Risk sensitive asset management with transaction costs Tomasz R. BieleckiStanley R. Pliska Pages: 1 - 33
Arbitrage-free discretization of lognormal forward Libor and swap rate models Paul GlassermanXiaoliang Zhao Pages: 35 - 68
Convergence of discrete time option pricing models under stochastic interest rates J.-P. LesneJ.-L. PrigentO. Scaillet Pages: 81 - 93
Comment on ‘Pricing double barrier options using Laplace transforms’ by Antoon Pelsser C.H. HuiC.F. LoP.H. Yuen Pages: 105 - 107
A correction note on the first passage time of an Ornstein-Uhlenbeck process to a boundary B. LeblancO. RenaultO. Scaillet Pages: 109 - 111