Volume 17, Issue 1, January 2013

ISSN: 0949-2984 (Print) 1432-1122 (Online)

In this issue (9 articles)

  1. No Access

    OriginalPaper

    Bubbles and crashes in a Black–Scholes model with delay

    John A. D. Appleby, Markus Riedle, Catherine Swords Pages 1-30
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  2. No Access

    OriginalPaper

    Generalized stochastic target problems for pricing and partial hedging under loss constraints—application in optimal book liquidation

    Bruno Bouchard, Ngoc-Minh Dang Pages 31-72
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    OriginalPaper

    Optimal dividend policies with transaction costs for a class of jump-diffusion processes

    Martin Hunting, Jostein Paulsen Pages 73-106
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    Asymptotic and exact pricing of options on variance

    Martin Keller-Ressel, Johannes Muhle-Karbe Pages 107-133
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    The optimal-drift model: an accelerated binomial scheme

    Ralf Korn, Stefanie Müller Pages 135-160
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    Consumption-portfolio optimization with recursive utility in incomplete markets

    Holger Kraft, Frank Thomas Seifried, Mogens Steffensen Pages 161-196
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    Optimal hedging of demographic risk in life insurance

    Ragnar Norberg Pages 197-222
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    OriginalPaper

    Correction note for ‘The large-maturity smile for the Heston model’

    Carole Bernard, Zhenyu Cui, Martin Forde, Antoine Jacquier… Pages 223-224
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  9. Erratum

    Erratum to: Asset price bubbles from heterogeneous beliefs about mean reversion rates

    Xi Chen, Robert V. Kohn Pages 225-226
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