4

Bond Market Structure in the Presence of Marked Point Processes

Year:
1997
Language:
english
File:
PDF, 198 KB
english, 1997
17

On the law of one price

Year:
2004
Language:
english
File:
PDF, 139 KB
english, 2004
18

A geometric approach to portfolio optimization in models with transaction costs

Year:
2004
Language:
english
File:
PDF, 240 KB
english, 2004
20

Hedging under Transaction Costs in Currency Markets: a Discrete-Time Model

Year:
2002
Language:
english
File:
PDF, 170 KB
english, 2002
21

Hedging under Transaction Costs in Currency Markets: a Continuous-Time Model

Year:
2002
Language:
english
File:
PDF, 115 KB
english, 2002
24

A positive interest rate model with sticky barrier

Year:
2007
Language:
english
File:
PDF, 1.01 MB
english, 2007
28

No arbitrage of the first kind and local martingale numéraires

Year:
2016
Language:
english
File:
PDF, 727 KB
english, 2016
44

Editorial

Year:
2004
Language:
english
File:
PDF, 66 KB
english, 2004
45

In discrete time a local martingale is a martingale under

Year:
2008
Language:
english
File:
PDF, 219 KB
english, 2008
46

Mean square error for the Leland–Lott hedging strategy: convex pay-offs

Year:
2010
Language:
english
File:
PDF, 804 KB
english, 2010
47

Consistent price systems and arbitrage opportunities of

Year:
2012
Language:
english
File:
PDF, 644 KB
english, 2012
48

Towards a general theory of bond markets

Year:
1997
Language:
english
File:
PDF, 289 KB
english, 1997
49

On Leland's strategy of option pricing with transactions costs

Year:
1997
Language:
english
File:
PDF, 146 KB
english, 1997
50

In the insurance business risky investments are dangerous

Year:
2002
Language:
english
File:
PDF, 83 KB
english, 2002