Volume 11; Issue 2

Finance and Stochastics

Volume 11; Issue 2
3

Additive and multiplicative duals for American option pricing

Nan Chen, Paul Glasserman
Journal:
Finance and Stochastics
Year:
2007
Language:
english
File:
PDF, 345 KB
english, 2007
4

Negative Libor rates in the swap market model

Mark H. A. Davis, Vicente Mataix-Pastor
Journal:
Finance and Stochastics
Year:
2007
Language:
english
File:
PDF, 1.46 MB
english, 2007
5

Information reduction via level crossings in a credit risk model

Robert A. Jarrow, Philip Protter, A. Deniz Sezer
Journal:
Finance and Stochastics
Year:
2007
Language:
english
File:
PDF, 447 KB
english, 2007
6

Dilatation monotone risk measures are law invariant

Alexander S. Cherny, Pavel G. Grigoriev
Journal:
Finance and Stochastics
Year:
2007
Language:
english
File:
PDF, 173 KB
english, 2007
7

Correspondence between lifetime minimum wealth and utility of consumption

Erhan Bayraktar, Virginia R. Young
Journal:
Finance and Stochastics
Year:
2007
Language:
english
File:
PDF, 365 KB
english, 2007
8

Optimal risk sharing with non-monotone monetary functionals

Beatrice Acciaio
Journal:
Finance and Stochastics
Year:
2007
Language:
english
File:
PDF, 361 KB
english, 2007