Ausgabe 2/2003
Inhalt (7 Artikel)
Original Paper
Extension of the corrected barrier approximation by Broadie, Glasserman, and Kou
Per Hörfelt
Original Paper
Exponential growth of fixed-mix strategies in stationary asset markets
Michal A. H. Dempster, Igor V. Evstigneev, Klaus R. Schenk-Hoppé
Original Paper
An optimal consumption model with stochastic volatility
Wendell H. Fleming, Daniel Hernández-Hernández
Original Paper
Using copulae to bound the Value-at-Risk for functions of dependent risks
Paul Embrechts, Andrea Höing, Alessandro Juri