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Finance and Stochastics

Статьи последних нескольких выпусков журнала Finance and Stochastics © Springer
  • The numeraire portfolio in semimartingale financial models
    Finance and Stochastics, Vol. 11, No. 4. (October 2007), pp. 447-493.
    by Karatzas, Ioannis, Kardaras, Constantinos
  • Efficient estimation of drift parameters in stochastic volatility models
    Finance and Stochastics, Vol. 11, No. 4. (October 2007), pp. 495-519.
    by Gloter, Arnaud
  • Stochastic flow approach to Dupires formula
    Finance and Stochastics, Vol. 11, No. 4. (October 2007), pp. 521-535.
    by Jourdain,
  • Pricing and hedging European options with discrete-time coherent risk
    Finance and Stochastics, Vol. 11, No. 4. (October 2007), pp. 537-569.
    by Cherny, Alexander
  • On the short-time behavior of the implied volatility for jump-diffusion models with stochastic volatility
    Finance and Stochastics, Vol. 11, No. 4. (October 2007), pp. 571-589.
    by Alos, Elisa, Leon, Jorge, Vives, Josep
  • Insider trading in an equilibrium model with default: a passage from reduced-form to structural modelling
    Finance and Stochastics, Vol. 11, No. 4. (October 2007), pp. 591-602.
    by Campi, Luciano, Cetin, Umut
  • Small-time ruin for a financial process modulated by a Harris recurrent Markov chain
    Finance and Stochastics, Vol. 11, No. 3. (July 2007), pp. 299-322.
    by Collamore, Jeffrey, Hoing, Andrea
  • An ODE approach for the expected discounted penalty at ruin in a jump-diffusion model
    Finance and Stochastics, Vol. 11, No. 3. (July 2007), pp. 323-355.
    by Chen, Yu-Ting, Lee, Cheng-Few, Sheu, Yuan-Chung
  • Optimal exercise of executive stock options
    Finance and Stochastics, Vol. 11, No. 3. (July 2007), pp. 357-372.
    by Rogers, , Scheinkman, Jose
  • Multivariate risks and depth-trimmed regions
    Finance and Stochastics, Vol. 11, No. 3. (July 2007), pp. 373-397.
    by Cascos, Ignacio, Molchanov, Ilya
  • Minimal Hellinger martingale measures of order q
    Finance and Stochastics, Vol. 11, No. 3. (July 2007), pp. 399-427.
    by Choulli, Tahir, Stricker, Christophe, Li, Jia
  • Exponential moments for HJM models with jumps
    Finance and Stochastics, Vol. 11, No. 3. (July 2007), pp. 429-445.
    by Jakubowski, Jacek, Zabczyk, Jerzy
  • Additive and multiplicative duals for American option pricing
    Finance and Stochastics, Vol. 11, No. 2. (April 2007), pp. 153-179.
    by Chen, Nan, Glasserman, Paul
  • Negative Libor rates in the swap market model
    Finance and Stochastics, Vol. 11, No. 2. (April 2007), pp. 181-193.
    by Davis, Mark, Mataix-Pastor, Vicente
  • Information reduction via level crossings in a credit risk model
    Finance and Stochastics, Vol. 11, No. 2. (April 2007), pp. 195-212.
    by Jarrow, Robert, Protter, Philip, Sezer,
  • Correspondence between lifetime minimum wealth and utility of consumption
    Finance and Stochastics, Vol. 11, No. 2. (April 2007), pp. 213-236.
    by Bayraktar, Erhan, Young, Virginia
  • No-arbitrage criteria for financial markets with transaction costs and incomplete information
    Finance and Stochastics, Vol. 11, No. 2. (April 2007), pp. 237-251.
    by De Valliere, Dimitri, Kabanov, Yuri, Stricker, Christophe
  • The supermartingale property of the optimal wealth process for general semimartingales
    Finance and Stochastics, Vol. 11, No. 2. (April 2007), pp. 253-266.
    by Biagini, Sara, Frittelli, Marco
  • Optimal risk sharing with non-monotone monetary functionals
    Finance and Stochastics, Vol. 11, No. 2. (April 2007), pp. 267-289.
    by Acciaio, Beatrice
  • Dilatation monotone risk measures are law invariant
    Finance and Stochastics, Vol. 11, No. 2. (April 2007), pp. 291-298.
    by Cherny, Alexander, Grigoriev, Pavel
  • Editorial
    Finance and Stochastics, Vol. 11, No. 1. (January 2007), pp. 1-2.
    by Schweizer, Martin
  • Optimal dividend policy and growth option
    Finance and Stochastics, Vol. 11, No. 1. (January 2007), pp. 3-27.
    by Decamps, Jean-Paul, Villeneuve, Stephane
  • Moment explosions in stochastic volatility models
    Finance and Stochastics, Vol. 11, No. 1. (January 2007), pp. 29-50.
    by Andersen, Leif, Piterbarg, Vladimir
  • A model of optimal portfolio selection under liquidity risk and price impact
    Finance and Stochastics, Vol. 11, No. 1. (January 2007), pp. 51-90.
    by Ly Vath, Vathana, Mnif, Mohamed, Pham, Huyen
  • Smooth convergence in the binomial model
    Finance and Stochastics, Vol. 11, No. 1. (January 2007), pp. 91-105.
    by Chang, Lo-Bin, Palmer, Ken
  • Optimal investments for risk- and ambiguity-averse preferences: a duality approach
    Finance and Stochastics, Vol. 11, No. 1. (January 2007), pp. 107-129.
    by Schied, Alexander
  • Principles of smooth and continuous fit in the determination of endogenous bankruptcy levels
    Finance and Stochastics, Vol. 11, No. 1. (January 2007), pp. 131-152.
    by Kyprianou, , Surya,
  • Coherent and convex monetary risk measures for unbounded cadlag processes
    Finance and Stochastics, Vol. 9, No. 3. (July 2005), pp. 369-387.
    by Cheridito, Patrick, Delbaen, Freddy, Kupper, Michael
  • Maturity cycles in implied volatility
    Finance and Stochastics, Vol. 8, No. 4. (November 2004), pp. 451-477.
    by Fouque, Jean-Pierre, Papanicolaou, George, Sircar, Ronnie, Solna, Knut
  • Stochastic orders in dynamic reinsurance markets
    Finance and Stochastics, Vol. 8, No. 4. (November 2004), pp. 479-499.
    by Moller, Thomas
  • An approximation pricing algorithm in an incomplete market: A differential geometric approach
    Finance and Stochastics, Vol. 8, No. 4. (November 2004), pp. 501-523.
    by Gao, Yuan, Lim, Kian, Ng, Kah
    posted by 1 person ciga
  • On the law of one price
    Finance and Stochastics, Vol. 8, No. 4. (November 2004), pp. 525-530.
    by Courtault, Jean-Michel, Delbaen, Freddy, Kabanov, Yuri, Stricker, Christophe
  • Vector-valued coherent risk measures
    Finance and Stochastics, Vol. 8, No. 4. (November 2004), pp. 531-552.
    by Jouini, Elyes, Meddeb, Moncef, Touzi, Nizar
  • Optimizing the terminal wealth under partial information: The drift process as a continuous time Markov chain
    Finance and Stochastics, Vol. 8, No. 4. (November 2004), pp. 553-577.
    by Sass, Jorn, Haussmann, Ulrich
  • Wealth-path dependent utility maximization in incomplete markets
    Finance and Stochastics, Vol. 8, No. 4. (November 2004), pp. 579-603.
    by Bouchard, Bruno, Pham, Huyen
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