Mathematical Finance

Merton's portfolio optimization problem in a Black and Scholes market with non-Gaussian stochastic volatility of Ornstein-Uhlenbeck type
pp. 215-244(30)
Authors: Benth, Fred Espen; Karlsen, Kenneth Hvistendahl; Reikvam, Kristin

Efficient Universal Portfolios for Past-Dependent Target Classes
pp. 245-276(32)
Authors: Cross, JasonE.; Barron, AndrewR.

The Defaultable Lévy Term Structure: Ratings and Restructuring
pp. 277-300(24)
Authors: Eberlein, Ernst; Özkan, Fehmi

A General Fractional White Noise Theory And Applications To Finance
pp. 301-330(30)
Authors: Elliott, RobertJ.; van der Hoek, John

An optimal Strategy for Hedging with Short-Term Futures Contracts
pp. 331-344(14)
Authors: Larcher, G.; Leobacher, G.