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ORCIDSIAM Journal on Financial Mathematics, Volume 2
Volume 2, Number 1, 2011
- Takuji Arai
:
Good Deal Bounds Induced by Shortfall Risk. 1-21 - Mark Davis, Sébastien Lleo:
Jump-Diffusion Risk-Sensitive Asset Management I: Diffusion Factor Model. 22-54 - Mats Brodén, Magnus Wiktorsson:
On the Convergence of Higher Order Hedging Schemes: The Delta-Gamma Case. 55-78 - Sergei Levendorskii:
Convergence of Price and Sensitivities in Carr's Randomization Approximation Globally and Near Barrier. 79-111 - Rama Cont, Yu Hang Kan:
Dynamic Hedging of Portfolio Credit Derivatives. 112-140 - Alexander M. G. Cox, Jan Oblój:
Robust Hedging of Double Touch Barrier Options. 141-182 - Silviu Predoiu, Gennady Shaikhet, Steven E. Shreve:
Optimal Execution in a General One-Sided Limit-Order Book. 183-212 - Mathias Beiglböck, Peter Friz, Stephan Sturm:
Is the Minimum Value of an Option on Variance Generated by Local Volatility? 213-220 - Jean-Pierre Fouque, Matthew J. Lorig:
A Fast Mean-Reverting Correction to Heston's Stochastic Volatility Model. 221-254 - Lech A. Grzelak, Cornelis W. Oosterlee:
On the Heston Model with Stochastic Interest Rates. 255-286 - Rama Cont, Nicolas Lantos, Olivier Pironneau:
A Reduced Basis for Option Pricing. 287-316 - Rudra P. Jena, Peter Tankov:
Arbitrage Opportunities in Misspecified Stochastic Volatility Models. 317-341 - Frédéric Abergel, Nicolas Millot:
Nonquadratic Local Risk-Minimization for Hedging Contingent Claims in Incomplete Markets. 342-356 - Marco Frittelli, Marco Maggis:
Dual Representation of Quasi-convex Conditional Maps. 357-382 - Gianluca Fusai, Daniele Marazzina, Marina Marena:
Pricing Discretely Monitored Asian Options by Maturity Randomization. 383-403 - Bruno Bouchard, Ngoc-Minh Dang, Charles-Albert Lehalle:
Optimal Control of Trading Algorithms: A General Impulse Control Approach. 404-438 - Fang Fang, Cornelis W. Oosterlee:
A Fourier-Based Valuation Method for Bermudan and Barrier Options under Heston's Model. 439-463 - Sebastian Jaimungal, Vladimir Surkov:
Lévy-Based Cross-Commodity Models and Derivative Valuation. 464-487 - Michael Ludkovski:
Stochastic Switching Games and Duopolistic Competition in Emissions Markets. 488-511 - Jonathan Goodman, Daniel N. Ostrov:
An Option to Reduce Transaction Costs. 512-537 - Benjamin Jourdain, Michel H. Vellekoop:
Regularity of the Exercise Boundary for American Put Options on Assets with Discrete Dividends. 538-561 - Christian Bender:
Primal and Dual Pricing of Multiple Exercise Options in Continuous Time. 562-586 - Pierre Del Moral, Peng Hu, Nadia Oudjane, Bruno N. Rémillard:
On the Robustness of the Snell Envelope. 587-626 - N. Bush, Ben M. Hambly, Helen Haworth, L. Jin, Christoph Reisinger:
Stochastic Evolution Equations in Portfolio Credit Modelling. 627-664 - Jean-Pierre Fouque, Sebastian Jaimungal, Matthew J. Lorig:
Spectral Decomposition of Option Prices in Fast Mean-Reverting Stochastic Volatility Models. 665-691 - Xinzheng Huang, Cornelis W. Oosterlee:
Saddlepoint Approximations for Expectations and an Application to CDO Pricing. 692-714 - Zhijian Wu, Chunhui Yu, Xiaohua Zheng:
Managing Risk with Short-Term Futures Contracts. 715-726 - Baojun Bian, Sheng Miao, Harry Zheng:
Smooth Value Functions for a Class of Nonsmooth Utility Maximization Problems. 727-747 - Gordana Dmitrasinovic-Vidovic, Antony Ware:
Optimal Portfolios of Mean-Reverting Instruments. 748-767 - Tim Leung, Mike Ludkovski:
Optimal Timing to Purchase Options. 768-793 - Peter Carr, Sergey Nadtochiy:
Static Hedging under Time-Homogeneous Diffusions. 794-838 - Robert Jarrow, Younes Kchia, Philip Protter:
How to Detect an Asset Bubble. 839-865 - El Hadj Aly Dia, Damien Lamberton:
Continuity Correction for Barrier Options in Jump-Diffusion Models. 866-900 - Wen Cheng, Nick Costanzino, John Liechty, Anna L. Mazzucato, Victor Nistor:
Closed-Form Asymptotics and Numerical Approximations of 1D Parabolic Equations with Applications to Option Pricing. 901-934 - Richard Jordan, Charles Tier:
Asymptotic Approximations to Deterministic and Stochastic Volatility Models. 935-964 - Paul V. Johnson, Nicholas J. Sharp, Peter W. Duck, David P. Newton:
A Bridge between American and European Options: The "Ameripean" Delayed-Exercise Model. 965-988 - Marie Bernhart, Peter Tankov, Xavier Warin:
A Finite-Dimensional Approximation for Pricing Moving Average Options. 989-1013 - Wahid Faidi, Anis Matoussi, Mohamed Mnif:
Maximization of Recursive Utilities: A Dynamic Maximum Principle Approach. 1014-1041 - Sophie Laruelle, Charles-Albert Lehalle, Gilles Pagès:
Optimal Split of Orders Across Liquidity Pools: A Stochastic Algorithm Approach. 1042-1076
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