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2002, Volume 237  

| General information | Contents |


Stochastic financial mathematics


Collected papers

Preface
A. N. Shiryaev
7
Vector Stochastic Integrals and the Fundamental Theorems of Asset Pricing
A. N. Shiryaev, A. S. Cherny
12
On the Unity of Quantitative Methods of Pricing in Finance and Insurance
A. V. Melnikov
57
Bounds on Option Prices for Semimartingale Market Models
A. A. Gushchin, É. Mordecki
80
On Option Pricing in Certain Incomplete Markets
P. Jakubenas
123
On Upper and Lower Prices in Discrete-Time Models
L. Rüschendorf
143
Combined Stochastic Control and Optimal Stopping, and Application to Numerical Approximation of Combined Stochastic and Impulse Control
J.-Ph. Chancelier, B. Øksendal, A. Sulem
149
Financial Market with Interacting Assets. Pricing Barrier Options
S. A. Albeverio, V. R. Steblovskaya
173
Geometric Lévy Process Pricing Model
Y. Miyahara, A. Novikov
185
Option Pricings in an Incomplete Market with Regime Switching
X. Guo
201
A Note on Martingale Measures with Bounded Densities
M. Rásonyi
212
Hedging in a Model with Transaction Costs
Yu. M. Kabanov, G. Last
217
The Absence of Arbitrage in a Mixed Brownian–Fractional Brownian Model
Yu. S. Mishura, E. Valkeila
224
Sensitivity of the Black–Scholes Option Price to the Local Path Behavior of the Stochastic Process Modeling the Underlying Asset
P. Cheridito
234
The Cheapest Superstrategy without Optional Decomposition
C. Martini
249
Perpetual Options for Lévy Processes in the Bachelier Model
É. Mordecki
256
Symmetric Integrals and Their Application in Financial Mathematics
F. S. Nasyrov
265
The Pricing of an Option That Is a Combination of Russian and Integral Russian Options
O. A. Glonti
279
On Lower and Upper Functions for Square Integrable Martingales
A. N. Shiryaev, E. Valkeila, L. Yu. Vostrikova
290
Comparison of Certain Models and Results of Stochastic Financial Mathematics with Real Data
V. N. Tutubalin
302
Труды Математического института им. В. А. Стеклова Proceedings of the Steklov Institute of Mathematics
 
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