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A stochastic control problem with delay arising in a pension fund model Salvatore Federico OriginalPaper 30 November 2010 Pages: 421 - 459
Multivariate utility maximization with proportional transaction costs Luciano CampiMark P. Owen OriginalPaper 20 April 2010 Pages: 461 - 499
Minimal sufficient conditions for a primal optimizer in nonsmooth utility maximization Nicholas WestrayHarry Zheng OriginalPaper 26 May 2010 Pages: 501 - 512
Pricing equity default swaps under the jump-to-default extended CEV model Rafael Mendoza-ArriagaVadim Linetsky OriginalPaper 22 September 2010 Pages: 513 - 540
Hedging of a credit default swaption in the CIR default intensity model Tomasz R. BieleckiMonique JeanblancMarek Rutkowski OriginalPaper 02 October 2010 Pages: 541 - 572
Robust pricing and hedging of double no-touch options Alexander M. G. CoxJan Obłój OriginalPaper 17 March 2011 Pages: 573 - 605