| nr |
titel |
auteur |
tijdschrift |
jaar |
jaarg. |
afl. |
pagina('s) |
type |
| 1 |
A Black–Scholes inequality: applications and generalisations
|
Tehranchi, Michael R.
|
|
|
|
1 |
p. 1-38
|
artikel
|
| 2 |
Abstract, classic, and explicit turnpikes
|
Guasoni, Paolo
|
|
2013
|
|
1 |
p. 75-114
|
artikel
|
| 3 |
A càdlàg rough path foundation for robust finance
|
Allan, Andrew L.
|
|
|
|
1 |
p. 215-257
|
artikel
|
| 4 |
A chaotic approach to interest rate modelling
|
Hughston, Lane P.
|
|
2005
|
|
1 |
p. 43-65
|
artikel
|
| 5 |
A class of risk neutral densities with heavy tails
|
Hartvig, Niels Væver
|
|
2001
|
|
1 |
p. 115-128
|
artikel
|
| 6 |
A closed-form solution to the problem of super-replication under transaction costs
|
Cvitanić, Jakša
|
|
1999
|
|
1 |
p. 35-54
|
artikel
|
| 7 |
A correction note on the first passage time of an Ornstein-Uhlenbeck process to a boundary
|
Leblanc, B.
|
|
2000
|
|
1 |
p. 109-111
|
artikel
|
| 8 |
A generalization of Panjer’s recursion and numerically stable risk aggregation
|
Gerhold, Stefan
|
|
2009
|
|
1 |
p. 81-128
|
artikel
|
| 9 |
A high-low-based omnibus test for symmetry, the Lévy property, and other hypotheses on intraday returns
|
Klößner, Stefan
|
|
2009
|
|
1 |
p. 1-12
|
artikel
|
| 10 |
A hyperbolic diffusion model for stock prices
|
Bibby, Bo Martin
|
|
1997
|
|
1 |
p. 25-41
|
artikel
|
| 11 |
A link between complete models with stochastic volatility and ARCH models
|
Jeantheau, Thierry
|
|
2004
|
|
1 |
p. 111-131
|
artikel
|
| 12 |
A mathematical treatment of bank monitoring incentives
|
Pagès, Henri
|
|
2013
|
|
1 |
p. 39-73
|
artikel
|
| 13 |
A model of optimal portfolio selection under liquidity risk and price impact
|
Ly Vath, Vathana
|
|
2006
|
|
1 |
p. 51-90
|
artikel
|
| 14 |
A monetary value for initial information in portfolio optimization
|
Amendinger, Jürgen
|
|
2003
|
|
1 |
p. 29-46
|
artikel
|
| 15 |
An enlargement of filtration formula with applications to multiple non-ordered default times
|
Jeanblanc, Monique
|
|
2017
|
|
1 |
p. 205-240
|
artikel
|
| 16 |
An ergodic BSDE approach to forward entropic risk measures: representation and large-maturity behavior
|
Chong, Wing Fung
|
|
2018
|
|
1 |
p. 239-273
|
artikel
|
| 17 |
An exact analytical solution for discrete barrier options
|
Fusai, Gianluca
|
|
2006
|
|
1 |
p. 1-26
|
artikel
|
| 18 |
An extension of mean-variance hedging to the discontinuous case
|
Arai, Takuji
|
|
2005
|
|
1 |
p. 129-139
|
artikel
|
| 19 |
An Italian perspective on the development of financial mathematics from 1992 to 2008
|
Runggaldier, Wolfgang J.
|
|
|
|
1 |
p. 5-31
|
artikel
|
| 20 |
A note on the existence of the power investor’s optimizer
|
Larsen, Kasper
|
|
2009
|
|
1 |
p. 183-190
|
artikel
|
| 21 |
A note on the forward measure
|
Davis, Mark
|
|
1997
|
|
1 |
p. 19-28
|
artikel
|
| 22 |
A paradox in time-consistency in the mean–variance problem?
|
Bensoussan, Alain
|
|
2018
|
|
1 |
p. 173-207
|
artikel
|
| 23 |
Apparent scaling
|
Barndorff-Nielsen, Ole E.
|
|
2001
|
|
1 |
p. 103-113
|
artikel
|
| 24 |
Arbitrage and deflators in illiquid markets
|
Pennanen, Teemu
|
|
2009
|
|
1 |
p. 57-83
|
artikel
|
| 25 |
Arbitrage bounds for the term structure of interest rates
|
Jaschke, Stefan R.
|
|
1997
|
|
1 |
p. 29-40
|
artikel
|
| 26 |
Arbitrage-free discretization of lognormal forward Libor and swap rate models
|
Glasserman, Paul
|
|
2000
|
|
1 |
p. 35-68
|
artikel
|
| 27 |
Arbitrage-free pricing of multi-person game claims in discrete time
|
Guo, Ivan
|
|
2016
|
|
1 |
p. 111-155
|
artikel
|
| 28 |
Arbitrage problems with reflected geometric Brownian motion
|
Buckner, Dean
|
|
|
|
1 |
p. 1-26
|
artikel
|
| 29 |
A solution approach to valuation with unhedgeable risks
|
Zariphopoulou, Thaleia
|
|
2001
|
|
1 |
p. 61-82
|
artikel
|
| 30 |
Asymptotic and exact pricing of options on variance
|
Keller-Ressel, Martin
|
|
2012
|
|
1 |
p. 107-133
|
artikel
|
| 31 |
A two-dimensional control problem arising from dynamic contracting theory
|
Décamps, Jean-Paul
|
|
2018
|
|
1 |
p. 1-28
|
artikel
|
| 32 |
Bachelier and his times: A conversation with Bernard Bru
|
Taqqu, Murad S.
|
|
2001
|
|
1 |
p. 3-32
|
artikel
|
| 33 |
Background filtrations and canonical loss processes for top-down models of portfolio credit risk
|
Ehlers, Philippe
|
|
2008
|
|
1 |
p. 79-103
|
artikel
|
| 34 |
Beyond cash-additive risk measures: when changing the numéraire fails
|
Farkas, Walter
|
|
2013
|
|
1 |
p. 145-173
|
artikel
|
| 35 |
Bubbles and crashes in a Black–Scholes model with delay
|
Appleby, John A. D.
|
|
2012
|
|
1 |
p. 1-30
|
artikel
|
| 36 |
Comment on ‘Pricing double barrier options using Laplace transforms’ by Antoon Pelsser
|
Hui, C.H.
|
|
2000
|
|
1 |
p. 105-107
|
artikel
|
| 37 |
Comments on the life and mathematical legacy of Wolfgang Doeblin
|
Bru, Bernard
|
|
2002
|
|
1 |
p. 3-47
|
artikel
|
| 38 |
Comonotone Pareto optimal allocations for law invariant robust utilities on L1
|
Ravanelli, Claudia
|
|
2013
|
|
1 |
p. 249-269
|
artikel
|
| 39 |
Co-monotonicity of optimal investments and the design of structured financial products
|
Rieger, Marc Oliver
|
|
2010
|
|
1 |
p. 27-55
|
artikel
|
| 40 |
Comparison results for stochastic volatility models via coupling
|
Hobson, David
|
|
2008
|
|
1 |
p. 129-152
|
artikel
|
| 41 |
Completion of a Lévy market by power-jump assets
|
Corcuera, José Manuel
|
|
2005
|
|
1 |
p. 109-127
|
artikel
|
| 42 |
Connecting discrete and continuous path-dependent options
|
Broadie, Mark
|
|
1999
|
|
1 |
p. 55-82
|
artikel
|
| 43 |
Consistent price systems and arbitrage opportunities of the second kind in models with transaction costs
|
Denis, Emmanuel
|
|
2010
|
|
1 |
p. 135-154
|
artikel
|
| 44 |
Consistent price systems under model uncertainty
|
Bouchard, Bruno
|
|
2015
|
|
1 |
p. 83-98
|
artikel
|
| 45 |
Consumption–investment optimization with Epstein–Zin utility in incomplete markets
|
Xing, Hao
|
|
2016
|
|
1 |
p. 227-262
|
artikel
|
| 46 |
Consumption-portfolio optimization with recursive utility in incomplete markets
|
Kraft, Holger
|
|
2012
|
|
1 |
p. 161-196
|
artikel
|
| 47 |
Continuous auctions and insider trading: uniqueness and risk aversion
|
Cho, Kyung-Ha
|
|
2003
|
|
1 |
p. 47-71
|
artikel
|
| 48 |
Continuous-time perpetuities and time reversal of diffusions
|
Kardaras, Constantinos
|
|
2016
|
|
1 |
p. 65-110
|
artikel
|
| 49 |
Convergence of discrete time option pricing models under stochastic interest rates
|
Lesne, J.-P.
|
|
2000
|
|
1 |
p. 81-93
|
artikel
|
| 50 |
Convergence of utility functions and convergence of optimal strategies
|
Jouini, Elyès
|
|
2004
|
|
1 |
p. 133-144
|
artikel
|
| 51 |
Convexity theory for the term structure equation
|
Ekström, Erik
|
|
2007
|
|
1 |
p. 117-147
|
artikel
|
| 52 |
Correction note for ‘The large-maturity smile for the Heston model’
|
Bernard, Carole
|
|
2012
|
|
1 |
p. 223-224
|
artikel
|
| 53 |
Credit default swap calibration and derivatives pricing with the SSRD stochastic intensity model
|
Brigo, Damiano
|
|
2005
|
|
1 |
p. 29-42
|
artikel
|
| 54 |
Cross hedging with stochastic correlation
|
Ankirchner, Stefan
|
|
2010
|
|
1 |
p. 17-43
|
artikel
|
| 55 |
Derivative pricing based on local utility maximization
|
Kallsen, Jan
|
|
2002
|
|
1 |
p. 115-140
|
artikel
|
| 56 |
Dispersion-constrained martingale Schrödinger problems and the exact joint S&P 500/VIX smile calibration puzzle
|
Guyon, Julien
|
|
|
|
1 |
p. 27-79
|
artikel
|
| 57 |
Diversity and relative arbitrage in equity markets
|
Fernholz, Robert
|
|
2005
|
|
1 |
p. 1-27
|
artikel
|
| 58 |
Dual pricing of multi-exercise options under volume constraints
|
Bender, Christian
|
|
2010
|
|
1 |
p. 1-26
|
artikel
|
| 59 |
Dynamic optimal execution in a mixed-market-impact Hawkes price model
|
Alfonsi, Aurélien
|
|
2015
|
|
1 |
p. 183-218
|
artikel
|
| 60 |
Dynamic programming and mean-variance hedging
|
Laurent, Jean Paul
|
|
1999
|
|
1 |
p. 83-110
|
artikel
|
| 61 |
Dynamic programming approach to principal–agent problems
|
Cvitanić, Jakša
|
|
2017
|
|
1 |
p. 1-37
|
artikel
|
| 62 |
Editorial
|
Schweizer, Martin
|
|
2006
|
|
1 |
p. 1-2
|
artikel
|
| 63 |
Editorial
|
Delbaen, Freddy
|
|
2004
|
|
1 |
p. 1-2
|
artikel
|
| 64 |
Editorial
|
Shiryaev, A.N.
|
|
2001
|
|
1 |
p. 1-2
|
artikel
|
| 65 |
Editorial
|
Sondermann, Dieter
|
|
2002
|
|
1 |
p. 1-2
|
artikel
|
| 66 |
Editorial
|
Hamel, Andreas H.
|
|
|
|
1 |
p. 1-3
|
artikel
|
| 67 |
Editorial: 25th anniversary of Finance and Stochastics
|
Schweizer, Martin
|
|
|
|
1 |
p. 1-3
|
artikel
|
| 68 |
Efficient discretization of stochastic integrals
|
Fukasawa, Masaaki
|
|
2013
|
|
1 |
p. 175-208
|
artikel
|
| 69 |
Elicitability and identifiability of set-valued measures of systemic risk
|
Fissler, Tobias
|
|
|
|
1 |
p. 133-165
|
artikel
|
| 70 |
Erratum to: Asset price bubbles from heterogeneous beliefs about mean reversion rates
|
Chen, Xi
|
|
2012
|
|
1 |
p. 225-226
|
artikel
|
| 71 |
Existence of an endogenously complete equilibrium driven by a diffusion
|
Kramkov, Dmitry
|
|
2014
|
|
1 |
p. 1-22
|
artikel
|
| 72 |
Existence of Lévy term structure models
|
Filipović, Damir
|
|
2007
|
|
1 |
p. 83-115
|
artikel
|
| 73 |
Facelifting in utility maximization
|
Larsen, Kasper
|
|
2015
|
|
1 |
p. 99-121
|
artikel
|
| 74 |
Faking Brownian motion with continuous Markov martingales
|
Beiglböck, Mathias
|
|
|
|
1 |
p. 259-284
|
artikel
|
| 75 |
Fast accurate binomial pricing
|
Rogers, L.C.G.
|
|
1997
|
|
1 |
p. 3-17
|
artikel
|
| 76 |
Financial equilibria in the semimartingale setting: Complete markets and markets with withdrawal constraints
|
Žitković, Gordan
|
|
2006
|
|
1 |
p. 99-119
|
artikel
|
| 77 |
Financial equilibrium with asymmetric information and random horizon
|
Çetin, Umut
|
|
2017
|
|
1 |
p. 97-126
|
artikel
|
| 78 |
Financial inverse problem and reconstruction of infinitely divisible distributions with Gaussian component
|
Kaji, S.
|
|
2011
|
|
1 |
p. 45-62
|
artikel
|
| 79 |
Fourier series method for measurement of multivariate volatilities
|
Malliavin, Paul
|
|
2002
|
|
1 |
p. 49-61
|
artikel
|
| 80 |
Free boundary and optimal stopping problems for American Asian options
|
Pascucci, Andrea
|
|
2007
|
|
1 |
p. 21-41
|
artikel
|
| 81 |
From Bachelier to Dupire via optimal transport
|
Beiglböck, Mathias
|
|
|
|
1 |
p. 59-84
|
artikel
|
| 82 |
Generalized deviations in risk analysis
|
Rockafellar, R. Tyrrell
|
|
2006
|
|
1 |
p. 51-74
|
artikel
|
| 83 |
Generalized stochastic target problems for pricing and partial hedging under loss constraints—application in optimal book liquidation
|
Bouchard, Bruno
|
|
2012
|
|
1 |
p. 31-72
|
artikel
|
| 84 |
Hazard rate for credit risk and hedging defaultable contingent claims
|
Blanchet-Scalliet, Christophette
|
|
2004
|
|
1 |
p. 145-159
|
artikel
|
| 85 |
Hedging contingent claims on semimartingales
|
Jarrow, Robert
|
|
1999
|
|
1 |
p. 111-134
|
artikel
|
| 86 |
Hedging of American options under transaction costs
|
Vallière, D. De
|
|
2008
|
|
1 |
p. 105-119
|
artikel
|
| 87 |
Hedging with small uncertainty aversion
|
Herrmann, Sebastian
|
|
2016
|
|
1 |
p. 1-64
|
artikel
|
| 88 |
Investment–consumption–insurance optimisation problem with multiple habit formation and non-exponential discounting
|
Wang, Yike
|
|
|
|
1 |
p. 161-214
|
artikel
|
| 89 |
In which financial markets do mutual fund theorems hold true?
|
Schachermayer, Walter
|
|
2008
|
|
1 |
p. 49-77
|
artikel
|
| 90 |
Irreversible investment and industry equilibrium
|
Baldursson, Fridrik M.
|
|
1997
|
|
1 |
p. 69-89
|
artikel
|
| 91 |
Iterative construction of the optimal Bermudan stopping time
|
Kolodko, Anastasia
|
|
2006
|
|
1 |
p. 27-49
|
artikel
|
| 92 |
Large portfolio losses
|
Dembo, Amir
|
|
2004
|
|
1 |
p. 3-16
|
artikel
|
| 93 |
Linear credit risk models
|
Ackerer, Damien
|
|
|
|
1 |
p. 169-214
|
artikel
|
| 94 |
Local time and the pricing of time-dependent barrier options
|
Mijatović, Aleksandar
|
|
2008
|
|
1 |
p. 13-48
|
artikel
|
| 95 |
Local time, coupling and the passport option
|
Henderson, Vicky
|
|
2000
|
|
1 |
p. 69-80
|
artikel
|
| 96 |
Local volatility dynamic models
|
Carmona, René
|
|
2008
|
|
1 |
p. 1-48
|
artikel
|
| 97 |
Lévy term structure models: No-arbitrage and completeness
|
Eberlein, Ernst
|
|
2005
|
|
1 |
p. 67-88
|
artikel
|
| 98 |
Market completion with derivative securities
|
Schwarz, Daniel C.
|
|
2016
|
|
1 |
p. 263-284
|
artikel
|
| 99 |
Martingale Schrödinger bridges and optimal semistatic portfolios
|
Nutz, Marcel
|
|
|
|
1 |
p. 233-254
|
artikel
|
| 100 |
Mean field portfolio games
|
Fu, Guanxing
|
|
|
|
1 |
p. 189-231
|
artikel
|
| 101 |
Minimal q-entropy martingale measures for exponential time-changed Lévy processes
|
Kassberger, Stefan
|
|
2010
|
|
1 |
p. 117-140
|
artikel
|
| 102 |
Minimax theorems for American options without time-consistency
|
Belomestny, Denis
|
|
2018
|
|
1 |
p. 209-238
|
artikel
|
| 103 |
Model-independent superhedging under portfolio constraints
|
Fahim, Arash
|
|
2015
|
|
1 |
p. 51-81
|
artikel
|
| 104 |
Model uncertainty and the pricing of American options
|
Hobson, David
|
|
2016
|
|
1 |
p. 285-329
|
artikel
|
| 105 |
Moment explosions in stochastic volatility models
|
Andersen, Leif B. G.
|
|
2006
|
|
1 |
p. 29-50
|
artikel
|
| 106 |
Multi-portfolio time consistency for set-valued convex and coherent risk measures
|
Feinstein, Zachary
|
|
2014
|
|
1 |
p. 67-107
|
artikel
|
| 107 |
Multi-utility representations of incomplete preferences induced by set-valued risk measures
|
Munari, Cosimo
|
|
|
|
1 |
p. 77-99
|
artikel
|
| 108 |
My journey through finance and stochastics
|
Musiela, Marek
|
|
|
|
1 |
p. 33-58
|
artikel
|
| 109 |
Necessary and sufficient conditions in the problem of optimal investment with intermediate consumption
|
Mostovyi, Oleksii
|
|
2014
|
|
1 |
p. 135-159
|
artikel
|
| 110 |
No-arbitrage under a class of honest times
|
Aksamit, Anna
|
|
2017
|
|
1 |
p. 127-159
|
artikel
|
| 111 |
Nonlinear expectations of random sets
|
Molchanov, Ilya
|
|
|
|
1 |
p. 5-41
|
artikel
|
| 112 |
Nonparametric estimation for a stochastic volatility model
|
Comte, F.
|
|
2009
|
|
1 |
p. 49-80
|
artikel
|
| 113 |
Nonparametric estimation for i.i.d. paths of a martingale-driven model with application to non-autonomous financial models
|
Marie, Nicolas
|
|
|
|
1 |
p. 97-126
|
artikel
|
| 114 |
Numerical solution of jump-diffusion LIBOR market models
|
Glasserman, Paul
|
|
2003
|
|
1 |
p. 1-27
|
artikel
|
| 115 |
On a general class of one-factor models for the term structure of interest rates
|
Schmidt, W.M.
|
|
1997
|
|
1 |
p. 3-24
|
artikel
|
| 116 |
On a multi-asset version of the Kusuoka limit theorem of option superreplication under transaction costs
|
Grépat, Julien
|
|
|
|
1 |
p. 167-187
|
artikel
|
| 117 |
On arbitrarily slow convergence rates for strong numerical approximations of Cox–Ingersoll–Ross processes and squared Bessel processes
|
Hefter, Mario
|
|
2018
|
|
1 |
p. 139-172
|
artikel
|
| 118 |
On option pricing in binomial market with transaction costs
|
Melnikov, Alexander V.
|
|
2005
|
|
1 |
p. 141-149
|
artikel
|
| 119 |
On the free boundary of an annuity purchase
|
Angelis, Tiziano De
|
|
2018
|
|
1 |
p. 97-137
|
artikel
|
| 120 |
On the hedging of options on exploding exchange rates
|
Carr, Peter
|
|
2013
|
|
1 |
p. 115-144
|
artikel
|
| 121 |
On the Malliavin approach to Monte Carlo approximation of conditional expectations
|
Bouchard, Bruno
|
|
2004
|
|
1 |
p. 45-71
|
artikel
|
| 122 |
On the quasi-sure superhedging duality with frictions
|
Bayraktar, Erhan
|
|
|
|
1 |
p. 249-275
|
artikel
|
| 123 |
On the use of measure-valued strategies in bond markets
|
Donno, Marzia De
|
|
2004
|
|
1 |
p. 87-109
|
artikel
|
| 124 |
Optimal consumption and investment with Epstein–Zin recursive utility
|
Kraft, Holger
|
|
2016
|
|
1 |
p. 187-226
|
artikel
|
| 125 |
Optimal consumption policies in illiquid markets
|
Cretarola, Alessandra
|
|
2010
|
|
1 |
p. 85-115
|
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Optimal dividend policies with transaction costs for a class of jump-diffusion processes
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Hunting, Martin
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Optimal dividend policy and growth option
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Optimal dividends with partial information and stopping of a degenerate reflecting diffusion
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Optimal dynamic reinsurance policies for large insurance portfolios
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Taksar, Michael I.
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2003
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Optimal execution with stochastic delay
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Cartea, Álvaro
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Optimal hedging of demographic risk in life insurance
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Norberg, Ragnar
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Optimal importance sampling with explicit formulas in continuous time
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Optimal investment and consumption for financial markets with jumps under transaction costs
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Optimal investment and price dependence in a semi-static market
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Optimal investment in derivative securities
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Carr, Peter
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Optimal investments for risk- and ambiguity-averse preferences: a duality approach
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Schied, Alexander
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Optimal liquidation under stochastic liquidity
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Optimal portfolio of low liquid assets with a log-utility function
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Matsumoto, Koichi
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Optimal portfolios when stock prices follow an exponential Lévy process
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Emmer, Susanne
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Optional decomposition and Lagrange multipliers
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Pathwise superhedging on prediction sets
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Portfolio optimization with insider’s initial information and counterparty risk
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Hillairet, Caroline
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Pricing and hedging of credit derivatives via the innovations approach to nonlinear filtering
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Frey, Rüdiger
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Pricing double barrier options using Laplace transforms
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p. 95-104
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Pricing growth-rate risk
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Hansen, Lars Peter
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Pricing of catastrophe reinsurance and derivatives using the Cox process with shot noise intensity
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Pricing options on flow forwards by neural networks in a Hilbert space
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Principles of smooth and continuous fit in the determination of endogenous bankruptcy levels
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Processes of normal inverse Gaussian type
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Quadratic BSDEs driven by a continuous martingale and applications to the utility maximization problem
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Random step functions model for interest rates
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p. 123-143
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Reinforcement learning and stochastic optimisation
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Replicating portfolio approach to capital calculation
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Risk arbitrage and hedging to acceptability under transaction costs
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Risk measures for processes and BSDEs
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Risk minimization under transaction costs
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Risk sensitive asset management with transaction costs
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Robust price bounds for the forward starting straddle
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Ruin probabilities for a Lévy-driven generalised Ornstein–Uhlenbeck process
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Scenario Simulation: Theory and methodology
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Semimartingale representation of fractional Riesz-Bessel motion
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Smooth convergence in the binomial model
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Some calculations for Israeli options
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Speculative trading, prospect theory and transaction costs
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Stochastic mortality models: an infinite-dimensional approach
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Stock market prices and long-range dependence
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Superreplication when trading at market indifference prices
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Tangent Lévy market models
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The dynamics of strategic information flows in stock markets
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The infinite-horizon investment–consumption problem for Epstein–Zin stochastic differential utility. II: Existence, uniqueness and verification for ϑ∈(0,1)
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The optimal-drift model: an accelerated binomial scheme
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The value of a liability cash flow in discrete time subject to capital requirements
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Time-consistent stopping under decreasing impatience
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Transaction costs, trading volume, and the liquidity premium
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Turnpike behavior of long-term investments
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Utility maximisation in a factor model with constant and proportional transaction costs
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Utility maximization under increasing risk aversion in one-period models
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Valuation of American options in the presence of event risk
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Valuation of default-sensitive claims under imperfect information (Publisher’s Erratum)
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Watermark options
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Weakly time consistent concave valuations and their dual representations
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Worst case portfolio vectors and diversification effects
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