no 1
January
|
F. E. Benth, M. Groth,
C. Lindberg |
The implied risk aversion from utility indifference option pricing
in a stochastic volatility model.
|
no 2
January
|
Chr. Erlwein, F. E. Benth,
R. Mamon |
HMM filtering and parameter estimation of an electricity spot price model.
|
no 3
March
|
F. E. Benth, M. Groth,
O. Wallin |
Derivative-free Greeks for the Barndorff-Nielsen and Shephard stochastic
volatility model.
|
no 4
April
|
Ta Thi Kieu An, B. Øksendal |
A Maximum Principle for Stochastic Differential Games with Partial Information.
|
no 5
May
|
S. H. Christiansen |
Constraint preserving schemes for some gauge invariant wave equations.
|
no 6
May
|
Taken back. |
|
no 7
June
|
B. Øksendal |
Stochastic partial differential equations driven by multi-parameter
white noise of Lévy processes.
|
no 8
June
|
Y. Hu, B. Øksendal |
Optimal Anticipative Stopping.
|
no 9
June
|
P. C. Kettler |
A transformation to solve indefinite quadratic equations in integers.
|
no 10
August
|
I. H. Biswas, E. R. Jakobsen,
K. H. Karlsen |
Error estimates for finite difference-quadrature
schemes for fully nonlinear degenerate parabolic integro-pdes.
|
no 11
August
|
T. Lindstrøm |
A weighted random walk approximation to fractional Brownian motion.
|
no 12
August
|
A. Baker, H. Gilmour,
Ph. Reinhard |
Topological André-Quillen homology for cellular
commutative S-algebras.
|
no 13
August
|
V. Mandrekar, T. Meyer-Brandis, F. Proske |
A Bayes Formula for non-linear filtering with Gaussian and Cox noise.
|
no 14
September
|
F. E. Benth, R. Kufakunesu |
Pricing of Exotic Energy Derivatives based on Arithmetic Spot Models.
|
no 15
September
|
Yeliz Yolcu Okur |
White noise generalization of the Clark-Ocone formula under change of measure.
|
no 16
September
|
Chr. Dyken, M. Floater |
Transfinite mean value interpolation.
|
no 17
October
|
B. Øksendal, A. Sulem |
Risk indifference pricing in jump diffusion markets.
|
no 18
November
|
K. K. Aase, T. Bjuland,
B. Øksendal |
Strategic Insider Trading Equilibrium: A Forward Integration Approach.
|