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Finance and Stochastics

Issue 4/2004

Content (7 Articles)

Maturity cycles in implied volatility

Jean-Pierre Fouque, George Papanicolaou, Ronnie Sircar, Knut Solna

Stochastic orders in dynamic reinsurance markets

Thomas Møller

An approximation pricing algorithm in an incomplete market: A differential geometric approach

Yuan Gao, Kian Guan Lim, Kah Hwa Ng

On the law of one price

Jean-Michel Courtault, Freddy Delbaen, Yuri Kabanov, Christophe Stricker

Vector-valued coherent risk measures

Elyés Jouini, Moncef Meddeb, Nizar Touzi

Optimizing the terminal wealth under partial information: The drift process as a continuous time Markov chain

Jörn Sass, Ulrich G. Haussmann

Wealth-path dependent utility maximization in incomplete markets

Bruno Bouchard, Huyên Pham

Aug 04
Issue: 3/2004
Jan 05
Issue: 1/2005

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