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Modern problems of financial mathematics
Yu. M. Kabanov, A. N. Shiryaev
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3 |
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Analytical approximation of variable annuities for small volatility and small withdrawal
T. Ben Zineb, E. Gobet
|
5 |
|
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Expected utility maximisation for exponential Levy models with option and information processes
L. Yu. Vostrikova
|
26 |
|
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Pricing of asian-type and basket options via bounds
A. A. Novikov, S. Alexander, N. E. Kordzakhia, T. Ling
|
53 |
|
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Explicit description of HARA forward utilities and their optimal portfolios
T. Choulli, J. Ma
|
69 |
|
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New developments on the Modigliani–Miller theorem
S. Aboura, E. Lepinette
|
114 |
|
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Brownian bridges on random intervals
M. L. Bedini, R. Buckdahn, H.-J. Engelbert
|
129 |
|
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Short Communications
|
|
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On one integral representation of Brownian functional
O. A. Glonti, O. G. Purtukhiya
|
158 |
|
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Investment timing and quantity strategies under asymmetric information
X. Cui, T. Shibata
|
165 |
|
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On the existence of martingale measures satisfying the weaken condition of noncoincidence of barycenters in case of
countable probability space
I. V. Pavlov, V. V. Shamraeva, I. V. Tsvetkova
|
173 |
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On an optimal stopping problem of an insider
E. Bayraktar, Zh. Zhou
|
181 |
|
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First passage problems over increasing boundaries for Lévy processes with exponentially decayed Lévy measures
Sh. Kaji
|
186 |
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Maximal exponential inequalities for certain diffusion processes
C. Makasu
|
198 |
