FS
2006
13 years 4 months ago
2006
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...
FS
2006
13 years 4 months ago
2006
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...
FS
2006
13 years 4 months ago
2006
In the paper by Melnikov and Petrachenko `On option pricing in binomial market with transaction costs,' Finance Stoch. 9 (2005), 141
FS
2006
13 years 4 months ago
2006
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...
FS
2006
13 years 4 months ago
2006
: 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...
FS
2006
13 years 4 months ago
2006
General deviation measures are introduced and studied systematically for their potential applications to risk management in areas like portfolio optimization and engineering. Such...
FS
2006
13 years 4 months ago
2006
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...
FS
2006
13 years 4 months ago
2006
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...
FS
2006
13 years 4 months ago
2006
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...
FS
2006
13 years 4 months ago
2006
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...