Uwe Kuechler - Stochastic Differential Delay Equations: Part 1 (6,309Kb) and Part 2 (5,153Kb).

Nicola Bruti-Liberati Weak predictor-corrector methods for jump diffusions in finance (113Kb)

Freddy Delbaen Characterisation of b(M) for continuous BMO martingales (273Kb)

Daniel Dufresne Stochastic life annuities (258Kb)

Jerzy Filar Time consistent dynamic risk measures (203Kb)

Gunardi P(I)DE approach for Indonesian options pricing (81Kb)

Kais Hamza A family of non-Gaussian martingales with Gaussian marginals (231Kb)

Hardy Hulley A survey and reassessment of the constant elasticity of variance model (105Kb)

Mark Joshi Upper bounds for early exercisable derivatives in Monte Carlo simulations: extending and refining Rogers/Haugh-Kogan and Jamshidian (1,044Kb)

Fima Klebaner Non-constant volatility in Black-Scholes (129Kb)

Truc Le Approximating the growth optimal portfolio with a diversified World Stock Index (645Kb)

Charles Li An Improved EM Algorithm and Semi-Blind Channel Identification for Affinely Precoded Communication Systems (241Kb)

Boris Miller Generalized (discontinuous) solutions in stochastic control problems (1,578Kb)

Eckhard Platen On the pricing and hedging of long dated zero coupon bonds (465Kb)

Erik Schloegl Generic implementation of control variates in option pricing (66Kb)

Neda Zamani Mechanical vs. informational components of price impact (1,147Kb)