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Finance and Stochastics

Issue 3/2010

Content (7 Articles)

Option hedging for small investors under liquidity costs

Umut Çetin, H. Mete Soner, Nizar Touzi

Asset allocation and liquidity breakdowns: what if your broker does not answer the phone?

Peter Diesinger, Holger Kraft, Frank Seifried

On measuring nonlinear risk with scarce observations

Alexander Cherny, Raphael Douady, Stanislav Molchanov

Asymptotic distribution of law-invariant risk functionals

Georg Pflug, Nancy Wozabal

Exponential utility maximization under partial information

Michael Mania, Marina Santacroce

Representation of the penalty term of dynamic concave utilities

Freddy Delbaen, Shige Peng, Emanuela Rosazza Gianin

Perturbed Brownian motion and its application to Parisian option pricing

Angelos Dassios, Shanle Wu

Apr 10
Issue: 2/2010
Dec 10
Issue: 4/2010

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