Issue 4/2013
Content (8 Articles)
Multilevel dual approach for pricing American style derivatives
Denis Belomestny, John Schoenmakers, Fabian Dickmann
Drift dependence of optimal trade execution strategies under transient price impact
Christopher Lorenz, Alexander Schied
Portfolio optimisation under non-linear drawdown constraints in a semimartingale financial model
Vladimir Cherny, Jan Obłój
On the existence of shadow prices
Giuseppe Benedetti, Luciano Campi, Jan Kallsen, Johannes Muhle-Karbe
Outperformance portfolio optimization via the equivalence of pure and randomized hypothesis testing
Tim Leung, Qingshuo Song, Jie Yang