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ORCIDSIAM Journal on Financial Mathematics, Volume 5
Volume 5, Number 1, 2014
- Claus Griessler, Martin Keller-Ressel
:
Convex Order of Discrete, Continuous, and Predictable Quadratic Variation and Applications to Options on Variance. 1-19 - Erhan Bayraktar, Zhou Zhou:
On Controller-Stopper Problems with Jumps and Their Applications to Indifference Pricing of American Options. 20-49 - Alberto Bressan, Giancarlo Facchi:
Discrete Bidding Strategies for a Random Incoming Order. 50-70 - Fred Espen Benth, Heidar Eyjolfsson, Almut E. D. Veraart:
Approximating Lévy Semistationary Processes via Fourier Methods in the Context of Power Markets. 71-98 - Ban Zheng, François Roueff, Frédéric Abergel:
Modelling Bid and Ask Prices Using Constrained Hawkes Processes: Ergodicity and Scaling Limit. 99-136 - Peter Bank, Antje Fruth:
Optimal Order Scheduling for Deterministic Liquidity Patterns. 137-152 - Alain Bensoussan, Kwok Chuen Wong, Sheung Chi Phillip Yam, Siu-Pang Yung:
Time-Consistent Portfolio Selection under Short-Selling Prohibition: From Discrete to Continuous Setting. 153-190 - René Aïd, Luciano Campi, Nicolas Langrené, Huyên Pham:
A Probabilistic Numerical Method for Optimal Multiple Switching Problems in High Dimension. 191-231 - Xiao Li, Michael D. Lipkin, Richard B. Sowers:
Dynamics of Bankrupt Stocks. 232-257 - Christoph Czichowsky, Johannes Muhle-Karbe, Walter Schachermayer:
Transaction Costs, Shadow Prices, and Duality in Discrete Time. 258-277 - Ulrich Horst, Felix Naujokat:
When to Cross the Spread? Trading in Two-Sided Limit Order Books. 278-315 - Martin Haugh, Chun Wang:
Dynamic Portfolio Execution and Information Relaxations. 316-359 - Jean-Pierre Fouque, Bin Ren:
Approximation for Option Prices under Uncertain Volatility. 360-383 - Noufel Frikha:
Shortfall Risk Minimization in Discrete Time Financial Market Models. 384-414 - Álvaro Cartea, Sebastian Jaimungal, Jason Ricci:
Buy Low, Sell High: A High Frequency Trading Perspective. 415-444 - Olivier Guéant, Guillaume Royer:
VWAP Execution and Guaranteed VWAP. 445-471 - Winslow Strong:
Generalizations of Functionally Generated Portfolios with Applications to Statistical Arbitrage. 472-492 - Alessandro Gnoatto, Martino Grasselli:
An Affine Multicurrency Model with Stochastic Volatility and Stochastic Interest Rates. 493-531 - G. N. Milstein, Vladimir G. Spokoiny:
Construction of Mean-Self-Financing Strategies for European Options under Regime-Switching. 532-556 - Juan Miguel Montes, Valentina Prezioso, Wolfgang J. Runggaldier:
Monte Carlo Variance Reduction by Conditioning for Pricing with Underlying a Continuous-Time Finite State Markov Process. 557-580 - Matteo Basei, Annalisa Cesaroni, Tiziano Vargiolu:
Optimal Exercise of Swing Contracts in Energy Markets: An Integral Constrained Stochastic Optimal Control Problem. 581-608 - Takuji Arai:
Convex Risk Measures for Càdlàg Processes on Orlicz Hearts. 609-625 - Michail Anthropelos:
Forward Exponential Performances: Pricing and Optimal Risk Sharing. 626-655 - Thorsten Rheinländer, Michael Schmutz:
Quasi-Self-Dual Exponential Lévy Processes. 656-684 - Fred Espen Benth, Salvador Ortiz-Latorre:
A Pricing Measure to Explain the Risk Premium in Power Markets. 685-728 - Sidi Mohamed Ould Aly:
Option Pricing for Stochastic Volatility Models: Vol-of-Vol Expansion. 729-752 - Nora Imkeller, L. C. G. Rogers:
Trading to Stops. 753-781
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