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Finance and Stochastics

Issue 2/2011

Content (7 Articles)

Option pricing with quadratic volatility: a revisit

Leif Andersen

Asset price bubbles from heterogeneous beliefs about mean reversion rates

Xi Chen, Robert V. Kohn

Ruin probabilities under general investments and heavy-tailed claims

Henrik Hult, Filip Lindskog

Gamma expansion of the Heston stochastic volatility model

Paul Glasserman, Kyoung-Kuk Kim

Pension funds with a minimum guarantee: a stochastic control approach

Marina Di Giacinto, Salvatore Federico, Fausto Gozzi

On a class of law invariant convex risk measures

Gilles Angelsberg, Freddy Delbaen, Ivo Kaelin, Michael Kupper, Joachim Näf

The efficient hedging problem for American options

Sabrina Mulinacci

Jan 11
Issue: 1/2011
Sep 11
Issue: 3/2011

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