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Finance and Stochastics, Volume 4
Volume 4, Number 1, January 2000
- Tomasz R. Bielecki, Stanley R. Pliska:
Risk sensitive asset management with transaction costs. 1-33 - Paul Glasserman, Xiaoliang Zhao:
Arbitrage-free discretization of lognormal forward Libor and swap rate models. 35-68 - Vicky Henderson, David Hobson:
Local time, coupling and the passport option. 69-80 - Jean-Philippe Lesne, Jean-Luc Prigent
, Olivier Scaillet:
Convergence of discrete time option pricing models under stochastic interest rates. 81-93 - Antoon Pelsser
Pricing double barrier options using Laplace transforms. 95-104 - Cho-Hoi Hui, Chi-Fai Lo, P. H. Yuen:
Comment on 'Pricing double barrier options using Laplace transforms' by Antoon Pelsser. 105-107 - Boris Leblanc, Olivier Renault, Olivier Scaillet:
A correction note on the first passage time of an Ornstein-Uhlenbeck process to a boundary. 109-111
Volume 4, Number 2, February 2000
- Hans Föllmer, Peter Leukert:
Efficient hedging: Cost versus shortfall risk. 117-146 - Damiano Brigo, Fabio Mercurio:
Option pricing impact of alternative continuous-time dynamics for discretely-observed stock prices. 147-159 - Rüdiger Frey:
Superreplication in stochastic volatility models and optimal stopping. 161-187 - Wolfgang K. Härdle, Christian M. Hafner:
Discrete time option pricing with flexible volatility estimation. 189-207 - Nadine Bellamy, Monique Jeanblanc:
Incompleteness of markets driven by a mixed diffusion. 209-222 - Anders Øksendal:
Irreversible investment problems. 223-250
Volume 4, Number 3, May 2000
- Steven E. Shreve, Jan Vecer
Options on a traded account: Vacation calls, vacation puts and passport options. 255-274 - Marco Frittelli
Introduction to a theory of value coherent with the no-arbitrage principle. 275-297 - Søren Asmussen, Bjarne Højgaard, Michael Taksar:
Optimal risk control and dividend distribution policies. Example of excess-of loss reinsurance for an insurance corporation. 299-324 - Silvia Romagnoli, Tiziano Vargiolu:
Robustness of the Black-Scholes approach in the case of options on several assets. 325-341 - Rimas Norvaisa:
Modelling of stock price changes: A real analysis approach. 343-369
Volume 4, Number 4, August 2000
- Camilla Landén:
Bond pricing in a hidden Markov model of the short rate. 371-389 - Phil Hunt, Joanne Kennedy, Antoon Pelsser:
Markov-functional interest rate models. 391-408 - Asbjørn T. Hansen, Rolf Poulsen:
A simple regime switching term structure model. 409-429 - Frank Döberlein, Martin Schweizer, Christophe Stricker:
Implied savings accounts are unique. 431-442 - Yuri Kifer:
Game options. 443-463 - Knut K. Aase, Bernt Øksendal, Nicolas Privault, Jan Ubøe:
White noise generalizations of the Clark-Haussmann-Ocone theorem with application to mathematical finance. 465-496
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