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
Penalty Methods for the Solution of Discrete HJB Equations -- Continuous Control and Obstacle Problems
Perturbative Expansion of FBSDE in an Incomplete Market with Stochastic Volatility
Perturbative Expansion Technique for Non-linear FBSDEs with Interacting Particle Method