Rama Cont, Romain Deguest, Yu Hang Kan:
Default Intensities Implied by CDO Spreads: Inversion Formula and Model Calibration. 555-585 - Marco Avellaneda, Stanley Zhang:
Path-Dependence of Leveraged ETF Returns. 586-603 - L. C. G. Rogers:
Dual Valuation and Hedging of Bermudan Options. 604-608 - Archil Gulisashvili:
Asymptotic Formulas with Error Estimates for Call Pricing Functions and the Implied Volatility at Extreme Strikes. 609-641 - Eymen Errais, Kay Giesecke, Lisa R. Goldberg:
Affine Point Processes and Portfolio Credit Risk. 642-665 - Alain Bensoussan, J. David Diltz, SingRu Celine Hoe:
Real Options Games in Complete and Incomplete Markets with Several Decision Makers. 666-728 - Juri Hinz, Max Fehr:
Storage Costs in Commodity Option Pricing. 729-751 - Lars Putzig, Dirk Becherer, Illia Horenko:
Optimal Allocation of a Futures Portfolio Utilizing Numerical Market Phase Detection. 752-779 - Min Dai, Qing Zhang, Qiji Jim Zhu:
Trend Following Trading under a Regime Switching Model. 780-810 - Volker Krätschmer, John Schoenmakers:
Representations for Optimal Stopping under Dynamic Monetary Utility Functionals. 811-832 - Francesco Corielli, Paolo Foschi, Andrea Pascucci:
Parametrix Approximation of Diffusion Transition Densities. 833-867 - Kay Giesecke, Hossein Kakavand, Mohammad Mousavi, Hideyuki Takada:
Exact and Efficient Simulation of Correlated Defaults. 868-896 - Idris Kharroubi, Huyên Pham:
Optimal Portfolio Liquidation with Execution Cost and Risk. 897-931 - Sungwoo Park, Dianne P. O'Leary:
Portfolio Selection Using Tikhonov Filtering to Estimate the Covariance Matrix. 932-961
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