Mathematical Finance

THE RANGE OF TRADED OPTION PRICES
pp. 1-14(14)
Authors: Davis, MarkH. A.; Hobson, DavidG.

MODELING LIQUIDITY EFFECTS IN DISCRETE TIME
pp. 15-29(15)
Authors: Çetin, Umut; Rogers, L. C. G.

SELF-DECOMPOSABILITY AND OPTION PRICING
pp. 31-57(27)
Authors: Carr, Peter; Geman, Hélyette; Madan, DilipB.; Yor, Marc

HEDGING UNDER GAMMA CONSTRAINTS BY OPTIMAL STOPPING AND FACE-LIFTING
pp. 59-79(21)
Authors: Soner, H.Mete; Touzi, Nizar

OPTIMAL DIVIDEND POLICY WITH MEAN-REVERTING CASH RESERVOIR
pp. 81-109(29)
Authors: Cadenillas, Abel; Sarkar, Sudipto; Zapatero, Fernando

THEORY AND CALIBRATION OF SWAP MARKET MODELS
pp. 111-141(31)
Authors: Galluccio, S.; Ly, J.-M.; Huang, Z.; Scaillet, O.

MONOTONICITY PROPERTIES OF OPTIMAL INVESTMENT STRATEGIES FOR LOG-BROWNIAN ASSET PRICES
pp. 143-153(11)
Author: Borell, Christer