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    FS
    2006
    105views more  FS 2006»
    Financial equilibria in the semimartingale setting: Complete markets and markets with withdrawal constraints
    13 years 11 months ago
    Financial equilibria in the semimartingale setting: Complete markets and markets with withdrawal constraints
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    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
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    FS
    2006
    81views more  FS 2006»
    Optimal portfolio choice in the bond market
    13 years 11 months ago
    Optimal portfolio choice in the bond market
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    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
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    FS
    2006
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    A counter-example to an option pricing formula under transaction costs
    13 years 11 months ago
    A counter-example to an option pricing formula under transaction costs
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    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
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    FS
    2006
    84views more  FS 2006»
    Iterative construction of the optimal Bermudan stopping time
    13 years 11 months ago
    Iterative construction of the optimal Bermudan stopping time
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    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
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    FS
    2006
    52views more  FS 2006»
    Utility maximization under increasing risk aversion in one-period models
    13 years 11 months ago
    Utility maximization under increasing risk aversion in one-period models
    Download  www.princeton.edu
    : 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
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    FS
    2006
    66views more  FS 2006»
    Generalized deviations in risk analysis
    13 years 11 months ago
    Generalized deviations in risk analysis
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    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...
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    FS
    2006
    65views more  FS 2006»
    Consistency among trading desks
    13 years 11 months ago
    Consistency among trading desks
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    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
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    FS
    2006
    117views more  FS 2006»
    Consistent Variance Curve Models
    13 years 11 months ago
    Consistent Variance Curve Models
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    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
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    FS
    2006
    123views more  FS 2006»
    American Parisian options
    13 years 11 months ago
    American Parisian options
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    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
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    FS
    2006
    64views more  FS 2006»
    An exact analytical solution for discrete barrier options
    13 years 11 months ago
    An exact analytical solution for discrete barrier options
    Download  www.maths.manchester.ac.uk
    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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