Volume 5, Issue 3 | Finance and Stochastics

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Volume 5, Issue 3

July 2001

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8 articles in this issue

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 Pages: 275 - 303
Arbitrage and investment opportunities
Elyès Jouini
Clotilde Napp
Original Paper Pages: 305 - 325
The numeraire portfolio for unbounded semimartingales
Dirk Becherer
Original Paper Pages: 327 - 341
Fractional Brownian motion, random walks and binary market models
Tommi Sottinen
Original Paper Pages: 343 - 355
Discrete time hedging errors for options with irregular payoffs
Emmanuel Gobet
Emmanuel Temam
Original Paper Pages: 357 - 367
A deterministic–shift extension of analytically–tractable and time–homogeneous short–rate models
Damiano Brigo
Fabio Mercurio
Original Paper Pages: 369 - 387
A general characterization of one factor affine term structure models
Damir Filipović
Original Paper Pages: 389 - 412
A note on calculating the optimal risky portfolio
Reha H. Tütüncü
Original Paper Pages: 413 - 417