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Optimal dividend policies for a class of growth-restricted diffusion processes under transaction costs and solvency constraints
Lihua Bai, Martin Hunting and Jostein Paulsen
Online First™, 19 January 2012
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Maximum entropy distributions inferred from option portfolios on an asset
Cassio Neri and Lorenz Schneider
Online First™, 28 December 2011
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Irreversible investment in oligopoly
Jan-Henrik Steg
Online First™, 19 December 2011
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Singular risk-neutral valuation equations
Cristina Costantini, Marco Papi and Fernanda D’Ippoliti
Online First™, 8 December 2011
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Small transaction costs, absence of arbitrage and consistent price systems
Julien Grépat and Yuri Kabanov
Online First™, 30 November 2011
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The dual optimizer for the growth-optimal portfolio under transaction costs
S. Gerhold, J. Muhle-Karbe and W. Schachermayer
Online First™, 24 November 2011
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Forward rate models with linear volatilities
Michał Barski and Jerzy Zabczyk
Online First™, 23 November 2011
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An example of a stochastic equilibrium with incomplete markets
Gordan Žitković
Online First™, 27 August 2011
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Variance swaps on time-changed Lévy processes
Peter Carr, Roger Lee and Liuren Wu
Online First™, 23 March 2011
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Strict local martingale deflators and valuing American call-type options
Erhan Bayraktar, Constantinos Kardaras and Hao Xing
Online First™, 17 March 2011