Mathematical Finance

On the Existence of Minimax Martingale Measures
pp. 1-21(21)
Authors: BELLINI, FABIO; FRITTELLI, MARCO

Principal Component Value at Risk
pp. 23-43(21)
Authors: BRUMMELHUIS, R.; CÓRDOBA, A.; QUINTANILLA, M.; SECO, L.

Hedging under Transaction Costs in Currency Markets: a Discrete-Time Model
pp. 45-61(17)
Authors: DELBAEN, FREDDY; KABANOV, YURI M.; VALKEILA, ESKO

Hedging under Transaction Costs in Currency Markets: a Continuous-Time Model
pp. 63-70(8)
Authors: KABANOV, YURI M.; LAST, GÜNTER

Calibrating a Diffusion Pricing Model with Uncertain Volatility: Regularization and Stability
pp. 71-87(17)
Author: SAMPERI, DOMINICK

Dynamic Arbitrage-Free Asset Pricing with Proportional Transaction Costs
pp. 89-97(9)
Authors: ZHANG, SHUNMING; XU, CHUNLEI; DENG, XIAOTIE