Volume 10; Issue 2

Mathematical Finance

Volume 10; Issue 2
1

On the Pricing of Contingent Claims with Frictions

A. Bensoussan, H. Julien
Journal:
Mathematical Finance
Year:
2000
Language:
english
File:
PDF, 248 KB
english, 2000
2

Mean-Variance Hedging for Stochastic Volatility Models

Francesca Biagini, Paolo Guasoni, Maurizio Pratelli
Journal:
Mathematical Finance
Year:
2000
Language:
english
File:
PDF, 255 KB
english, 2000
3

Multiple Ratings Model of Defaultable Term Structure

Tomasz R. Bielecki, Marek Rutkowski
Journal:
Mathematical Finance
Year:
2000
Language:
english
File:
PDF, 257 KB
english, 2000
5

On Models of Default Risk

R. J. Elliott, M. Jeanblanc, M. Yor
Journal:
Mathematical Finance
Year:
2000
Language:
english
File:
PDF, 285 KB
english, 2000
6

Risk-Sensitive Control and an Optimal Investment Model

W. H. Fleming, S. J. Sheu
Journal:
Mathematical Finance
Year:
2000
Language:
english
File:
PDF, 242 KB
english, 2000
7

Risk Minimization with Incomplete Information in a Model for High-Frequency Data

Rüdiger Frey
Journal:
Mathematical Finance
Year:
2000
Language:
english
File:
PDF, 217 KB
english, 2000
8

Value Preserving Strategies and a General Framework for Local Approaches to Optimal Portfolios

Ralf Korn
Journal:
Mathematical Finance
Year:
2000
Language:
english
File:
PDF, 208 KB
english, 2000
9

Multidimensional Variance-Optimal Hedging in Discrete-Time Model—A General Approach

M. Motoczyński
Journal:
Mathematical Finance
Year:
2000
Language:
english
File:
PDF, 251 KB
english, 2000
10

Pricing Via Utility Maximization and Entropy

Richard Rouge, Nicole El Karoui
Journal:
Mathematical Finance
Year:
2000
Language:
english
File:
PDF, 286 KB
english, 2000
11

A Stochastic Control Approach to Risk Management Under Restricted Information

Wolfgang J. Runggaldier, Anna Zaccaria
Journal:
Mathematical Finance
Year:
2000
Language:
english
File:
PDF, 294 KB
english, 2000
12

Portfolio Optimization and Martingale Measures

Manfred Schäl
Journal:
Mathematical Finance
Year:
2000
Language:
english
File:
PDF, 274 KB
english, 2000
13

Option Pricing in Discrete-Time Incomplete Market Models

Lukasz Stettner
Journal:
Mathematical Finance
Year:
2000
Language:
english
File:
PDF, 267 KB
english, 2000
14

On Level Curves of Value Functions in Optimization Models of Expected Utility

Cristian-Ioan Tiu, Thaleia Zariphopoulou
Journal:
Mathematical Finance
Year:
2000
Language:
english
File:
PDF, 227 KB
english, 2000
15

Pricing American Options Fitting the Smile

M. A. H. Dempster, D. G. Richards
Journal:
Mathematical Finance
Year:
2000
Language:
english
File:
PDF, 402 KB
english, 2000