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Finance and Stochastics

Issue 1/2007

Content (7 Articles)

Editorial

Editorial

Martin Schweizer

Optimal dividend policy and growth option

Jean-Paul Décamps, Stéphane Villeneuve

Moment explosions in stochastic volatility models

Leif B. G. Andersen, Vladimir V. Piterbarg

A model of optimal portfolio selection under liquidity risk and price impact

Vathana Ly Vath, Mohamed Mnif, Huyên Pham

Smooth convergence in the binomial model

Lo-Bin Chang, Ken Palmer

Optimal investments for risk- and ambiguity-averse preferences: a duality approach

Alexander Schied

Principles of smooth and continuous fit in the determination of endogenous bankruptcy levels

A. E. Kyprianou, B. A. Surya

Dec 06
Issue: 4/2006
Apr 07
Issue: 2/2007

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