Ausgabe 4/2017
Inhalt (8 Artikel)
Model uncertainty, recalibration, and the emergence of delta–vega hedging
Sebastian Herrmann, Johannes Muhle-Karbe
Open Access
Hybrid scheme for Brownian semistationary processes
Mikkel Bennedsen, Asger Lunde, Mikko S. Pakkanen
A direct solution method for pricing options involving the maximum process
Masahiko Egami, Tadao Oryu
Open Access
On dynamic spectral risk measures, a limit theorem and optimal portfolio allocation
D. Madan, M. Pistorius, M. Stadje
No-arbitrage up to random horizon for quasi-left-continuous models
Anna Aksamit, Tahir Choulli, Jun Deng, Monique Jeanblanc
Open Access
Pathwise superreplication via Vovk’s outer measure
Mathias Beiglböck, Alexander M. G. Cox, Martin Huesmann, Nicolas Perkowski, David J. Prömel