Volume 16; Issue 2

Mathematical Finance

Volume 16; Issue 2
1

VALUATION OF FLOATING RANGE NOTES IN LÉVY TERM-STRUCTURE MODELS

Ernst Eberlein, Wolfgang Kluge
Journal:
Mathematical Finance
Year:
2006
Language:
english
File:
PDF, 300 KB
english, 2006
2

PRICING EQUITY DERIVATIVES SUBJECT TO BANKRUPTCY

Vadim Linetsky
Journal:
Mathematical Finance
Year:
2006
Language:
english
File:
PDF, 490 KB
english, 2006
3

PORTFOLIO OPTIMIZATION WITH DOWNSIDE CONSTRAINTS

Peter Lakner, Lan Ma Nygren
Journal:
Mathematical Finance
Year:
2006
Language:
english
File:
PDF, 281 KB
english, 2006
4

MULTIDIMENSIONAL PORTFOLIO OPTIMIZATION WITH PROPORTIONAL TRANSACTION COSTS

Kumar Muthuraman, Sunil Kumar
Journal:
Mathematical Finance
Year:
2006
Language:
english
File:
PDF, 477 KB
english, 2006
5

NONPARAMETRIC KERNEL-BASED SEQUENTIAL INVESTMENT STRATEGIES

László Györfi, Gábor Lugosi, Frederic Udina
Journal:
Mathematical Finance
Year:
2006
Language:
english
File:
PDF, 346 KB
english, 2006
6

OPTIMAL STATIC–DYNAMIC HEDGES FOR BARRIER OPTIONS

Aytaç İlhan, Ronnie Sircar
Journal:
Mathematical Finance
Year:
2006
Language:
english
File:
PDF, 376 KB
english, 2006
7

PORTFOLIO INSURANCE AND VOLATILITY REGIME SWITCHING

Joel M. Vanden
Journal:
Mathematical Finance
Year:
2006
Language:
english
File:
PDF, 421 KB
english, 2006
8

DISTRIBUTION-INVARIANT RISK MEASURES, INFORMATION, AND DYNAMIC CONSISTENCY

Stefan Weber
Journal:
Mathematical Finance
Year:
2006
Language:
english
File:
PDF, 290 KB
english, 2006
9

DISUTILITY, OPTIMAL RETIREMENT, AND PORTFOLIO SELECTION

Kyoung Jin Choi, Gyoocheol Shim
Journal:
Mathematical Finance
Year:
2006
Language:
english
File:
PDF, 424 KB
english, 2006