Volume 5.
(as bibtex)
29 references.
Articles

103113. Apparent scaling
Prause, Karsten,
BarndorffNielsen, Ole E.

115128. A class of risk neutral densities with heavy tails
Pedersen, Jan,
Jensen, Jens Ledet,
Hartvig, Niels Væver

131154. The relaxed investor and parameter uncertainty
Rogers, L.C.G.

155180. Analytical valueatrisk with jumps and credit risk
Pan, Jun,
Duffie, Darrell

181200. Coherent risk measures and gooddeal bounds
Küchler, Uwe,
Jaschke, Stefan

201236. Applications of Malliavin calculus to MonteCarlo methods in finance. II
Lions, PierreLouis,
Lebuchoux, Jérôme,
Lasry, JeanMichel,
Fournié, Eric

237257. Forward rate dependent Markovian transformations of the HeathJarrowMorton term structure model
Kwon, Oh Kang,
Chiarella, Carl

259272. Utility maximization in incomplete markets with random endowment
Wang, Hui,
Schachermayer, Walter,
Cvitanić, Jakša

275303. Optimal portfolio selection with consumption and nonlinear integrodifferential equations with gradient constraint: A viscosity solution approach
Reikvam, Kristin,
Karlsen, Kenneth Hvistendahl,
Benth, Fred Espen

332. Bachelier and his times: A conversation with Bernard Bru
Taqqu, Murad S.

332. Bachelier and his times: A conversation with Bernard Bru
Taqqu, Murad S.

305325. Arbitrage and investment opportunities
Napp, Clotilde,
Jouini, Elyès

327341. The numeraire portfolio for unbounded semimartingales
Becherer, Dirk

3359. Optimal investment in derivative securities
Madan, Dilip B.,
Jin, Xing,
Carr, Peter

343355. Fractional Brownian motion, random walks and binary market models
Sottinen, Tommi

357367. Discrete time hedging errors for options with irregular payoffs
Temam, Emmanuel,
Gobet, Emmanuel

369387. A deterministic–shift extension of analytically–tractable and time–homogeneous short–rate models
Mercurio, Fabio,
Brigo, Damiano

389412. A general characterization of one factor affine term structure models
Filipović, Damir

413417. A note on calculating the optimal risky portfolio
Tütüncü, Reha H.

419446. Riskminimizing hedging strategies for insurance payment processes
Møller, Thomas

447467. Optimal portfolio management rules in a nonGaussian market with durability and intertemporal substitution
Reikvam, Kristin,
Karlsen, Kenneth Hvistendahl,
Benth, Fred Espen

469486. Equity portfolios generated by functions of ranked market weights
Fernholz, Robert

487509. Existence and structure of stochastic equilibria with intertemporal substitution
Riedel, Frank,
Bank, Peter

511525. Stochastic flows and the forward measure
Hoek, John van der,
Elliott, Robert J.

527547. Optimal risk control for a large corporation in the presence of returns on investments
Taksar, Michael,
Højgaard, Bjarne

549555. Black and Scholes pricing and markets with transaction costs: An example
Reisman, Haim

557581. Minimax and minimal distance martingale measures and their relationship to portfolio optimization
Rüschendorf, Ludger,
Goll, Thomas

6182. A solution approach to valuation with unhedgeable risks
Zariphopoulou, Thaleia

83101. Semimartingale representation of fractional RieszBessel motion
Nguyen, C.N.,
Anh, V.V.