Geodesic

Tome 61 (2016) no. 1

Sommaire

Modern problems of financial mathematics
p. 3-4
Analytical approximation of variable annuities for small volatility and small withdrawal
p. 5-25
Expected utility maximisation for exponential Levy models with option and information processes
p. 26-52
Pricing of asian-type and basket options via bounds
p. 53-68
Explicit description of HARA forward utilities and their optimal portfolios
p. 69-113
New developments on the Modigliani--Miller theorem
p. 114-128
Brownian bridges on random intervals
p. 129-157
On one integral representation of Brownian functional
p. 158-164
Investment timing and quantity strategies under asymmetric information
p. 165-173
On the existence of martingale measures satisfying the weaken condition of noncoincidence of barycenters in case of
p. 173-181
On an optimal stopping problem of an insider
p. 181-186
First passage problems over increasing boundaries for L\'evy processes with exponentially decayed L\'evy measures
p. 186-198
Maximal exponential inequalities for certain diffusion processes
p. 198-206