Mathematical Finance

VALUATIONS AND DYNAMIC CONVEX RISK MEASURES
pp. 1-22(22)
Authors: Jobert, A.; Rogers, L. C. G.

ASSET PRICING WITH NO EXOGENOUS PROBABILITY MEASURE
pp. 23-54(32)
Author: Cassese, Gianluca

OPTIMAL CAPITAL AND RISK TRANSFERS FOR GROUP DIVERSIFICATION
pp. 55-76(22)
Authors: Filipović, Damir; Kupper, Michael

TERM STRUCTURES OF IMPLIED VOLATILITIES: ABSENCE OF ARBITRAGE AND EXISTENCE RESULTS
pp. 77-114(38)
Authors: Schweizer, Martin; Wissel, Johannes

SIMULATION-BASED PORTFOLIO OPTIMIZATION FOR LARGE PORTFOLIOS WITH TRANSACTION COSTS
pp. 115-134(20)
Authors: Muthuraman, Kumar; Zha, Haining

SOLVABLE AFFINE TERM STRUCTURE MODELS
pp. 135-153(19)
Authors: Grasselli, Martino; Tebaldi, Claudio

HOW CLOSE ARE THE OPTION PRICING FORMULAS OF BACHELIER AND BLACK-MERTON-SCHOLES?
pp. 155-170(16)
Authors: Schachermayer, Walter; Teichmann, Josef

A CONVEX STOCHASTIC OPTIMIZATION PROBLEM ARISING FROM PORTFOLIO SELECTION
pp. 171-183(13)
Authors: Jin, Hanqing; Quan Xu, Zuo; Yu Zhou, Xun

CONVEXITY OF THE EXERCISE BOUNDARY OF THE AMERICAN PUT OPTION ON A ZERO DIVIDEND ASSET
pp. 185-197(13)
Authors: Chen, Xinfu; Chadam, John; Jiang, Lishang; Zheng, Weian