Wydawnictwa / Banach Center Publications / Wszystkie tomy

Zawartość tomu 83

• Constrained portfolio liquidation in a limit order book model Aurélien Alfonsi, Antje Fruth, Alexander Schied Banach Center Publications 83 (2008), 9-25 MSC: 91B26, 91B28, 91B70, 93E20, 60G35. DOI: 10.4064/bc83-0-1
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• A stochastic overlapping generation model with a continuum of agents Emmanuelle Augeraud-Véron, Delphine David Banach Center Publications 83 (2008), 27-36 MSC: 91B70, 91B62, 91B42. DOI: 10.4064/bc83-0-2
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• Numerical solution of Black-Scholes option pricing with variable yield discrete dividend payment Rafael Company, Lucas Jódar, Enrique Ponsoda Banach Center Publications 83 (2008), 37-47 MSC: 03H10, 91B24, 35K15. DOI: 10.4064/bc83-0-3
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• Market completion using options Mark Davis, Jan Obłój Banach Center Publications 83 (2008), 49-60 MSC: Primary 91B28, 91B70; Secondary 60J60. DOI: 10.4064/bc83-0-4
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• A pension fund in the accumulation phase: a stochastic control approach Salvatore Federico Banach Center Publications 83 (2008), 61-83 MSC: 91B28, 93E20, 49L25. DOI: 10.4064/bc83-0-5
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• Variational sensitivity analysis of parametric Markovian market models Norbert Hilber, Christoph Schwab, Christoph Winter Banach Center Publications 83 (2008), 85-106 MSC: Primary 60J25; Secondary 65M60, 65N30. DOI: 10.4064/bc83-0-6
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• Optimal stopping with advanced information flow: selected examples Yaozhong Hu, Bernt Øksendal Banach Center Publications 83 (2008), 107-116 MSC: Primary 93E20, 60H05, 60G51; Secondary 91B28. DOI: 10.4064/bc83-0-7
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• Information, inflation, and interest Lane P. Hughston, Andrea Macrina Banach Center Publications 83 (2008), 117-138 MSC: 91B28, 91B44, 91B64. DOI: 10.4064/bc83-0-8
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• Laplace transform identities for diffusions, with applications to rebates and barrier options Hardy Hulley, Eckhard Platen Banach Center Publications 83 (2008), 139-157 MSC: Primary 60J60, 91B28; Secondary 44A10, 47D07, 60J70. DOI: 10.4064/bc83-0-9
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• Pricing bonds and CDS in the model with rating migration induced by a Cox process Jacek Jakubowski, Mariusz Niew/eg/lowski Banach Center Publications 83 (2008), 159-182 MSC: Primary 62P05; Secondary 60J27, 91B70. DOI: 10.4064/bc83-0-10
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• Convergence of optimal strategies under proportional transaction costs Rafa/l Kucharski Banach Center Publications 83 (2008), 183-193 MSC: Primary 91B28; Secondary 93E20. DOI: 10.4064/bc83-0-11
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• Risk minimizing strategies for a portfolio of interest-rate securities Andrzej Palczewski Banach Center Publications 83 (2008), 195-212 MSC: Primary 93E20; Secondary 91B28. DOI: 10.4064/bc83-0-12
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• Local risk-minimization for multidimensional assets and payment streams Martin Schweizer Banach Center Publications 83 (2008), 213-229 MSC: Primary 91B28; Secondary 60G48, 60G35. DOI: 10.4064/bc83-0-13
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• Discrete time infinite horizon risk sensitive portfolio selection with proportional transaction costs /Lukasz Stettner Banach Center Publications 83 (2008), 231-241 MSC: Primary 91B28; Secondary 93E20, 91B30. DOI: 10.4064/bc83-0-14
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• Exponential martingales and CIR model Wojciech Szatzschneider Banach Center Publications 83 (2008), 243-249 MSC: 91B28, 60G46, 60H30. DOI: 10.4064/bc83-0-15
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