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Finance and Stochastics

Issue 2/2009

Content (5 Articles)

Stein’s method and zero bias transformation for CDO tranche pricing

N. El Karoui, Y. Jiao

Risk aversion and the dynamics of optimal liquidation strategies in illiquid markets

Alexander Schied, Torsten Schöneborn

Open Access

Double-sided Parisian option pricing

J. H. M. Anderluh, J. A. M. van der Weide

Bias-correcting the realized range-based variance in the presence of market microstructure noise

Kim Christensen, Mark Podolskij, Mathias Vetter

Pricing options under stochastic volatility: a power series approach

Fabio Antonelli, Sergio Scarlatti

Jan 09
Issue: 1/2009
Sep 09
Issue: 3/2009
Special Issue on Computational Methods in Finance (Part I)

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