On a numerical approximation scheme for construction of the early exercise boundary for a class of nonlinear Black-Scholes equations
On contingent claims pricing in incomplete markets: A risk sharing approach
On honest times in financial modeling
On incompleteness of bond markets with infinite number of random factors
On optimal arbitrage
On the Esscher transforms and other equivalent martingale measures for Barndorff-Nielsen and Shephard stochastic volatility models with jumps
On the Performance of Delta Hedging Strategies in Exponential Lévy Models
On the singular limit of solutions to the CIR interest rate model with stochastic volatility
On the Stability the Least Squares Monte Carlo
On the Use of Policy Iteration as an Easy Way of Pricing American Options
On three filtering problems arising in mathematical finance
On using shadow prices in portfolio optimization with transaction costs
Optimal closing of a pair trade with a model containing jumps
Optimal decision under ambiguity for diffusion processes
Optimal dual martingales, their analysis and application to new algorithms for Bermudan products
Optimal systems of subalgebras for a nonlinear Black-Scholes equation
Optimisation of Stochastic Programming by Hidden Markov Modelling based Scenario Generation
Optimizing expected utility of dividend payments for a Erlang risk process
Outperforming the Market Portfolio with a Given Probability