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Finance and Stochastics

Issue 1/2020

Content (7 Articles)

Open Access

A Black–Scholes inequality: applications and generalisations

Michael R. Tehranchi

Ruin probabilities for a Lévy-driven generalised Ornstein–Uhlenbeck process

Yuri Kabanov, Serguei Pergamenshchikov

Open Access

Optimal dividends with partial information and stopping of a degenerate reflecting diffusion

Tiziano De Angelis

Open Access

The value of a liability cash flow in discrete time subject to capital requirements

Hampus Engsner, Kristoffer Lindensjö, Filip Lindskog

Linear credit risk models

Damien Ackerer, Damir Filipović

Pathwise superhedging on prediction sets

Daniel Bartl, Michael Kupper, Ariel Neufeld

Open Access

On the quasi-sure superhedging duality with frictions

Erhan Bayraktar, Matteo Burzoni

Oct 19
Issue: 4/2019
Apr 20
Issue: 2/2020

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