Optimal portfolios when stock prices follow an exponential Lévy process Susanne EmmerClaudia Klüppelberg OriginalPaper Pages: 17 - 44
On the Malliavin approach to Monte Carlo approximation of conditional expectations Bruno BouchardIvar EkelandNizar Touzi OriginalPaper Pages: 45 - 71
On the use of measure-valued strategies in bond markets Marzia De DonnoMaurizio Pratelli OriginalPaper Pages: 87 - 109
A link between complete models with stochastic volatility and ARCH models Thierry Jeantheau OriginalPaper Pages: 111 - 131
Convergence of utility functions and convergence of optimal strategies Elyès JouiniClotilde Napp OriginalPaper Pages: 133 - 144
Hazard rate for credit risk and hedging defaultable contingent claims Christophette Blanchet-ScallietMonique Jeanblanc OriginalPaper Pages: 145 - 159