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Forward start foreign exchange options under Heston's volatility and the CIR interest rates / Rehez Ahlip and Marek Rutkowski
Real options with competition and incomplete markets / Alain Bensoussan and SingRu (Celine) Hoe
Dynamic hedging of counterparty exposure / Tomasz R. Bielecki and Stephane Crepey
A note on market completeness with American put options / Luciano Campi
An f-divergence approach for optimal portfolios in exponential Levy models / S. Cawston and L. Vostrikova
Optimal investment with bounded VaR for power utility functions / Benamar Chouaf and Serguei Pergamenchtchikov
Three essays on exponential hedging with variable exit times / Tahir Choulli, Junfeng Ma, and Marie-Amelie Morlais
Mean square error and limit theorem for the modified Leland hedging strategy with a constant transaction costs coefficient / Sebastien Darses and Emmanuel Lepinette
Conditional default probability and density / N. El Karoui, M. Jeanblanc, Y. Jiao, and B. Zargari
Yield curve smoothing and residual variance of fixed income positions / Raphael Douady
Maximally acceptable portfolios / Ernst Eberlein and Dilip B. Madan
Some extensions of Norros' Lemma in models with several defaults / Pavel V. Gapeev
On the pricing of perpetual American compound options / Pavel V. Gapeev and Neofytos Rodosthenous
New approximations in local volatility models / E. Gobet and A. Suleiman
Low-dimensional partial integro-differential equations for high-dimensional Asian options / Peter Hepperger
A time before which insiders would not undertake risk / Constantinos Kardaras
Sensitivity with respect to the yield curve : duration in a stochastic setting / Paul C. Kettler, Frank Proske, and Mark Rubtsov
On the first passage time under regime-switching with jumps / Masaaki Kijima and Chi Chung Siu
Strong consistency of the Bayesian estimator for the Ornstein-Uhlenbeck process / Arturo Kohatsu-Higa, Nicolas Vayatis, and Kazuhiro Yasuda
Multiasset derivatives and joint distributions of asset prices / Ilya Molchanov and Michael Schmutz
Pricing of volume-weighted average options : analytical approximations and numerical results / Alexander A. Novikov, Timothy G. Ling, and Nino Kordzakhia
A class of homothetic forward investment performance processes with non-zero volatility / Sergey Nadtochiy and Thaleia Zariphopoulou
Solution of optimal stopping problem based on a modification of payoff function / Ernst Presman
A Stieltjes approach to static hedges / Michael Schmutz and Thomas Zurcher
Optimal stopping of seasonal observations and projection of a Markov chain / Isaac M. Sonin.
Real options with competition and incomplete markets / Alain Bensoussan and SingRu (Celine) Hoe
Dynamic hedging of counterparty exposure / Tomasz R. Bielecki and Stephane Crepey
A note on market completeness with American put options / Luciano Campi
An f-divergence approach for optimal portfolios in exponential Levy models / S. Cawston and L. Vostrikova
Optimal investment with bounded VaR for power utility functions / Benamar Chouaf and Serguei Pergamenchtchikov
Three essays on exponential hedging with variable exit times / Tahir Choulli, Junfeng Ma, and Marie-Amelie Morlais
Mean square error and limit theorem for the modified Leland hedging strategy with a constant transaction costs coefficient / Sebastien Darses and Emmanuel Lepinette
Conditional default probability and density / N. El Karoui, M. Jeanblanc, Y. Jiao, and B. Zargari
Yield curve smoothing and residual variance of fixed income positions / Raphael Douady
Maximally acceptable portfolios / Ernst Eberlein and Dilip B. Madan
Some extensions of Norros' Lemma in models with several defaults / Pavel V. Gapeev
On the pricing of perpetual American compound options / Pavel V. Gapeev and Neofytos Rodosthenous
New approximations in local volatility models / E. Gobet and A. Suleiman
Low-dimensional partial integro-differential equations for high-dimensional Asian options / Peter Hepperger
A time before which insiders would not undertake risk / Constantinos Kardaras
Sensitivity with respect to the yield curve : duration in a stochastic setting / Paul C. Kettler, Frank Proske, and Mark Rubtsov
On the first passage time under regime-switching with jumps / Masaaki Kijima and Chi Chung Siu
Strong consistency of the Bayesian estimator for the Ornstein-Uhlenbeck process / Arturo Kohatsu-Higa, Nicolas Vayatis, and Kazuhiro Yasuda
Multiasset derivatives and joint distributions of asset prices / Ilya Molchanov and Michael Schmutz
Pricing of volume-weighted average options : analytical approximations and numerical results / Alexander A. Novikov, Timothy G. Ling, and Nino Kordzakhia
A class of homothetic forward investment performance processes with non-zero volatility / Sergey Nadtochiy and Thaleia Zariphopoulou
Solution of optimal stopping problem based on a modification of payoff function / Ernst Presman
A Stieltjes approach to static hedges / Michael Schmutz and Thomas Zurcher
Optimal stopping of seasonal observations and projection of a Markov chain / Isaac M. Sonin.