Ausgabe 4/2016
Inhalt (9 Artikel)
Editorial
Editorial: 20th anniversary of Finance and Stochastics
Martin Schweizer, Dieter Sondermann
Liquidity management with decreasing returns to scale and secured credit line
Erwan Pierre, Stéphane Villeneuve, Xavier Warin
A BSDE approach to fair bilateral pricing under endogenous collateralization
Tianyang Nie, Marek Rutkowski
Short-term asymptotics for the implied volatility skew under a stochastic volatility model with Lévy jumps
José E. Figueroa-López, Sveinn Ólafsson
Open Access
A Feynman–Kac-type formula for Lévy processes with discontinuous killing rates
Kathrin Glau
No arbitrage of the first kind and local martingale numéraires
Yuri Kabanov, Constantinos Kardaras, Shiqi Song