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Finance and Stochastics

Issue 3/2004

Content (6 Articles)

Liquidity risk and arbitrage pricing theory

Umut Çetin, Robert A. Jarrow, Philip Protter

Valuation of credit default swaps and swaptions

Farshid Jamshidian

Lookback options and diffusion hitting times: A spectral expansion approach

Vadim Linetsky

A valuation algorithm for indifference prices in incomplete markets

Marek Musiela, Thaleia Zariphopoulou

The financial value of a weak information on a financial market

Fabrice Baudoin, Laurent Nguyen-Ngoc

Additional utility of insiders with imperfect dynamical information

José M. Corcuera, Peter Imkeller, Arturo Kohatsu-Higa, David Nualart

May 04
Issue: 2/2004
Nov 04
Issue: 4/2004

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