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Finance and Stochastics

Issue 3/1997

Content (4 Articles)

An application of hidden Markov models to asset allocation problems

Robert J. Elliott, John van der Hoek

Weighted norm inequalities and hedging in incomplete markets

Freddy Delbaen, Pascale Monat, Walter Schachermayer, Martin Schweizer, Christophe Stricker

On Leland's strategy of option pricing with transactions costs

Yuri M. Kabanov, Mher M. Safarian

A note on the existence of unique equivalent martingale measures in a Markovian setting

Tina Hviid Rydberg

Apr 97
Issue: 2/1997
Sep 97
Issue: 4/1997

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