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Finance and Stochastics

Issue 1/2017

Content (8 Articles)

Hedging with small uncertainty aversion

Sebastian Herrmann, Johannes Muhle-Karbe, Frank Thomas Seifried

Open Access

Continuous-time perpetuities and time reversal of diffusions

Constantinos Kardaras, Scott Robertson

Arbitrage-free pricing of multi-person game claims in discrete time

Ivan Guo, Marek Rutkowski

Open Access

Watermark options

Neofytos Rodosthenous, Mihail Zervos

Optimal consumption and investment with Epstein–Zin recursive utility

Holger Kraft, Thomas Seiferling, Frank Thomas Seifried

Consumption–investment optimization with Epstein–Zin utility in incomplete markets

Hao Xing

Open Access

Market completion with derivative securities

Daniel C. Schwarz

Model uncertainty and the pricing of American options

David Hobson, Anthony Neuberger

Oct 16
Issue: 4/2016
Apr 17
Issue: 2/2017

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