Issue 3/2016
Content (8 Articles)
Second order multiscale stochastic volatility asymptotics: stochastic terminal layer analysis and calibration
Jean-Pierre Fouque, Matthew Lorig, Ronnie Sircar
An explicit martingale version of the one-dimensional Brenier theorem
Pierre Henry-Labordère, Nizar Touzi
Open Access
Robust pricing and hedging under trading restrictions and the emergence of local martingale models
Alexander M. G. Cox, Zhaoxu Hou, Jan Obłój
Consumption-investment problem with transaction costs for Lévy-driven price processes
Dimitri De Vallière, Yuri Kabanov, Emmanuel Lépinette
The joint distribution of Parisian and hitting times of Brownian motion with application to Parisian option pricing
Angelos Dassios, You You Zhang
Retraction Note
Retraction Note to: The distribution of the maximum of a variance gamma process and path-dependent option pricing
Roman V. Ivanov