External Links

    Journal: Finance and Stochastics

    Volume 15, Issue 4

    607 -- 633Frank Riedel, Xia Su. On irreversible investment
    635 -- 654Masaaki Fukasawa. Asymptotic analysis for stochastic volatility: martingale expansion
    655 -- 683Denis Belomestny. Pricing Bermudan options by nonparametric regression: optimal rates of convergence for lower estimates
    685 -- 724S. Kindermann, P. A. Mayer. On the calibration of local jump-diffusion asset price models
    725 -- 753Ying Jiao, Huyên Pham. Optimal investment with counterparty risk: a default-density model approach
    755 -- 780Martin Forde, Antoine Jacquier. The large-maturity smile for the Heston model
    781 -- 784Martin Forde, Antoine Jacquier, Aleksandar Mijatovic. A note on essential smoothness in the Heston model
    785 -- 818Erhan Bayraktar, Virginia R. Young. Proving regularity of the minimal probability of ruin via a game of stopping and control

    Volume 15, Issue 3

    399 -- 419Alexandre F. Roch. Liquidity risk, price impacts and the replication problem
    421 -- 459Salvatore Federico. A stochastic control problem with delay arising in a pension fund model
    461 -- 499Luciano Campi, Mark P. Owen. Multivariate utility maximization with proportional transaction costs
    501 -- 512Nicholas Westray, Harry Zheng. Minimal sufficient conditions for a primal optimizer in nonsmooth utility maximization
    513 -- 540Rafael Mendoza-Arriaga, Vadim Linetsky. Pricing equity default swaps under the jump-to-default extended CEV model
    541 -- 572Tomasz R. Bielecki, Monique Jeanblanc, Marek Rutkowski. Hedging of a credit default swaption in the CIR default intensity model
    573 -- 605Alexander M. G. Cox, Jan Oblój. Robust pricing and hedging of double no-touch options

    Volume 15, Issue 2

    191 -- 219Leif Andersen. Option pricing with quadratic volatility: a revisit
    221 -- 241Xi Chen, Robert V. Kohn. Asset price bubbles from heterogeneous beliefs about mean reversion rates
    243 -- 265Henrik Hult, Filip Lindskog. Ruin probabilities under general investments and heavy-tailed claims
    267 -- 296Paul Glasserman, Kyoung-Kuk Kim. Gamma expansion of the Heston stochastic volatility model
    297 -- 342Marina Di Giacinto, Salvatore Federico, Fausto Gozzi. Pension funds with a minimum guarantee: a stochastic control approach
    343 -- 363Gilles Angelsberg, Freddy Delbaen, Ivo Kaelin, Michael Kupper, Joachim Näf. On a class of law invariant convex risk measures
    365 -- 397Sabrina Mulinacci. The efficient hedging problem for American options

    Volume 15, Issue 1

    1 -- 26Christian Bender. Dual pricing of multi-exercise options under volume constraints
    27 -- 55Marc Oliver Rieger. Co-monotonicity of optimal investments and the design of structured financial products
    57 -- 83Teemu Pennanen. Arbitrage and deflators in illiquid markets
    85 -- 115Alessandra Cretarola, Fausto Gozzi, Huyên Pham, Peter Tankov. Optimal consumption policies in illiquid markets
    117 -- 140Stefan Kassberger, Thomas Liebmann. q-entropy martingale measures for exponential time-changed Lévy processes
    141 -- 181Yuh-Dauh Lyuu, Huei-Wen Teng. Unbiased and efficient Greeks of financial options
    183 -- 190Kasper Larsen. A note on the existence of the power investor's optimizer
    runs on