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    Journal: Finance and Stochastics

    Volume 6, Issue 4

    397 -- 428Jan Kallsen, Albert N. Shiryaev. The cumulant process and Esscher's change of measure
    429 -- 447Hans Föllmer, Alexander Schied. Convex measures of risk and trading constraints
    449 -- 471Emmanuelle Clement, Damien Lamberton, Philip Protter. An analysis of a least squares regression method for American option pricing
    473 -- 493Ernesto Mordecki. Optimal stopping and perpetual options for Lévy processes
    495 -- 516Bruno Bouchard. Utility maximization on the real line under proportional transaction costs
    517 -- 537Denis Talay, Ziyu Zheng. Worst case model risk management

    Volume 6, Issue 3

    273 -- 302Avner Friedman, Weixi Shen. A variational inequality approach to financial valuation of retirement benefits based on salary
    303 -- 331Tomas Björk, Camilla Landén. On the construction of finite dimensional realizations for nonlinear forward rate models
    333 -- 353Simon H. Babbs. Conditional Gaussian models of the term structure of interest rates
    355 -- 370J. Aase Nielsen, Klaus Sandmann. Pricing of Asian exchange rate options under stochastic interest rates as a sum of options
    371 -- 382Yuri Kabanov, Miklós Rásonyi, Christophe Stricker. No-arbitrage criteria for financial markets with efficient friction
    383 -- 396Sergio Albeverio, Victoria Steblovskaya. A model of financial market with several interacting assets. Complete market case

    Volume 6, Issue 2

    143 -- 172Uwe Schmock, Steven E. Shreve, Uwe Wystup. Valuation of exotic options under shortselling constraints
    173 -- 196Erik Schlögl. A multicurrency extension of the lognormal interest rate Market Models
    197 -- 225Jorge A. León, Josep L. Solé, Frederic Utzet, Josep Vives. On Lévy processes, Malliavin calculus and market models with jumps
    227 -- 235Anna Frolova, Yuri Kabanov, Serguei Pergamenshchikov. In the insurance business risky investments are dangerous
    237 -- 263Bianca Hilberink, L. C. G. Rogers. Optimal capital structure and endogenous default
    265 -- 271Philip S. Griffin. The expectations hypothesis with non-negative rates

    Volume 6, Issue 1

    1 -- 2Dieter Sondermann. Editorial
    3 -- 47Bernard Bru, Marc Yor. Comments on the life and mathematical legacy of Wolfgang Doeblin
    49 -- 61Paul Malliavin, Maria Elvira Mancino. Fourier series method for measurement of multivariate volatilities
    63 -- 90Hélyette Geman, Dilip B. Madan, Marc Yor. Stochastic volatility, jumps and hidden time changes
    91 -- 113Paolo Guasoni. Risk minimization under transaction costs
    115 -- 140Jan Kallsen. Derivative pricing based on local utility maximization
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