Issue 1/2016
Content (8 Articles)
Universal arbitrage aggregator in discrete-time markets under uncertainty
Matteo Burzoni, Marco Frittelli, Marco Maggis
Open Access
Weakly time consistent concave valuations and their dual representations
Berend Roorda, Johannes M. Schumacher
Dynamic optimal execution in a mixed-market-impact Hawkes price model
Aurélien Alfonsi, Pierre Blanc
Short-time expansions for close-to-the-money options under a Lévy jump model with stochastic volatility
José E. Figueroa-López, Sveinn Ólafsson