On non-existence of a one factor interest rate model for volatility averaged generalized Fong-Vasicek term structures
On optimal arbitrage
On optimal investment for a behavioural investor in multiperiod incomplete market models
On perpetual American put valuation and first-passage in a regime-switching model with jumps
On Pricing Basket Credit Default Swaps
On properties of Continuous-Time Random Walks with Non-Poissonian jump-times
On refined volatility smile expansion in the Heston model
On return-volatility correlation in financial dynamics
On Systemic Stability of Banking Networks
On the closure in the Emery topology of semimartingale wealth-process sets
On the Dybvig-Ingersoll-Ross Theorem
On the emergence of critical behavior in evolving financial networks
On the Esscher transforms and other equivalent martingale measures for Barndorff-Nielsen and Shephard stochastic volatility models with jumps
On the Existence of Bertrand-Nash Equilibrium Prices Under Logit Demand
On the Existence of Consistent Price Systems
On the Existence of Shadow Prices
On the fractional Black-Scholes market with transaction costs
On the game interpretation of a shadow price process in utility maximization problems under transaction costs
On the Hedging of Options On Exploding Exchange Rates
On the nature of financial leverage