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Finance and Stochastics, Volume 5
Volume 5, Number 1, January 2001
- Albert N. Shiryaev, Steven E. Shreve, Dieter Sondermann:
Editorial. 1-2 - Murad S. Taqqu:
Bachelier and his times: A conversation with Bernard Bru. 3-32 - Peter Carr, Xing Jin, Dilip B. Madan:
Optimal investment in derivative securities. 33-59 - Thaleia Zariphopoulou:
A solution approach to valuation with unhedgeable risks. 61-82 - Vo V. Anh, C. N. Nguyen:
Semimartingale representation of fractional Riesz-Bessel motion. 83-101 - Ole E. Barndorff-Nielsen, Karsten Prause:
Apparent scaling. 103-113 - Niels Væver Hartvig, Jens Ledet Jensen
, Jan Pedersen:
A class of risk neutral densities with heavy tails. 115-128
Volume 5, Number 2, April 2001
- L. C. G. Rogers:
The relaxed investor and parameter uncertainty. 131-154 - Darrell Duffie, Jun Pan:
Analytical value-at-risk with jumps and credit risk. 155-180 - Stefan Jaschke, Uwe Küchler:
Coherent risk measures and good-deal bounds. 181-200 - Eric Fournié, Jean-Michel Lasry, Jérôme Lebuchoux, Pierre-Louis Lions:
Applications of Malliavin calculus to Monte-Carlo methods in finance. II. 201-236 - Carl Chiarella, Oh Kang Kwon:
Forward rate dependent Markovian transformations of the Heath-Jarrow-Morton term structure model. 237-257 - Jaksa Cvitanic, Walter Schachermayer, Hui Wang:
Utility maximization in incomplete markets with random endowment. 259-272
Volume 5, Number 3, July 2001
- Fred E. Benth, Kenneth H. Karlsen, Kristin Reikvam:
Optimal portfolio selection with consumption and nonlinear integro-differential equations with gradient constraint: A viscosity solution approach. 275-303 - Elyès Jouini, Clotilde Napp:
Arbitrage and investment opportunities. 305-325 - Dirk Becherer
The numeraire portfolio for unbounded semimartingales. 327-341 - Tommi Sottinen
Fractional Brownian motion, random walks and binary market models. 343-355 - Emmanuel Gobet, Emmanuel Temam:
Discrete time hedging errors for options with irregular payoffs. 357-367 - Damiano Brigo, Fabio Mercurio:
A deterministic-shift extension of analytically-tractable and time-homogeneous short-rate models. 369-387 - Damir Filipovic
A general characterization of one factor affine term structure models. 389-412 - Reha H. Tütüncü:
A note on calculating the optimal risky portfolio. 413-417
Volume 5, Number 4, October 2001
- Thomas Møller:
Risk-minimizing hedging strategies for insurance payment processes. 419-446 - Fred E. Benth, Kenneth H. Karlsen, Kristin Reikvam:
Optimal portfolio management rules in a non-Gaussian market with durability and intertemporal substitution. 447-467 - Robert Fernholz:
Equity portfolios generated by functions of ranked market weights. 469-486 - Peter Bank, Frank Riedel:
Existence and structure of stochastic equilibria with intertemporal substitution. 487-509 - Robert J. Elliott, John van der Hoek:
Stochastic flows and the forward measure. 511-525 - Bjarne Højgaard, Michael Taksar:
Optimal risk control for a large corporation in the presence of returns on investments. 527-547 - Haim Reisman:
Black and Scholes pricing and markets with transaction costs: An example. 549-555 - Thomas Goll, Ludger Rüschendorf:
Minimax and minimal distance martingale measures and their relationship to portfolio optimization. 557-581
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