Wydawnictwa / Banach Center Publications / Wszystkie tomy

Zawartość tomu 104

• Optimal position targeting with stochastic linear-quadratic costs Stefan Ankirchner, Thomas Kruse Banach Center Publications 104 (2015), 9-24 MSC: 60H10, 91G80, 93E20. DOI: 10.4064/bc104-0-1
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• Recent advances in ambit stochastics with a view towards tempo-spatial stochastic volatility/intermittency Ole E. Barndorff-Nielsen, Fred Espen Benth, Almut E. D. Veraart Banach Center Publications 104 (2015), 25-60 MSC: Primary 60G60; Secondary 60G10, 60G51, 60G57. DOI: 10.4064/bc104-0-2
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• Incompleteness of the bond market with Lévy noise under the physical measure Michał Barski Banach Center Publications 104 (2015), 61-84 MSC: 91B26, 91B70. DOI: 10.4064/bc104-0-3
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• Refined wing asymptotics for the Merton and Kou jump diffusion models Stefan Gerhold, Johannes F. Morgenbesser, Axel Zrunek Banach Center Publications 104 (2015), 85-94 MSC: Primary 91G20; Secondary 41A60. DOI: 10.4064/bc104-0-4
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• Stable-$1/2$ bridges and insurance Edward Hoyle, Lane P. Hughston, Andrea Macrina Banach Center Publications 104 (2015), 95-120 MSC: 60G52, 62P05, 62F15, 91B25, 91B30. DOI: 10.4064/bc104-0-5
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• Full cooperation applied to environmental improvements Monique Jeanblanc, Rafał M. Łochowski, Wojciech Szatzschneider Banach Center Publications 104 (2015), 121-131 MSC: Primary 93E20; Secondary 60H10. DOI: 10.4064/bc104-0-6
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• Systemic risk through contagion in a core-periphery structured banking network Oliver Kley, Claudia Klüppelberg, Lukas Reichel Banach Center Publications 104 (2015), 133-149 MSC: Primary 60K35, 60H30, 91B30. DOI: 10.4064/bc104-0-7
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• The rate of convergence of option prices when general martingale discrete-time scheme approximates the Black–Scholes model Yuliya Mishura Banach Center Publications 104 (2015), 151-165 MSC: Primary 60F17; Secondary 91B24, 91B25. DOI: 10.4064/bc104-0-8
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• Optimal investment under behavioural criteria — a dual approach Miklós Rásonyi, José G. Rodríguez-Villarreal Banach Center Publications 104 (2015), 167-180 MSC: 91G10, 91B16. DOI: 10.4064/bc104-0-9
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• Differentiability of excessive functions of one-dimensional diffusions and the principle of smooth fit Paavo Salminen, Bao Quoc Ta Banach Center Publications 104 (2015), 181-199 MSC: Primary 60J60, 60G40, 62L15; Secondary 31C05. DOI: 10.4064/bc104-0-10
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