Volume 5; Issue 2

The Annals of Applied Probability

Volume 5; Issue 2

1

Some Formulae for a New Type of Path-Dependent Option

Journal:

The Annals of Applied Probability

Year:

1995

Language:

english

File:

PDF, 382 KB

english, 1995

2

Black's Consol Rate Conjecture

Duffie, Darrell, Ma, Jin, Yong, Jiongmin

Journal:

The Annals of Applied Probability

Year:

1995

File:

PDF, 1.86 MB

1995

3

Large Deviation Rates for Branching Processes. II. The Multitype Case

K. B. Athreya and A. N. Vidyashankar

Journal:

The Annals of Applied Probability

Year:

1995

Language:

english

File:

PDF, 730 KB

english, 1995

4

Impulse Control of Piecewise Deterministic Markov Processes

M. A. H. Dempster and J. J. Ye

Journal:

The Annals of Applied Probability

Year:

1995

Language:

english

File:

PDF, 2.48 MB

english, 1995

5

Gibbs-Cox Random Fields and Burgers Turbulence

Funaki, T., Surgailis, D., Woyczynski, W. A.

Journal:

The Annals of Applied Probability

Year:

1995

File:

PDF, 2.37 MB

1995

6

Back Matter

Journal:

The Annals of Applied Probability

Year:

1995

Language:

english

File:

PDF, 467 KB

english, 1995

7

There is no Nontrivial Hedging Portfolio for Option Pricing with Transaction Costs

H. M. Soner, S. E. Shreve and J. Cvitanić

Journal:

The Annals of Applied Probability

Year:

1995

Language:

english

File:

PDF, 2.03 MB

english, 1995

8

Gibbs-Cox Random Fields and Burgers Turbulence

T. Funaki, D. Surgailis and W. A. Woyczynski

Journal:

The Annals of Applied Probability

Year:

1995

Language:

english

File:

PDF, 2.75 MB

english, 1995

9

Front Matter

Journal:

The Annals of Applied Probability

Year:

1995

Language:

english

File:

PDF, 849 KB

english, 1995

10

Black's Consol Rate Conjecture

Darrell Duffie, Jin Ma and Jiongmin Yong

Journal:

The Annals of Applied Probability

Year:

1995

Language:

english

File:

PDF, 2.28 MB

english, 1995

11

The Distribution of the Quantile of a Brownian Motion with Drift and the Pricing of Related Path-Dependent Options

Angelos Dassios

Journal:

The Annals of Applied Probability

Year:

1995

Language:

english

File:

PDF, 656 KB

english, 1995

12

Lévy Bandits: Multi-Armed Bandits Driven by Lévy Processes

Haya Kaspi and Avi Mandelbaum

Journal:

The Annals of Applied Probability

Year:

1995

Language:

english

File:

PDF, 2.14 MB

english, 1995

13

The Hazard Rate Tangent Approximation for Boundary Hitting Times

G. O. Roberts and C. F. Shortland

Journal:

The Annals of Applied Probability

Year:

1995

Language:

english

File:

PDF, 1.28 MB

english, 1995

14

Limits of First Passage Times to Rare Sets in Regenerative Processes

Paul Glasserman and Shing-Gang Kou

Journal:

The Annals of Applied Probability

Year:

1995

Language:

english

File:

PDF, 1.72 MB

english, 1995

15

Diffusion Approximation of Nuclear Space-Valued Stochastic Differential Equations Driven by Poisson Random Measures

G. Kallianpur and J. Xiong

Journal:

The Annals of Applied Probability

Year:

1995

Language:

english

File:

PDF, 2.10 MB

english, 1995

16

Multivariate Integration and Approximation for Random Fields Satisfying Sacks-Ylvisaker Conditions

Klaus Ritter, Grzegorz W. Wasilkowski and Henryk Woźniakowski

Journal:

The Annals of Applied Probability

Year:

1995

Language:

english

File:

PDF, 2.17 MB

english, 1995

17

Multivariate Integration and Approximation for Random Fields Satisfying Sacks-Ylvisaker Conditions

Ritter, Klaus, Wasilkowski, Grzegorz W., Wozniakowski, Henryk

Journal:

The Annals of Applied Probability

Year:

1995

File:

PDF, 1.83 MB

1995

18

Some Formulae for a New Type of Path-Dependent Option

Journal:

The Annals of Applied Probability

Year:

1995

File:

PDF, 327 KB

1995

19

There is no Nontrivial Hedging Portfolio for Option Pricing with Transaction Costs

Soner, H. M., Shreve, S. E., Cvitanic, J.

Journal:

The Annals of Applied Probability

Year:

1995

File:

PDF, 1.78 MB

1995

20

The Hazard Rate Tangent Approximation for Boundary Hitting Times

Roberts, G. O., Shortland, C. F.

Journal:

The Annals of Applied Probability

Year:

1995

File:

PDF, 1.04 MB

1995

21

Diffusion Approximation of Nuclear Space-Valued Stochastic Differential Equations Driven by Poisson Random Measures

Kallianpur, G., Xiong, J.

Journal:

The Annals of Applied Probability

Year:

1995

File:

PDF, 1.67 MB

1995

22

Large Deviation Rates for Branching Processes. II. The Multitype Case

Athreya, K. B., Vidyashankar, A. N.

Journal:

The Annals of Applied Probability

Year:

1995

File:

PDF, 618 KB

1995

23

Levy Bandits: Multi-Armed Bandits Driven by Levy Processes

Kaspi, Haya, Mandelbaum, Avi

Journal:

The Annals of Applied Probability

Year:

1995

File:

PDF, 1.69 MB

1995

24

Impulse Control of Piecewise Deterministic Markov Processes

Dempster, M. A. H., Ye, J. J.

Journal:

The Annals of Applied Probability

Year:

1995

File:

PDF, 2.09 MB

1995

25

The Distribution of the Quantile of a Brownian Motion with Drift and the Pricing of Related Path-Dependent Options

Dassios, Angelos

Journal:

The Annals of Applied Probability

Year:

1995

File:

PDF, 567 KB

1995

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