Volume 17; Issue 2

Mathematical Finance

Volume 17; Issue 2
1

PORTFOLIO OPTIMIZATION WITH JUMPS AND UNOBSERVABLE INTENSITY PROCESS

Nicole Bäuerle, Ulrich Rieder
Journal:
Mathematical Finance
Year:
2007
Language:
english
File:
PDF, 161 KB
english, 2007
2

DUALITY IN OPTIMAL INVESTMENT AND CONSUMPTION PROBLEMS WITH MARKET FRICTIONS

I. Klein, L. C. G. Rogers
Journal:
Mathematical Finance
Year:
2007
Language:
english
File:
PDF, 171 KB
english, 2007
3

EXACT SOLUTION OF A MARTINGALE STOCHASTIC VOLATILITY OPTION PROBLEM AND ITS EMPIRICAL EVALUATION

Y. Maghsoodi
Journal:
Mathematical Finance
Year:
2007
Language:
english
File:
PDF, 1.87 MB
english, 2007
4

ON THE TIMING OPTION IN A FUTURES CONTRACT

Francesca Biagini, Tomas Björk
Journal:
Mathematical Finance
Year:
2007
Language:
english
File:
PDF, 128 KB
english, 2007
5

DIFFUSION MODELS FOR EXCHANGE RATES IN A TARGET ZONE

Kristian Stegenborg Larsen, Michael Sørensen
Journal:
Mathematical Finance
Year:
2007
Language:
english
File:
PDF, 1.05 MB
english, 2007
6

STOCK LOANS

Jianming Xia, Xun Yu Zhou
Journal:
Mathematical Finance
Year:
2007
Language:
english
File:
PDF, 107 KB
english, 2007
7

CORRELATED DEFAULTS IN INTENSITY-BASED MODELS

Fan Yu
Journal:
Mathematical Finance
Year:
2007
Language:
english
File:
PDF, 162 KB
english, 2007
8

OPTIMAL CONTINUOUS-TIME HEDGING WITH LEPTOKURTIC RETURNS

Aleš Černý
Journal:
Mathematical Finance
Year:
2007
Language:
english
File:
PDF, 222 KB
english, 2007