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Finance and Stochastics

Issue 3/2007

Content (6 Articles)

Small-time ruin for a financial process modulated by a Harris recurrent Markov chain

Jeffrey F. Collamore, Andrea Höing

An ODE approach for the expected discounted penalty at ruin in a jump-diffusion model

Yu-Ting Chen, Cheng-Few Lee, Yuan-Chung Sheu

Optimal exercise of executive stock options

L. C. G. Rogers, José Scheinkman

Multivariate risks and depth-trimmed regions

Ignacio Cascos, Ilya Molchanov

Minimal Hellinger martingale measures of order q

Tahir Choulli, Christophe Stricker, Jia Li

Exponential moments for HJM models with jumps

Jacek Jakubowski, Jerzy Zabczyk

Apr 07
Issue: 2/2007
Oct 07
Issue: 4/2007

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