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2016, Volume 61, Issue 1  


Modern problems of financial mathematics
Yu. M. Kabanov, A. N. Shiryaev
3
Analytical approximation of variable annuities for small volatility and small withdrawal
T. Ben Zineb, E. Gobet
5
Expected utility maximisation for exponential Levy models with option and information processes
L. Yu. Vostrikova
26
Pricing of asian-type and basket options via bounds
A. A. Novikov, S. Alexander, N. E. Kordzahiya, T. Ling
53
Explicit description of HARA forward utilities and their optimal portfolios
T. Choulli, J. Ma
69
New developments on the Modigliani–Miller theorem
S. Aboura, E. Lepinette
114
Brownian bridges on random intervals
M. L. Bedini, R. Buckdahn, H.-J. Engelbert
129

Short Communications
On one integral representation of Brownian functional
O. A. Glonti, O. G. Purtukhiya
158
Investment timing and quantity strategies under asymmetric information
X. Cui, T. Shibata
165
On the existence of martingale measures satisfying the weaken condition of noncoincidence of barycenters in case of countable probability space
I. V. Pavlov, V. V. Shamraeva, I. V. Tsvetkova
173
On an optimal stopping problem of an insider
E. Bayraktar, Zh. Zhou
181
First passage problems over increasing boundaries for Lévy processes with exponentially decayed Lévy measures
Sh. Kaji
186
Maximal exponential inequalities for certain diffusion processes
C. Makasu
198
Теория вероятностей и ее применения Theory of Probability and its Applications
 
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