Volume 1, Number 1, 2010

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  René Carmona, Ronnie Sircar: Message From the Editors-in-Chief. 1
• 
  Peter Carr, Dilip B. Madan: Local Volatility Enhanced by a Jump to Default. 2-15
• 
  Constantinos Kardaras, Eckhard Platen: Minimizing the Expected Market Time to Reach a Certain Wealth Level. 16-29
• 
  Jin Liang, Bei Hu, Lishang Jiang: Optimal Convergence Rate of the Binomial Tree Scheme for American Options with Jump Diffusion and Their Free Boundaries. 30-65
• 
  Andreas H. Hamel, Frank Heyde: Duality for Set-Valued Measures of Risk. 66-95
• 
  Min Dai, Zuo Quan Xu, Xun Yu Zhou: Continuous-Time Markowitz's Model with Transaction Costs. 96-125
• 
  Jin Feng, Martin Forde, Jean-Pierre Fouque: Short-Maturity Asymptotics for a Fast Mean-Reverting Heston Stochastic Volatility Model. 126-141
• 
  Thomas R. Hurd, Zhuowei Zhou: A Fourier Transform Method for Spread Option Pricing. 142-157
• 
  Teemu Pennanen, Irina Penner: Hedging of Claims with Physical Delivery under Convex Transaction Costs. 158-178
• 
  A. Kohatsu-Higa, S. Ortiz-Latorre: Weak Kyle-Back Equilibrium Models for Max and ArgMax. 179-211
• 
  Victor Goodman, Kyounghee Kim: Common Forward Rate Volatility. 212-229
• 
  Martino Bardi, Annalisa Cesaroni, Luigi Manca: Convergence by Viscosity Methods in Multiscale Financial Models with Stochastic Volatility. 230-265
• 
  Thaleia Zariphopoulou, Gordan Zitkovic: Maturity-Independent Risk Measures. 266-288
• 
  Eric Benhamou, Emmanuel Gobet, Mohammed Miri: Time Dependent Heston Model. 289-325
• 
  M. Musiela, Thaleia Zariphopoulou: Portfolio Choice under Space-Time Monotone Performance Criteria. 326-365
• 
  Imen Ben Tahar, H. Mete Soner, Nizar Touzi: Merton Problem with Taxes: Characterization, Computation, and Approximation. 366-395
• 
  Ilya S. Molchanov, Michael Schmutz: Multivariate Extension of Put-Call Symmetry. 396-426
• 
  Christian Y. Robert, Mathieu Rosenbaum: On the Microstructural Hedging Error. 427-453
• 
  Peter Hepperger: Option Pricing in Hilbert Space-Valued Jump-Diffusion Models Using Partial Integro-Differential Equations. 454-489
• 
  Aurélien Alfonsi, Alexander Schied: Optimal Trade Execution and Absence of Price Manipulations in Limit Order Book Models. 490-522
• 
  Damir Filipovic, Stefan Tappe, Josef Teichmann: Term Structure Models Driven by Wiener Processes and Poisson Measures: Existence and Positivity. 523-554
• 
  Rama Cont, Romain Deguest, Yu Hang Kan: Default Intensities Implied by CDO Spreads: Inversion Formula and Model Calibration. 555-585
• 
  Marco Avellaneda, Stanley Zhang: Path-Dependence of Leveraged ETF Returns. 586-603
• 
  L. C. G. Rogers: Dual Valuation and Hedging of Bermudan Options. 604-608
• 
  Archil Gulisashvili: Asymptotic Formulas with Error Estimates for Call Pricing Functions and the Implied Volatility at Extreme Strikes. 609-641
• 
  Eymen Errais, Kay Giesecke, Lisa R. Goldberg: Affine Point Processes and Portfolio Credit Risk. 642-665
• 
  Alain Bensoussan, J. David Diltz, SingRu Celine Hoe: Real Options Games in Complete and Incomplete Markets with Several Decision Makers. 666-728
• 
  Juri Hinz, Max Fehr: Storage Costs in Commodity Option Pricing. 729-751
• 
  L. Putzig, D. Becherer, I. Horenko: Optimal Allocation of a Futures Portfolio Utilizing Numerical Market Phase Detection. 752-779
• 
  M. Dai, Q. Zhang, Q. J. Zhu: Trend Following Trading under a Regime Switching Model. 780-810
• 
  Volker Krätschmer, John Schoenmakers: Representations for Optimal Stopping under Dynamic Monetary Utility Functionals. 811-832
• 
  Francesco Corielli, Paolo Foschi, Andrea Pascucci: Parametrix Approximation of Diffusion Transition Densities. 833-867
• 
  Kay Giesecke, Hossein Kakavand, Mohammad Mousavi, H. Takada: Exact and Efficient Simulation of Correlated Defaults. 868-896
• 
  Idris Kharroubi, Huyên Pham: Optimal Portfolio Liquidation with Execution Cost and Risk. 897-931
• 
  Sungwoo Park, Dianne P. O'Leary: Portfolio Selection Using Tikhonov Filtering to Estimate the Covariance Matrix. 932-961

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