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Finance and Stochastics

中文名称：金融与随机

ISSN：1432-1122
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1.Free boundary and optimal stopping problems for American Asian options

机译：美国亚洲期权的自由边界和最佳止损问题
- 作者：Andrea Pascucci
- 期刊名称：《Finance and Stochastics》 | 2008年第1期
- American option;
- Asian option;
- Free boundary problem;
- Optimal stopping;
- 35K65;
- C02;
2.The dynamics of strategic information flows in stock markets

机译：股票市场中战略信息流的动态
- 作者：P. Seiler;B. Taub
- 期刊名称：《Finance and Stochastics》 | 2008年第1期
- Multi-asset pricing;
- Strategic information;
- Information dynamics;
- Frequency-domain methods;
- 47N10;
- 91B44;
- 91B70;
- G12;
- G14;
3.Existence of Lévy term structure models

机译：Lévy期限结构模型的存在
- 作者：Damir Filipovi?;Stefan Tappe
- 期刊名称：《Finance and Stochastics》 | 2008年第1期
4.Convexity theory for the term structure equation

机译：项结构方程的凸性理论
- 作者：Erik Ekstr?m;Johan Tysk
- 期刊名称：《Finance and Stochastics》 | 2008年第1期
- Interest rate theory;
- Bond options;
- Convexity;
- Parameter monotonicity;
- Log-convexity;
- Log-concavity;
- Affine term structure;
- 91B28;
- 35K99;
- E43;
- G13;
5.Optimal importance sampling with explicit formulas in continuous time

机译：在连续时间内使用显式公式进行最佳重要性抽样
- 作者：Paolo Guasoni;Scott Robertson
- 期刊名称：《Finance and Stochastics》 | 2008年第1期
- Monte Carlo methods;
- Variance reduction;
- Importance sampling;
- Large deviations;
- 91B28;
- 60F10;
- 65C05;
6.Asymptotic arbitrage and numéraire portfolios in large financial markets

机译：大型金融市场中的渐进套利和数字投资组合
- 作者：Dmitry B. Rokhlin
- 期刊名称：《Finance and Stochastics》 | 2008年第2期
- Asymptotic arbitrage;
- Large market;
- Numéraire portfolio;
- Contiguity;
- Entire separation;
- Relative entropy;
- 91B24;
- 91B28;
- 60G30;
- G10;
7.Dynamic risk measures: Time consistency and risk measures from BMO martingales

机译：动态风险衡量：BMO Time的时间一致性和风险衡量
- 作者：Jocelyne Bion-Nadal
- 期刊名称：《Finance and Stochastics》 | 2008年第2期
- Dynamic risk measures;
- Conditional risk measures;
- Time consistency;
- BMO martingales;
- 91B30;
- 91B70;
- 60G44;
- 28A20;
- 46A20;
- D81;
- D52;
- C61;
8.On the duality principle in option pricing: semimartingale setting

机译：关于期权定价中的对偶原则：半市场设定
- 作者：Ernst Eberlein;Antonis Papapantoleon;Albert N. Shiryaev
- 期刊名称：《Finance and Stochastics》 | 2008年第2期
- Duality principle in option pricing;
- Exponential semimartingale model;
- Exponential Lévy model;
- Call-put duality;
- Exotic options;
- G13;
- C02;
9.Yield curve shapes and the asymptotic short rate distribution in affine one-factor models

机译：仿射单因素模型中的收益率曲线形状和渐近短利率分布
- 作者：Martin Keller-Ressel;Thomas Steiner
- 期刊名称：《Finance and Stochastics》 | 2008年第2期
- Affine process;
- Term structure of interest rates;
- Ornstein–Uhlenbeck process;
- Yield curve;
- 60J25;
- 91B28;
- E43;
- G12;
10.Valuation of default-sensitive claims under imperfect information

机译：不完全信息下对违约敏感索赔的评估
- 作者：Delia Coculescu;Hélyette Geman;Monique Jeanblanc
- 期刊名称：《Finance and Stochastics》 | 2008年第2期
- Imperfect information;
- Default time;
- Hazard process;
- 60G35;
- 91B29;
- 91B26;
- G12;
- G13;
11.Long run forward rates and long yields of bonds and options in heterogeneous equilibria

机译：异质均衡中的长期远期利率和债券及期权的长期收益
- 作者：Semyon Malamud
- 期刊名称：《Finance and Stochastics》 | 2008年第2期
- Heterogeneity;
- Asset prices;
- Yield curve;
- Forward rates;
- Option;
- 91B28;
- 91B60;
- 91B64;
- 91B70;
- D91;
- E43;
- G12;
12.In discrete time a local martingale is a martingale under an equivalent probability measure

机译：在离散时间内，本地mar是在等概率测度下的a
- 作者：Yuri Kabanov
- 期刊名称：《Finance and Stochastics》 | 2008年第3期
- Martingale;
- Generalized martingale;
- Dalang–Morton–Willinger theorem;
- Krein–S̆mulian theorem;
- Free lunch;
- 60G42;
- G10;
13.On perpetual American put valuation and first-passage in a regime-switching model with jumps

机译：关于永久性的美国看跌期权的估值和首次通过具有跳跃性的政权转换模型
- 作者：Zhengjun Jiang;Martijn R. Pistorius
- 期刊名称：《Finance and Stochastics》 | 2008年第3期
- American put option;
- Matrix Wiener–Hopf factorization;
- Phase-type;
- Regime-switching;
- First-passage problem;
- G13;
- 60K15;
- 90A09;
14.On q-optimal martingale measures in exponential Lévy models

机译：关于指数Lévy模型中的q-最优mar测度
- 作者：Christian Bender;Christina R. Niethammer
- 期刊名称：《Finance and Stochastics》 | 2008年第3期
- Stochastic duality;
- q-optimal martingale measure;
- Minimal entropy martingale measure;
- Lévy processes;
- 91B28;
- 60H10;
- 60G51;
- 60J75;
- G11;
- C61;
15.Optimal capital and risk allocations for law- and cash-invariant convex functions

机译：不变律和现金不变凸函数的最优资本和风险分配
- 作者：Damir Filipović;Gregor Svindland
- 期刊名称：《Finance and Stochastics》 | 2008年第3期
- Exact convolutions;
- Law-invariant risk measures;
- Optimal capital and risk allocations;
- 91B28;
- 91B30;
- G32;
- C62;
16.Optimal lifetime consumption and investment under a drawdown constraint

机译：缩水约束下的最佳使用寿命消耗和投资
- 作者：Romuald Elie;Nizar Touzi
- 期刊名称：《Finance and Stochastics》 | 2008年第3期
- Portfolio allocation;
- Drawdown constraint;
- Duality;
- Verification;
- 91B28;
- 35K55;
- 60H30;
- G11;
- C61;
17.Consumption processes and positively homogeneous projection properties

机译：消耗过程和正均匀投影特性
- 作者：Tom Fischer
- 期刊名称：《Finance and Stochastics》 | 2008年第3期
- Consumption strategies;
- Income drawdown;
- log-Lévy processes;
- Martingale consumption;
- Positive homogeneity;
- Smooth bonus;
- E21;
- G22;
- G23;
- 91B28;
- 93E99;
18.Universal bounds for asset prices in heterogeneous economies

机译：异构经济体中资产价格的普遍界限
- 作者：Semyon Malamud
- 期刊名称：《Finance and Stochastics》 | 2008年第3期
- Heterogeneity;
- Asset prices;
- Yield curve;
- Bounds;
- 91B28;
- 91B60;
- 91B64;
- 91B70;
- D91;
- E43;
- G12;
19.Pricing by hedging and no-arbitrage beyond semimartingales

机译：通过套期保值和半套利之外的套利定价
- 作者：Christian Bender;Tommi Sottinen;Esko Valkeila
- 期刊名称：《Finance and Stochastics》 | 2008年第4期
- Arbitrage;
- Pricing;
- Quadratic variation;
- Robust hedging;
- G10;
- G13;
20.No arbitrage and closure results for trading cones with transaction costs

机译：没有带有交易成本的交易锥体的套利和平仓结果
- 作者：Saul Jacka;Abdelkarem Berkaoui;Jon Warren
- 期刊名称：《Finance and Stochastics》 | 2008年第4期
- Arbitrage;
- Proportional transaction costs;
- Fundamental theorem of asset pricing;
- Convex cone;
- 91B24;
- 91B28;
- 52A20;
- 60H30;
- G10;
- G11;
- G13;
21.Arbitrage-free market models for option prices: the multi-strike case

机译：期权价格的无套利市场模型：多执行案例
- 作者：Martin Schweizer;Johannes Wissel
- 期刊名称：《Finance and Stochastics》 | 2008年第4期
- Option prices;
- Market model;
- Implied volatility;
- Static arbitrage;
- Dynamic arbitrage;
- Drift restrictions;
- Existence result;
- 60H10;
- 91B28;
- C60;
- G13;
22.Sensitivity estimates for portfolio credit derivatives using Monte Carlo

机译：使用蒙特卡洛的投资组合信贷衍生工具的敏感性估计
- 作者：Zhiyong Chen;Paul Glasserman
- 期刊名称：《Finance and Stochastics》 | 2008年第4期
- Sensitivity calculation;
- Credit derivatives;
- Monte Carlo simulation;
- Efficiency;
- Pathwise method;
- 91B28;
- 65C05;
- G13;
- G32;
- C15;
23.American and European options in multi-factor jump-diffusion models, near expiry

机译：即将到期的多因素跳跃扩散模型中的美国和欧洲选择
- 作者：Sergei Levendorskiǐ
- 期刊名称：《Finance and Stochastics》 | 2008年第4期
- Critical price near expiry;
- American puts;
- Calls;
- Exchange options;
- Bond options;
- European options near expiry;
- Jump-diffusions;
- ATSM;
- QTSM;
- D81;
- C61;
- 60G44;
- 91B28;
- 91B70;
24.The critical price for the American put in an exponential Lévy model

机译：美国人的临界价格采用指数Lévy模型
- 作者：Damien Lamberton;Mohammed Mikou
- 期刊名称：《Finance and Stochastics》 | 2008年第4期
- American options;
- Optimal stopping;
- Exponential Lévy model;
- 60G40;
- 60J75;
- 91B28;
- G10;
- G12;
- G13;
25.Editorial

机译：社论
- 作者：Martin Schweizer
- 期刊名称：《Finance and Stochastics》 | 2007年第1期
26.Optimal dividend policy and growth option

机译：最佳股息政策和增长选择
- 作者：Jean-Paul Décamps;Stéphane Villeneuve
- 期刊名称：《Finance and Stochastics》 | 2007年第1期
- Mixed singular control/optimal stopping problem;
- Local time;
- Dividend;
- Growth option;
- G11;
- C61;
- G35;
- 60G40;
- 91B70;
- 93E20;
27.A model of optimal portfolio selection under liquidity risk and price impact

机译：流动性风险和价格影响下的最优投资组合选择模型
- 作者：Vathana Ly Vath;Mohamed Mnif;Huyên Pham
- 期刊名称：《Finance and Stochastics》 | 2007年第1期
- Portfolio selection;
- Liquidity risk;
- Impulse control;
- State constraint;
- Discontinuous viscosity solutions;
- 93E20;
- 91B28;
- 60H30;
- 49L25;
- G11;
28.Moment explosions in stochastic volatility models

机译：随机波动率模型中的瞬间爆炸
- 作者：Leif B. G. Andersen;Vladimir V. Piterbarg
- 期刊名称：《Finance and Stochastics》 | 2007年第1期
- Heston model;
- Stochastic volatility;
- CEV model;
- Displaced diffusion model;
- Moment explosion;
- Integrability;
- Martingale property;
- Volatility smile asymptotics;
- 65C30;
- 60H10;
- E43;
- G12;
- G13;
29.Smooth convergence in the binomial model

机译：二项式模型的平滑收敛
- 作者：Lo-Bin Chang;Ken Palmer
- 期刊名称：《Finance and Stochastics》 | 2007年第1期
- Binomial model;
- Black–Scholes model;
- Option pricing;
- Smooth convergence;
- G13;
- 62P05;
30.Optimal investments for risk- and ambiguity-averse preferences: a duality approach

机译：规避风险和歧义偏好的最佳投资：对偶方法
- 作者：Alexander Schied
- 期刊名称：《Finance and Stochastics》 | 2007年第1期
- Model uncertainty;
- Ambiguity;
- Convex risk measures;
- Optimal investments;
- Duality theory;
- 91B28;
- 90C46;
- 60G44;
- G11;
- D81;
31.Principles of smooth and continuous fit in the determination of endogenous bankruptcy levels

机译：确定内生破产水平的平稳连续原则
- 作者：A. E. Kyprianou;B. A. Surya
- 期刊名称：《Finance and Stochastics》 | 2007年第1期
- Credit risk;
- Endogenous bankruptcy;
- Scale functions;
- Fluctuation identity;
- Continuous and smooth pasting principles;
- Wiener–Hopf factorization;
- C61;
- 91B28;
- 91B99;
- 91B72;
32.No-arbitrage criteria for financial markets with transaction costs and incomplete information

机译：具有交易成本和不完整信息的金融市场无套利标准
- 作者：Dimitri De Vallière;Yuri Kabanov;Christophe Stricker
- 期刊名称：《Finance and Stochastics》 | 2007年第2期
- Transaction costs;
- Incomplete information;
- Arbitrage;
- Hedging;
- G10;
- 91B28;
- 60G42;
33.The supermartingale property of the optimal wealth process for general semimartingales

机译：一般半semi的最优财富过程的super超特性
- 作者：Sara Biagini;Marco Frittelli
- 期刊名称：《Finance and Stochastics》 | 2007年第2期
- Utility maximization;
- Non locally bounded semimartingale;
- Duality methods;
- Optimal wealth process;
- σ-martingale measure;
- 60G42;
- 60G44;
- G11;
- G12;
- G13;
34.Additive and multiplicative duals for American option pricing

机译：美式期权定价的加法和乘法对偶
- 作者：Nan Chen;Paul Glasserman
- 期刊名称：《Finance and Stochastics》 | 2007年第2期
- Optimal stopping;
- Monte Carlo methods;
- Variance reduction;
- 62L15;
- 60H35;
- 60J57;
- G11;
- G12;
- G13;
35.Negative Libor rates in the swap market model

机译：掉期市场模型中的Libor负利率
- 作者：Mark H. A. Davis;Vicente Mataix-Pastor
- 期刊名称：《Finance and Stochastics》 | 2007年第2期
- Forward swap rates;
- Forward Libor rates;
- Support theorem;
- G12;
- G13;
- 60H10;
- 91B70;
36.Information reduction via level crossings in a credit risk model

机译：通过信用风险模型中的交叉口减少信息
- 作者：Robert A. Jarrow;Philip Protter;A. Deniz Sezer
- 期刊名称：《Finance and Stochastics》 | 2007年第2期
- Reduced form models;
- Structural models;
- Credit risk;
- Information reduction;
- Diffusion;
- Level-crossings;
- Brownian motion with drift;
- 60G55;
- 60G60;
- G13;
- D82;
37.Correspondence between lifetime minimum wealth and utility of consumption

机译：终生最低财富与消费效用之间的对应关系
- 作者：Erhan Bayraktar;Virginia R. Young
- 期刊名称：《Finance and Stochastics》 | 2007年第2期
- Optimal control;
- Probability of ruin;
- Utility of consumption;
- Investment/consumption decisions;
- G11;
- C61;
- 91B28;
- 91B42;
38.Optimal risk sharing with non-monotone monetary functionals

机译：具有非单调货币功能的最优风险分担
- 作者：Beatrice Acciaio
- 期刊名称：《Finance and Stochastics》 | 2007年第2期
- Risk measures;
- Convex duality;
- Risk sharing;
- D81;
- G22;
- 91B30;
- 46N10;
- 91B28;
39.Dilatation monotone risk measures are law invariant

机译：扩张单调风险度量是定律
- 作者：Alexander S. Cherny;Pavel G. Grigoriev
- 期刊名称：《Finance and Stochastics》 | 2007年第2期
- Coherent risk measures;
- Convex risk measures;
- Dilatation monotonicity;
- Factor monotonicity;
- Fatou property;
- Law invariance;
- Second-order stochastic dominance;
- G32;
- 91B16;
- 91B30;
40.Small-time ruin for a financial process modulated by a Harris recurrent Markov chain

机译：哈里斯循环马尔可夫链调制的财务流程的少量破产
- 作者：Jeffrey F. Collamore;Andrea Höing
- 期刊名称：《Finance and Stochastics》 | 2007年第3期
- Ruin probabilities;
- Large deviations;
- Subexponential distributions;
- GARCH processes;
- Repetitive operational risk modeling;
- G10;
- 60G70;
- 60J10;
- 60F10;
41.Exponential moments for HJM models with jumps

机译：具有跳跃的HJM模型的指数矩
- 作者：Jacek Jakubowski;Jerzy Zabczyk
- 期刊名称：《Finance and Stochastics》 | 2007年第3期
- Lévy processes;
- Bond models;
- HJM postulate;
- Martingales;
- 60H30;
- 91B28;
- 60G51;
- E43;
- G12;
42.An ODE approach for the expected discounted penalty at ruin in a jump-diffusion model

机译：跳-扩散模型中预期的折现罚金的ODE方法
- 作者：Yu-Ting Chen;Cheng-Few Lee;Yuan-Chung Sheu
- 期刊名称：《Finance and Stochastics》 | 2007年第3期
- Jump-diffusion;
- Expected discounted penalty;
- Phase-type distribution;
- Optimal capital structure;
- G12;
- C60;
- C61;
- C65;
- 60J75;
- 91B28;
- 91B30;
- 91B70;
43.Optimal exercise of executive stock options

机译：高管股票期权的最佳行使
- 作者：L. C. G. Rogers;José Scheinkman
- 期刊名称：《Finance and Stochastics》 | 2007年第3期
- Stock option;
- Optimal exercise;
- Constant absolute risk aversion;
- 60G40;
- 62P05;
- G11;
- C61;
44.Multivariate risks and depth-trimmed regions

机译：多元风险和深度修剪区域
- 作者：Ignacio Cascos;Ilya Molchanov
- 期刊名称：《Finance and Stochastics》 | 2007年第3期
- Acceptance set;
- Cone;
- Depth-trimmed region;
- Multivariate risk;
- Risk measure;
- 91B30;
- 91B82;
- 60D05;
- 62H99;
- C60;
- C61;
45.Minimal Hellinger martingale measures of order q

机译：q的最小Hellinger mar测度
- 作者：Tahir Choulli;Christophe Stricker;Jia Li
- 期刊名称：《Finance and Stochastics》 | 2007年第3期
- Minimal Hellinger martingale measure;
- Utility maximization;
- Minimal martingale measure;
- G10;
- 91B28;
- 60G42;
46.Efficient estimation of drift parameters in stochastic volatility models

机译：随机波动率模型中漂移参数的有效估计
- 作者：Arnaud Gloter
- 期刊名称：《Finance and Stochastics》 | 2007年第4期
- Stochastic volatility model;
- Microstructure noise;
- Integrated volatility;
- Realized volatility;
- Efficient estimator;
- C13;
- C15;
- 62F12;
- 62M09;
47.Pricing and hedging European options with discrete-time coherent risk

机译：具有离散时间相关风险的欧洲期权的定价和对冲
- 作者：Alexander S. Cherny
- 期刊名称：《Finance and Stochastics》 | 2007年第4期
48.On the short-time behavior of the implied volatility for jump-diffusion models with stochastic volatility

机译：具有随机波动率的跳跃扩散模型隐含波动率的短时行为
- 作者：Elisa Alòs;Jorge A. León;Josep Vives
- 期刊名称：《Finance and Stochastics》 | 2007年第4期
- Black-Scholes formula;
- Derivative operator;
- Itô’s formula for the Skorohod integral;
- Jump-diffusion stochastic volatility model;
- G12;
- G13;
- 91B28;
- 91B70;
- 60H07;
49.Insider trading in an equilibrium model with default: a passage from reduced-form to structural modelling

机译：具有默认值的均衡模型中的内幕交易：从简化形式到结构模型的转变
- 作者：Luciano Campi;Umut Çetin
- 期刊名称：《Finance and Stochastics》 | 2007年第4期
- Default;
- Structural models;
- Reduced-form models;
- Equilibrium;
- Insider trading;
- Bessel bridge;
- 93E11;
- 93E20;
- D82;
- G12;
50.Call for papers for a special issue of Finance and Stochastics on “Computational Methods in Finance”

机译：征集关于“金融中的计算方法”的金融与随机论特刊的论文
- 期刊名称：《Finance and Stochastics》 | 2007年第4期
51.The numéraire portfolio in semimartingale financial models

机译：半市场金融模型中的计价证券投资组合
- 作者：Ioannis Karatzas;Constantinos Kardaras
- 期刊名称：《Finance and Stochastics》 | 2007年第4期
- Numéraire portfolio;
- Semimartingale;
- Predictable characteristics;
- Free lunch;
- Supermartingale deflator;
- Log-utility;
- 60H05;
- 60H30;
- 91B28;
- G11;
52.Stochastic flow approach to Dupire’s formula

机译：Dupire公式的随机流方法
- 作者：B. Jourdain
- 期刊名称：《Finance and Stochastics》 | 2007年第4期
- Put-call duality;
- Stochastic flows;
- Dupire’s PDE;
- Stock models with jumps and local volatility;
- 35K15;
- 60H30;
- 91B70;
- G13;
- C52;
- C63;
53.Utility maximization and risk minimization in life and pension insurance

机译：人寿和养老保险中的效用最大化和风险最小化
- 作者：Peter Holm Nielsen
- 期刊名称：《Finance and Stochastics》 | 2006年第1期
- Participating life insurance;
- dividends;
- bonus;
- investment strategies;
- optimization;
- risk minimization;
54.Optimal portfolio of low liquid assets with a log-utility function

机译：具有对数效用函数的低流动性资产的最佳投资组合
- 作者：Koichi Matsumoto
- 期刊名称：《Finance and Stochastics》 | 2006年第1期
- Portfolio optimization;
- liquidity;
- log-utility function;
55.Utility maximization under increasing risk aversion in one-period models

机译：一期模型中日益增加的风险规避下的效用最大化
- 作者：Patrick Cheridito;Christopher Summer
- 期刊名称：《Finance and Stochastics》 | 2006年第1期
- Utility maximization;
- utility indifference price;
- balanced strategy;
- super-replication;
56.Iterative construction of the optimal Bermudan stopping time

机译：最佳百慕大停留时间的迭代构造
- 作者：Anastasia Kolodko;John Schoenmakers
- 期刊名称：《Finance and Stochastics》 | 2006年第1期
- Bermudan options;
- optimal stopping;
- Monte Carlo simulation;
- LIBOR market model;
57.An exact analytical solution for discrete barrier options

机译：离散屏障选项的精确分析解决方案
- 作者：Gianluca Fusai;I. David Abrahams;Carlo Sgarra
- 期刊名称：《Finance and Stochastics》 | 2006年第1期
- Barrier options;
- discrete monitoring;
- Wiener-Hopf equation;
- Black-Scholes;
- z-transform;
58.Generalized deviations in risk analysis

机译：风险分析中的普遍偏差
- 作者：R. Tyrrell Rockafellar;Stan Uryasev;Michael Zabarankin
- 期刊名称：《Finance and Stochastics》 | 2006年第1期
- Risk management;
- deviation measures;
- coherent risk measures;
- value-at-risk;
- conditional value-at-risk;
- portfolio optimization;
- convex analysis;
59.Financial equilibria in the semimartingale setting: Complete markets and markets with withdrawal constraints

机译：半市场环境中的金融均衡：完整的市场和有退出限制的市场
- 作者：Gordan Žitković
- 期刊名称：《Finance and Stochastics》 | 2006年第1期
- financial equilibrium;
- complete markets;
- semimartingales;
- semimartingale functions;
- withdrawal constraints;
60.A jump to default extended CEV model: an application of Bessel processes

机译：跳转到默认扩展CEV模型：贝塞尔流程的应用
- 作者：Peter Carr;Vadim Linetsky
- 期刊名称：《Finance and Stochastics》 | 2006年第3期
- Default;
- Credit spread;
- Corporate bonds;
- Equity derivatives;
- Credit derivatives;
- Implied volatility skew;
- CEV model;
- Bessel processes;
- 60J35;
- 60J60;
- 60J65;
- 60G70;
- G12;
- G13;
61.A risk-sensitive stochastic control approach to an optimal investment problem with partial information

机译：具有部分信息的最优投资问题的风险敏感型随机控制方法
- 作者：Hiroaki Hata;Yasunari Iida
- 期刊名称：《Finance and Stochastics》 | 2006年第3期
- Large deviations;
- Risk-sensitive control;
- Optimal investment;
- Infinite time horizon;
- Partial information;
- Riccati equations;
- 91B28;
- 93E11;
- 93E20;
- D81;
- G11;
62.Bounds for Functions of Dependent Risks

机译：相依风险功能的界限
- 作者：Paul Embrechts;Giovanni Puccetti
- 期刊名称：《Finance and Stochastics》 | 2006年第3期
- Copulas;
- Dependent risks;
- Dependence bounds;
- Fréchet bounds;
- 60E15;
- 60E05;
- G10;
63.A generalization of the Hull and White formula with applications to option pricing approximation

机译：赫尔和怀特公式的推广及其在期权定价中的应用
- 作者：Elisa Alòs
- 期刊名称：《Finance and Stochastics》 | 2006年第3期
- Continuous-time option pricing model;
- Stochastic volatility;
- Malliavin calculus;
- G13;
- 60H07;
- 91B28;
- 91B70;
64.Weighted V@R and its Properties

机译：加权V @ R及其属性
- 作者：A. S. Cherny
- 期刊名称：《Finance and Stochastics》 | 2006年第3期
- Capital allocation;
- Coherent risk measures;
- Determining set;
- Distorted measures;
- Minimal extreme measure;
- No-good-deals pricing;
- Spectral risk measures;
- Strict diversification;
- Tail V@R;
- Weighted V@R;
- 91B16;
- 91B30;
- G10;
- G11;
- G12;
65.Coherent and convex monetary risk measures for unbounded càdlàg processes

机译：无限的càdlàg流程的连贯和凸性货币风险度量
- 作者：Patrick Cheridito;Freddy Delbaen;Michael Kupper
- 期刊名称：《Finance and Stochastics》 | 2006年第3期
- Coherent risk measures;
- Convex monetary risk measures;
- Coherent utility functionals;
- Concave monetary utility functionals;
- Unbounded càdlàg processes;
- Extension of risk measures;
- 91B30;
- 91B16;
- 60G07;
- 52A07;
- 46A55;
- 46A20;
- D81;
- C60;
- G18;
66.Consistency among trading desks

机译：交易台之间的一致性
- 作者：David Heath;Hyejin Ku
- 期刊名称：《Finance and Stochastics》 | 2006年第3期
- Arbitrage;
- Pricing operator;
- Countably additive measure;
- Martingale measure;
- G10;
- 91B24;
- 60B05;
- 46N10;
67.Generalized stochastic target problems for pricing and partial hedging under loss constraints—application in optimal book liquidation

机译：损失约束下定价和部分套期的广义随机目标问题—在最佳清算中的应用
- 作者：Bruno Bouchard;Ngoc-Minh Dang
- 期刊名称：《Finance and Stochastics》 | 2013年第1期
- Stochastic target problems;
- State constraints;
- Pricing under risk constraint;
- Book liquidation;
68.Asymptotic and exact pricing of options on variance

机译：差异期权的渐近和精确定价
- 作者：Martin Keller-Ressel;Johannes Muhle-Karbe
- 期刊名称：《Finance and Stochastics》 | 2013年第1期
- Realized variance;
- Quadratic variation;
- Option pricing;
- Small-time asymptotics;
- Fourier–Laplace methods;
69.Consumption-portfolio optimization with recursive utility in incomplete markets

机译：不完全市场中具有递归效用的消费组合优化
- 作者：Holger Kraft;Frank Thomas Seifried;Mogens Steffensen
- 期刊名称：《Finance and Stochastics》 | 2013年第1期
70.Correction note for ‘The large-maturity smile for the Heston model’

机译：“ Heston模型的大笑容”更正说明
- 作者：Carole Bernard;Zhenyu Cui;Martin Forde;Antoine Jacquier;Don McLeish;Aleksandar Mijatović
- 期刊名称：《Finance and Stochastics》 | 2013年第1期
- Heston model;
- Tail probabilities;
71.Bubbles and crashes in a Black–Scholes model with delay

机译：Black-Scholes模型中的气泡和崩溃具有延迟
- 作者：John A. D. Appleby;Markus Riedle;Catherine Swords
- 期刊名称：《Finance and Stochastics》 | 2013年第1期
72.Optimal dividend policies with transaction costs for a class of jump-diffusion processes

机译：具有一类跳跃扩散过程的交易成本的最优股利政策
- 作者：Martin Hunting;Jostein Paulsen
- 期刊名称：《Finance and Stochastics》 | 2013年第1期
- Optimal dividends;
- Jump-diffusion models;
- Impulse control;
- Barrier strategy;
- Singular control;
- Numerical solution;
73.The optimal-drift model: an accelerated binomial scheme

机译：最优漂移模型：加速二项式方案
- 作者：Ralf Korn;Stefanie Müller
- 期刊名称：《Finance and Stochastics》 | 2013年第1期
- Binomial model;
- Black–Scholes model;
- Option pricing;
- Accelerated convergence;
- Weak convergence;
74.Optimal hedging of demographic risk in life insurance

机译：人寿保险中人口风险的最佳对冲
- 作者：Ragnar Norberg
- 期刊名称：《Finance and Stochastics》 | 2013年第1期
- Stochastic mortality;
- Mortality derivatives;
- Mean-variance hedging;
- Optimal design of derivatives;
75.Erratum to: Asset price bubbles from heterogeneous beliefs about mean reversion rates

机译：勘误到：资产价格泡沫源自对平均收益率的异类信念
- 作者：Xi Chen;Robert V. Kohn
- 期刊名称：《Finance and Stochastics》 | 2013年第1期
76.Market selection with learning and catching up with the Joneses

机译：学习和追赶琼斯的市场选择
- 作者：Roman Muraviev
- 期刊名称：《Finance and Stochastics》 | 2013年第2期
- Natural selection;
- Heterogeneous equilibrium;
- Diverse beliefs;
- Learning;
- Survival index;
- Catching up with the Joneses;
77.The dual optimizer for the growth-optimal portfolio under transaction costs

机译：交易成本下用于增长最优投资组合的双重优化器
- 作者：S. Gerhold;J. Muhle-Karbe;W. Schachermayer
- 期刊名称：《Finance and Stochastics》 | 2013年第2期
- Transaction costs;
- Growth-optimal portfolio;
- Shadow price;
78.Bounds for the sum of dependent risks and worst Value-at-Risk with monotone marginal densities

机译：具有单调边际密度的相关风险和最差风险价值之和的界限
- 作者：Ruodu Wang;Liang Peng;Jingping Yang
- 期刊名称：《Finance and Stochastics》 | 2013年第2期
- Complete mixability;
- Monotone density;
- Sum of dependent risks;
- Value-at-Risk;
79.Time-consistent mean-variance portfolio selection in discrete and continuous time

机译：离散和连续时间中时间一致的均方差投资组合选择
- 作者：Christoph Czichowsky
- 期刊名称：《Finance and Stochastics》 | 2013年第2期
80.Discretely sampled variance and volatility swaps versus their continuous approximations

机译：离散采样的方差和波动率互换与它们的连续近似值
- 作者：Robert Jarrow;Younes Kchia;Martin Larsson;Philip Protter
- 期刊名称：《Finance and Stochastics》 | 2013年第2期
- Variance swaps;
- Volatility swaps;
- NFLVR;
- Semimartingales;
81.Exercise boundary of the American put near maturity in an exponential Lévy model

机译：美国人的运动边界在指数Lévy模型中趋于成熟
- 作者：Damien Lamberton;Mohammed Adam Mikou
- 期刊名称：《Finance and Stochastics》 | 2013年第2期
- American put;
- Free boundary;
- Optimal stopping;
- Variational inequality;
82.Optimal consumption and investment for markets with random coefficients

机译：具有随机系数的市场的最优消费和投资
- 作者：Belkacem Berdjane;Serguei Pergamenshchikov
- 期刊名称：《Finance and Stochastics》 | 2013年第2期
83.Duality and convergence for binomial markets with friction

机译：具有摩擦的二项式市场的二元性和收敛性
- 作者：Yan Dolinsky;Halil Mete Soner
- 期刊名称：《Finance and Stochastics》 | 2013年第3期
- Super-replication;
- Liquidity;
- Binomial model;
- Limit theorems;
- G-Expectation;
84.Quantitative error estimates for a least-squares Monte Carlo algorithm for American option pricing

机译：用于美国期权定价的最小二乘蒙特卡洛算法的量化误差估计
- 作者：Daniel Z. Zanger
- 期刊名称：《Finance and Stochastics》 | 2013年第3期
- Least-squares Monte Carlo;
- Longstaff–Schwartz algorithm;
- American options;
- Dynamic programming;
- Statistical learning;
85.Equilibrium model with default and dynamic insider information

机译：具有默认和动态内部人信息的均衡模型
- 作者：Luciano Campi;Umut Çetin;Albina Danilova
- 期刊名称：《Finance and Stochastics》 | 2013年第3期
- Default time;
- Defaultable claim;
- Equilibrium;
- Dynamic information;
- Insider trading;
- Dynamic Bessel bridge;
86.A reading guide for last passage times with financial applications in view

机译：有关最后通过时间的阅读指南，并考虑了财务应用
- 作者：Ashkan Nikeghbali;Eckhard Platen
- 期刊名称：《Finance and Stochastics》 | 2013年第3期
- Last passage times;
- Class Σ;
- Running maximum;
87.Model-independent bounds for option prices—a mass transport approach

机译：期权价格与模型无关的边界-大众运输方式
- 作者：Mathias Beiglböck;Pierre Henry-Labordère;Friedrich Penkner
- 期刊名称：《Finance and Stochastics》 | 2013年第3期
88.Robust utility maximization for a diffusion market model with misspecified coefficients

机译：系数不正确的扩散市场模型的鲁棒效用最大化
- 作者：Revaz Tevzadze;Teimuraz Toronjadze;Tamaz Uzunashvili
- 期刊名称：《Finance and Stochastics》 | 2013年第3期
- Maximin problem Saddle point Hamilton–Jacobi–Bellman–Isaacs equation Robust utility maximization Generalized control;
89.Dynamic no-good-deal pricing measures and extension theorems for linear operators on Ln ∞

机译：Ln∞上线性算子的动态不良交易定价方法和扩展定理
- 作者：Jocelyne Bion-Nadal;Giulia Di Nunno
- 期刊名称：《Finance and Stochastics》 | 2013年第3期
- Price operator;
- Dynamic risk measure;
- Extension theorem;
- Representation theorem;
- Fundamental theorem;
- Equivalent martingale measure;
- Good deal;
90.Mean-variance hedging with oil futures

机译：石油期货均值对冲
- 作者：Liao Wang;Johannes Wissel
- 期刊名称：《Finance and Stochastics》 | 2013年第4期
- Mean-variance hedging;
- Fuel hedging;
- Energy futures market;
91.Multilevel dual approach for pricing American style derivatives

机译：多级双重定价美式衍生产品定价
- 作者：Denis Belomestny;John Schoenmakers;Fabian Dickmann
- 期刊名称：《Finance and Stochastics》 | 2013年第4期
- Optimal stopping;
- Dual approach;
- Multilevel Monte Carlo;
92.Portfolio optimisation under non-linear drawdown constraints in a semimartingale financial model

机译：半市场金融模型中非线性亏损约束下的投资组合优化
- 作者：Vladimir Cherny;Jan Obłój
- 期刊名称：《Finance and Stochastics》 | 2013年第4期
- Portfolio optimisation;
- Drawdown constraint;
- Asymptotic growth rate;
- Azéma–Yor processes;
93.On the game interpretation of a shadow price process in utility maximization problems under transaction costs

机译：交易成本下效用最大化问题中影子价格过程的博弈解释
- 作者：Dmitry B. Rokhlin
- 期刊名称：《Finance and Stochastics》 | 2013年第4期
- Transaction costs;
- Utility maximization;
- Shadow price process;
- Lower semicontinuous envelope;
- Saddle point;
- Duality;
94.Variation and share-weighted variation swaps on time-changed Lévy processes

机译：时变Lévy流程的变异和份额加权变异交换
- 作者：Peter Carr;Roger Lee
- 期刊名称：《Finance and Stochastics》 | 2013年第4期
- Lévy process;
- Time change;
- Hedging;
- Variance swap;
- Gamma swap;
- Moment swap;
- Weighted variation swap;
95.Drift dependence of optimal trade execution strategies under transient price impact

机译：瞬时价格影响下最优交易执行策略的漂移依赖性
- 作者：Christopher Lorenz;Alexander Schied
- 期刊名称：《Finance and Stochastics》 | 2013年第4期
- Optimal trade execution;
- Optimal order execution;
- Transient price impact;
- Singular control;
- Verification argument;
96.On the existence of shadow prices

机译：关于影子价格的存在
- 作者：Giuseppe Benedetti;Luciano Campi;Jan Kallsen;Johannes Muhle-Karbe
- 期刊名称：《Finance and Stochastics》 | 2013年第4期
- Transaction costs;
- Shadow prices;
- Short selling constraints;
97.Outperformance portfolio optimization via the equivalence of pure and randomized hypothesis testing

机译：通过纯假设和随机假设检验的等效来优化投资组合
- 作者：Tim Leung;Qingshuo Song;Jie Yang
- 期刊名称：《Finance and Stochastics》 | 2013年第4期
- Portfolio optimization;
- Quantile hedging;
- Neyman–Pearson lemma;
- Stochastic benchmark;
- Hypothesis testing;
98.Pricing growth-rate risk

机译：定价增长率风险
- 作者：Lars Peter Hansen;José A. Scheinkman
- 期刊名称：《Finance and Stochastics》 | 2012年第1期
99.Cross hedging with stochastic correlation

机译：具有随机相关性的交叉对冲
- 作者：Stefan Ankirchner;Gregor Heyne
- 期刊名称：《Finance and Stochastics》 | 2012年第1期
100.Financial inverse problem and reconstruction of infinitely divisible distributions with Gaussian component

机译：金融逆问题和具有高斯分量的无限可分分布的重构
- 作者：S. Kaji;S. Kotani
- 期刊名称：《Finance and Stochastics》 | 2012年第1期

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