Volume 15, Number 1, January 2011
: Dual pricing of multi-exercise options under volume constraints.
Marc Oliver Rieger
: Co-monotonicity of optimal investments and the design of structured financial products.
: A note on the existence of the power investor's optimizer.
Volume 15, Number 2, June 2011
Volume 15, Number 3, September 2011
Alexandre F. Roch
: Liquidity risk, price impacts and the replication problem.
: A stochastic control problem with delay arising in a pension fund model.
Volume 15, Number 4, December 2011
: Asymptotic analysis for stochastic volatility: martingale expansion.
: Pricing Bermudan options by nonparametric regression: optimal rates of convergence for lower estimates.
, Huyên Pham
: Optimal investment with counterparty risk: a default-density model approach.