Optimal Stopping Problems and Investment Models
Vadim Arkin (Alexander Slastnikov)
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Optimal Portfolios with Monitoring, Private Benefits of Control, and Budget Constraints
Vladimir Atanasov
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Discrete and continuous time approximations of the optimal exercise boundary of American options
Antonella Basso (Martina Nardon, Paolo Pianca)
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Utility-Based Hedging and Valuation - a Constructive Approach via Reaction-Diffusion Systems
Dirk Becherer
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Mean-Variance Hedging with Proportional Transaction Costs
Ales Cerny
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A Combinatorial Approach for Pricing Parisian Options
Massimo Costabile
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Properties of American Option Prices
Erik Ekström
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Valuing Exotic Derivatives with Jump Diffusions: The Case of Basket Options
Dimitris Flamouris (Daniel Giamouridis)
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Optimal strategies for a stable class of utility functions in a multi-factor framework
Martino Grasselli (Griselda Deelstra, Pierre-François Koehl)
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On The Equivalence of Floating and Fixed-strike Asian Options
Vicky Henderson (Rafal Wojakowski)
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An Optimal Consumption Problem for Factor Dependent Models
Daniel Hernandez-Hernandez (Wendell H. Fleming)
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Black-Scholes formula for security markets with delayed response
Yuriy Kazmerchuk (Anatoly Swishchuk, Jianhong Wu)
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On the distributional distance between the LIBOR and the swap market models.
Jan Liinev (Damiano Brigo)
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Measuring Financial Cash Flow and Term Structure Dynamics
Cornelis A. Los
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A Jump-Diffusion Derivative Pricing Model Arising Within the Heath-Jarrow-Morton Framework
Christina Nikitopoulos (Carl Chiarella)
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Valuation and Optimal Exercise Time for the Banxico Put Option.
Patricia Saavedra (Begoña Fernández)
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On the dynamical programming equation of risk sensitive control problem associated to an optimal investment model
Shuenn-Jyi Sheu (Hidehiro Kaise)
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A Wealth-Dependent Investment Opportunity Set: Its Effect on Optimal Portfolio Decisions
Gyoocheol Shim (Hyeng Keun Koo, Sung Sub Choi, Thaleia Zariphopoulou)
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Option Pricing on Stock Mergers or Acquisitions
Ajay Subramanian
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A new algorithm for hedging large portfolios of derivative instruments
Stathis Tompaidis
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Bounds for the price of discretely sampled arithmetic Asian options
Michèle Vanmaele (Jan Dhaene, Griselda Deelstra, Jan Liinev, Marc Goovaerts)
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Hedging non-tradeable risk with instantaneous forward contracts
Rafal Wojakowski
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Pricing Jump Risk with Utility Indifference
Lixin Wu (Min Dai)
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Pricing Convertible Bonds with Interest Rate, Equity, Credit and FX Risk
Ali Bora Yigitbasioglu
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