Volume 15, Number 1, January 2011

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

Volume 15, Number 2, June 2011

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

Volume 15, Number 3, September 2011

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

Volume 15, Number 4, December 2011

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

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