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ORCIDFinance and Stochastics, Volume 21
Volume 21, Number 1, January 2017
- Sebastian Herrmann
, Johannes Muhle-Karbe, Frank Thomas Seifried:
Hedging with small uncertainty aversion. 1-64 - Constantinos Kardaras, Scott Robertson:
Continuous-time perpetuities and time reversal of diffusions. 65-110 - Ivan Guo, Marek Rutkowski:
Arbitrage-free pricing of multi-person game claims in discrete time. 111-155 - Neofytos Rodosthenous, Mihail Zervos:
Watermark options. 157-186 - Holger Kraft, Thomas Seiferling, Frank Thomas Seifried:
Optimal consumption and investment with Epstein-Zin recursive utility. 187-226 - Hao Xing:
Consumption-investment optimization with Epstein-Zin utility in incomplete markets. 227-262 - Daniel C. Schwarz:
Market completion with derivative securities. 263-284 - David Hobson, Anthony Neuberger:
Model uncertainty and the pricing of American options. 285-329
Volume 21, Number 2, April 2017
- Tomas Björk, Mariana Khapko, Agatha Murgoci:
On time-inconsistent stochastic control in continuous time. 331-360 - Ying Jiao, Olivier Klopfenstein, Peter Tankov:
Hedging under multiple risk constraints. 361-396 - Sigrid Källblad:
Risk- and ambiguity-averse portfolio optimization with quasiconcave utility functionals. 397-425 - Zhi Liu:
Jump-robust estimation of volatility with simultaneous presence of microstructure noise and multiple observations. 427-469 - Luciano Campi, Ismail Laachir, Claude Martini:
Change of numeraire in the two-marginals martingale transport problem. 471-486 - Peter Bank, Yan Dolinsky, Ari-Pekka Perkkiö:
The scaling limit of superreplication prices with small transaction costs in the multivariate case. 487-508 - D. Baños, Thilo Meyer-Brandis, Frank Proske, S. Duedahl:
Computing deltas without derivatives. 509-549 - Takuji Arai, Yuto Imai, Ryoichi Suzuki:
Local risk-minimization for Barndorff-Nielsen and Shephard models. 551-592
Volume 21, Number 3, July 2017
- Julien Guyon, Romain Menegaux, Marcel Nutz:
Bounds for VIX futures given S&P 500 smiles. 593-630 - Carole Bernard, Ludger Rüschendorf, Steven Vanduffel, Ruodu Wang:
Risk bounds for factor models. 631-659 - Stefano Pagliarani, Andrea Pascucci:
The exact Taylor formula of the implied volatility. 661-718 - Vladimir Vovk:
The role of measurability in game-theoretic probability. 719-739 - Beatrice Acciaio, Martin Larsson, Walter Schachermayer:
The space of outcomes of semi-static trading strategies need not be closed. 741-751 - Ioannis Karatzas, Johannes Ruf:
Trading strategies generated by Lyapunov functions. 753-787 - Ying Jiao, Chunhua Ma, Simone Scotti:
Alpha-CIR model with branching processes in sovereign interest rate modeling. 789-813 - Michail Anthropelos, Constantinos Kardaras:
Equilibrium in risk-sharing games. 815-865 - Jaksa Cvitanic, Walter Schachermayer, Hui Wang:
Erratum to: Utility maximization in incomplete markets with random endowment. 867-872
Volume 21, Number 4, October 2017
- Sebastian Herrmann, Johannes Muhle-Karbe:
Model uncertainty, recalibration, and the emergence of delta-vega hedging. 873-930 - Mikkel Bennedsen, Asger Lunde, Mikko S. Pakkanen:
Hybrid scheme for Brownian semistationary processes. 931-965 - Masahiko Egami, Tadao Oryu:
A direct solution method for pricing options involving the maximum process. 967-993 - Michael B. Giles, Yuan Xia:
Multilevel Monte Carlo for exponential Lévy models. 995-1026 - Zhe Cheng, Scott Robertson:
Endogenous current coupons. 1027-1071 - Delip Madan, Martijn Pistorius, Mitja Stadje:
On dynamic spectral risk measures, a limit theorem and optimal portfolio allocation. 1073-1102 - Anna Aksamit, Tahir Choulli, Jun Deng, Monique Jeanblanc:
No-arbitrage up to random horizon for quasi-left-continuous models. 1103-1139 - Mathias Beiglböck, Alexander M. G. Cox, Martin Huesmann, Nicolas Perkowski, David J. Prömel:
Pathwise superreplication via Vovk's outer measure. 1141-1166
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