Issue 2/2016
Content (8 Articles)
A general HJM framework for multiple yield curve modelling
Christa Cuchiero, Claudio Fontana, Alessandro Gnoatto
Open Access
Adapting extreme value statistics to financial time series: dealing with bias and serial dependence
Laurens de Haan, Cécile Mercadier, Chen Zhou
In the insurance business risky investments are dangerous: the case of negative risk sums
Yuri Kabanov, Serguei Pergamenshchikov
Asymptotic replication with modified volatility under small transaction costs
Jiatu Cai, Masaaki Fukasawa
Risk measures with the CxLS property
Freddy Delbaen, Fabio Bellini, Valeria Bignozzi, Johanna F. Ziegel
Optimal portfolio liquidation in target zone models and catalytic superprocesses
Eyal Neuman, Alexander Schied