Ausgabe 3/2001
Inhalt (8 Artikel)
Original Paper
Discrete time hedging errors for options with irregular payoffs
Emmanuel Gobet, Emmanuel Temam
Original Paper
A general characterization of one factor affine term structure models
Damir Filipović
Original Paper
Optimal portfolio selection with consumption and nonlinear integro-differential equations with gradient constraint: A viscosity solution approach
Fred Espen Benth, Kenneth Hvistendahl Karlsen, Kristin Reikvam
Original Paper
A deterministic–shift extension of analytically–tractable and time–homogeneous short–rate models
Damiano Brigo, Fabio Mercurio