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Variation and share-weighted variation swaps on time-changed Lévy processes Peter CarrRoger Lee OriginalPaper 17 July 2013 Pages: 685 - 716
Multilevel dual approach for pricing American style derivatives Denis BelomestnyJohn SchoenmakersFabian Dickmann OriginalPaper 28 May 2013 Pages: 717 - 742
Drift dependence of optimal trade execution strategies under transient price impact Christopher LorenzAlexander Schied OriginalPaper 26 July 2013 Pages: 743 - 770
Portfolio optimisation under non-linear drawdown constraints in a semimartingale financial model Vladimir ChernyJan Obłój OriginalPaper 28 May 2013 Pages: 771 - 800
On the existence of shadow prices Giuseppe BenedettiLuciano CampiJohannes Muhle-Karbe OriginalPaper 19 December 2012 Pages: 801 - 818
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Outperformance portfolio optimization via the equivalence of pure and randomized hypothesis testing Tim LeungQingshuo SongJie Yang OriginalPaper 27 August 2013 Pages: 839 - 870