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Finance and Stochastics

Issue 1/2014

Content (8 Articles)

Transaction costs, trading volume, and the liquidity premium

Stefan Gerhold, Paolo Guasoni, Johannes Muhle-Karbe, Walter Schachermayer

A mathematical treatment of bank monitoring incentives

Henri Pagès, Dylan Possamaï

Abstract, classic, and explicit turnpikes

Paolo Guasoni, Constantinos Kardaras, Scott Robertson, Hao Xing

On the hedging of options on exploding exchange rates

Peter Carr, Travis Fisher, Johannes Ruf

Beyond cash-additive risk measures: when changing the numéraire fails

Walter Farkas, Pablo Koch-Medina, Cosimo Munari

Efficient discretization of stochastic integrals

Masaaki Fukasawa

Stochastic mortality models: an infinite-dimensional approach

Stefan Tappe, Stefan Weber

Comonotone Pareto optimal allocations for law invariant robust utilities on L 1

Claudia Ravanelli, Gregor Svindland

Oct 13
Issue: 4/2013
Apr 14
Issue: 2/2014

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