Finance and Stochastics, Volume 10

Volume 10, Number 1, January 2006

• Gianluca Fusai, I. David Abrahams, Carlo Sgarra:
  An exact analytical solution for discrete barrier options. 1-26
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• Anastasia Kolodko, John Schoenmakers:
  Iterative construction of the optimal Bermudan stopping time. 27-49
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• R. Tyrrell Rockafellar, Stan Uryasev, Michael Zabarankin:
  Generalized deviations in risk analysis. 51-74
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• Peter Holm Nielsen:
  Utility maximization and risk minimization in life and pension insurance. 75-97
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• Gordan Zitkovic:
  Financial equilibria in the semimartingale setting: Complete markets and markets with withdrawal constraints. 99-119
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• Koichi Matsumoto:
  Optimal portfolio of low liquid assets with a log-utility function. 121-145
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• Patrick Cheridito, Christopher Summer:
  Utility maximization under increasing risk aversion in one-period models. 147-158
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Volume 10, Number 2, April 2006

• Paolo Guasoni:
  Asymmetric Information in Fads Models. 159-177
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• Hans Buehler:
  Consistent Variance Curve Models. 178-203
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• E. Chevalier:
  Optimal Early Retirement Near the Expiration of a Pension Plan. 204-221
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• Jan Bergenthum, Ludger Rüschendorf:
  Comparison of Option Prices in Semimartingale Models. 222-249
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• Robert J. Elliott, Carlton-James U. Osakwe:
  Option Pricing for Pure Jump Processes with Markov Switching Compensators. 250-275
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• Bruno Bouchard:
  No-arbitrage in Discrete-time Markets with Proportional Transaction Costs and General Information structure. 276-297
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• Lothar Rogge:
  Call Completeness Implies Completeness in the n -period Model of a Financial Market. 298-301
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Volume 10, Number 3, September 2006

• Peter Carr, Vadim Linetsky:
  A jump to default extended CEV model: an application of Bessel processes. 303-330
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• David Heath, Hyejin Ku:
  Consistency among trading desks. 331-340
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• Paul Embrechts, Giovanni Puccetti:
  Bounds for Functions of Dependent Risks. 341-352
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• Elisa Alòs:
  A generalization of the Hull and White formula with applications to option pricing approximation. 353-365
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• A. S. Cherny:
  Weighted V@R and its Properties. 367-393
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• Hiroaki Hata, Yasunari Iida:
  A risk-sensitive stochastic control approach to an optimal investment problem with partial information. 395-426
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• Patrick Cheridito, Freddy Delbaen, Michael Kupper:
  Coherent and convex monetary risk measures for unbounded càdlàg processes. 427-448
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Volume 10, Number 4, December 2006

• Denis Belomestny, Markus Reiß:
  Spectral calibration of exponential Lévy models. 449-474
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• Marc Chesney, Laurent Gauthier:
  American Parisian options. 475-506
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• Raoul Pietersz, Marcel van Regenmortel:
  Generic market models. 507-528
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• Gordana Dmitrasinovic-Vidovic, Antony Ware:
  Asymptotic behaviour of mean-quantile efficient portfolios. 529-551
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• Nathanael Ringer, Michael Tehranchi:
  Optimal portfolio choice in the bond market. 553-573
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• Alet Roux, Tomasz Zastawniak:
  A counter-example to an option pricing formula under transaction costs. 575-578
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• Luciano Campi, Walter Schachermayer:
  A super-replication theorem in Kabanov's model of transaction costs. 579-596
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