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FS
2006
105views more  FS 2006»
10 years 10 months ago
Financial equilibria in the semimartingale setting: Complete markets and markets with withdrawal constraints
We prove existence of stochastic financial equilibria on filtered spaces more general than the ones generated by finite-dimensional Brownian motions. These equilibria span complete...
Gordan Zitkovic
FS
2006
81views more  FS 2006»
10 years 10 months ago
Optimal portfolio choice in the bond market
We consider the Merton problem of optimal portfolio choice when the traded instruments are the set of zero-coupon bonds. Working within an infinite-factor Markovian Heath-Jarrow-Mo...
Nathanael Ringer, Michael Tehranchi
FS
2006
200views more  FS 2006»
10 years 10 months ago
A counter-example to an option pricing formula under transaction costs
In the paper by Melnikov and Petrachenko `On option pricing in binomial market with transaction costs,' Finance Stoch. 9 (2005), 141
Alet Roux, Tomasz Zastawniak
FS
2006
84views more  FS 2006»
10 years 10 months ago
Iterative construction of the optimal Bermudan stopping time
Abstract. We present an iterative procedure for computing the optimal Bermudan stopping time, hence the Bermudan Snell envelope. The method produces an increasing sequence of appro...
Anastasia Kolodko, John Schoenmakers
FS
2006
52views more  FS 2006»
10 years 10 months ago
Utility maximization under increasing risk aversion in one-period models
: It has been shown at different levels of generality that under increasing risk aversion utility indifference sell prices of a contingent claim converge to the super-replication p...
Patrick Cheridito, Christopher Summer
FS
2006
66views more  FS 2006»
10 years 10 months ago
Generalized deviations in risk analysis
General deviation measures are introduced and studied systematically for their potential applications to risk management in areas like portfolio optimization and engineering. Such...
R. Tyrrell Rockafellar, Stan Uryasev, Michael Zaba...
FS
2006
65views more  FS 2006»
10 years 10 months ago
Consistency among trading desks
Abstract. We consider a bank having several trading desks, each of which trades a different class of contingent claims with each desk using a different model. We assume that the mo...
David Heath, Hyejin Ku
FS
2006
117views more  FS 2006»
10 years 10 months ago
Consistent Variance Curve Models
We introduce a general approach to model a joint market of stock price and a term structure of variance swaps in an HJM-type framework. In such a model, strongly volatility-depend...
Hans Buehler
FS
2006
123views more  FS 2006»
10 years 10 months ago
American Parisian options
Using the solution of the one-sided exit problem, a procedure to price Parisian barrier options in a jump-diffusion model with two-sided exponential jumps is developed. By extendin...
Marc Chesney, Laurent Gauthier
FS
2006
64views more  FS 2006»
10 years 10 months ago
An exact analytical solution for discrete barrier options
In the present paper we provide an analytical solution for pricing discrete barrier options in the Black-Scholes framework. We reduce the valuation problem to a Wiener-Hopf equatio...
Gianluca Fusai, I. David Abrahams, Carlo Sgarra
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