PORTFOLIO MANAGEMENT WITH CONSTRAINTS - Phelim Boyle and Weidong Tian
LARGE DEVIATIONS IN MULTIFACTOR PORTFOLIO CREDIT RISK - Paul Glasserman , Wanmo Kang , Perwez Shahabuddin
PROPERTIES OF OPTION PRICES IN MODELS WITH JUMPS - Erik Ekström , Johan Tysk
A STATE-SPACE PARTITIONING METHOD FOR PRICING HIGH-DIMENSIONAL AMERICAN-STYLE OPTIONS - Xing Jin , Hwee Huat Tan , Junhua Sun
HEATH–JARROW–MORTON INTEREST RATE DYNAMICS AND APPROXIMATELY CONSISTENT FORWARD RATE CURVES - Claudia La Chioma , Benedetto Piccoli
AN OLD-NEW CONCEPT OF CONVEX RISK MEASURES: THE OPTIMIZED CERTAINTY EQUIVALENT - Aharon Ben-Tal , Marc Teboulle
A NOTE ON THE EFFECTS OF TAXES ON OPTIMAL INVESTMENT - Cristin Buescu, Abel Cadenillas, Stanley R. Pliska
CALLABLE PUTS AS COMPOSITE EXOTIC OPTIONS - Christoph Kühn, Andreas E. Kyprianou
THE EIGENFUNCTION EXPANSION METHOD IN MULTI-FACTOR QUADRATIC TERM STRUCTURE MODELS - Nina Boyarchenko, Sergei Levendorskii
INTENSITY-BASED VALUATION OF RESIDENTIAL MORTGAGES: AN ANALYTICALLY TRACTABLE MODEL - Vyacheslav Gorovoy, Vadim Linetsky
LINEAR-QUADRATIC JUMP-DIFFUSION MODELING - Peng Cheng, Olivier Scaillet
DYNAMIC INDIFFERENCE VALUATION VIA CONVEX RISK MEASURES - Susanne Klöppel and Martin Schweizer
Source: Journal Home Page