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Finance and Stochastics

Issue 2/2015

Content (8 Articles)

Fragility of arbitrage and bubbles in local martingale diffusion models

Paolo Guasoni, Miklós Rásonyi

When do creditors with heterogeneous beliefs agree to run?

Andrey Krishenik, Andreea Minca, Johannes Wissel

Spot volatility estimation using delta sequences

Cecilia Mancini, Vanessa Mattiussi, Roberto Renò

On the forward rate concept in multi-state life insurance

Marcus C. Christiansen, Andreas Niemeyer

When terminal facelift enforces delta constraints

Jean-François Chassagneux, Romuald Elie, Idris Kharroubi

Asymptotics for fixed transaction costs

Albert Altarovici, Johannes Muhle-Karbe, Halil Mete Soner

Utility maximization with current utility on the wealth: regularity of solutions to the HJB equation

Salvatore Federico, Paul Gassiat, Fausto Gozzi

A model for a large investor trading at market indifference prices. I: Single-period case

Peter Bank, Dmitry Kramkov

Jan 15
Issue: 1/2015
Jul 15
Issue: 3/2015

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