Volume

Page

Title

Date

1

1

Changing the law of the scaled Brownian excursion

12/04/1987

1

3

The process Y_t = A(t,B_t)

15/04/1987

1

5

Best-choice problems etc

21/04/1987

1

8

Uniform integrability via transforms?

12/05/1987

1

12

Remark on UI via transforms

30/07/1987

1

12

Comments on a paper of N U Prabhu

02/08/1987

1

14

Example where \Gamma X \sim X, yet the law of X is not invariant

19/08/1987

1

15

Angular part of the Krylov example

26/08/1989

1

16

An approach to local time?

12/09/1987

1

17

Self-intersection local times for BM(R^2) from case of independent BM(R^2)'s

17/09/1987

1

18

Weak law for UI martingale difference sequences

01/11/1987

1

18

Lindeberg condition and the CLT

01/11/1987

1

20

Self-intersection local times of continuous semimartingales in R^d

15/11/1987

1

22

More on the law of the maximum of a scaled Brownian excursion

18/02/1988

1

23

More on A(t,B_t)

18/02/1988

1

25

Coping with the variation of a process

22/02/1988

1

26

Finally, we can prove that A(t,B_t) is not a semimartingale

26/02/1988

1

29

Distribution of x^1 coordinate of a point uniform on S^d

10/03/1988

1

29

Heuristics on self-repellent random walk in one dimension

21/03/1988

1

30

Self-repellent random walk in the special case f(x) = cx

12/05/1988

1

32

A regular one-dimensional diffusion is strong Feller

23/05/1988

1

33

Right-continuity of the Brownian excursion filtration

01/08/1988

1

34

Energy criterion for transience of a Markov chain

08/08/1988

1

35

Exit law for Brownian motion in the wedge with skew reflection

09/08/1988

1

37

Ito excursion theory via resolvents: some afterthoughts

16/09/1988

1

38

Good behaviour of a Pick function from  its boundary behaviour

25/01/1989

1

41

Exit from a semicircle

30/01/1989

1

41

Back to Pick functions

01/02/1989

1

42

Brownian motion in a wedge with skew reflection

08/02/1989

1

45

Diffusion of shape

13/02/1989

1

46

More on the skew-reflecting BM problem

22/02/1989

1

47

BM in the strip with skew reflection

24/02/1989

1

49

Optimal control problem of Benes, Karatzas

10/07/1989

1

51

Holder continuity of boundary function implies Holder continuity of analytic extension

20/07/1989

1

53

Existence of an equivalent martingale measure in a continuous setting

24/07/1989

1

55

Semimartingale property of fractional Brownian motion

25/07/1989

1

58

Growth of analytic functions in H once again

26/07/1989

1

59

Pathwise uniqueness for a stochastic differential equation

22/07/1989

1

60

Constructing an equivalent martingale measure in discrete time

08/08/1989

1

61

Last exit times for one-dimensional diffusions

10/08/1989

2

1

Example of a convex utility not generated by a concave function

06/09/1989

2

2

MLE of drift and variance of drifting BM under restricted observation?

11/09/1989

2

7

Integrability of Pick function in terms of the boundary values

12/10/1989

2

11

Deducing moving barrier from first passage distribution

10/11/1989

2

12

Limit laws in extreme values

27/11/1989

2

14

Skew-reflecting BM again

28/11/1989

2

16

Recurrence/transience of skew-reflecting BM by mappings

05/12/1989

2

18

Grossissement and Girsanov?

22/12/1989

2

18

Stochastic methods in dispersion theory

13/01/1990

2

23

Polymer carpet in a potential

02/02/1990

2

24

Polymers between plates

02/02/1990

2

25

Particles being carried by waves and diffusing

02/02/1990

2

27

Some observations on an example of Hinch & Leal

15/02/1990

2

29

Estimating \sigma^2 from X, S, I again

21/02/1990

2

30

Notes on some fluid flow papers

02/03/1990

2

35

More on estimation of variance from high, low and closing price

12/03/1990

2

36

Self-consistency for polymers, both chain and branching

11/04/1990

2

38

No stochastic converse to Kronecker's Lemma

12/04/1990

2

38

SDE for the local time process of BES(n)

12/04/1990

2

39

More on limit theorems for 1-d transient diffusions

17/04/1990

2

39

Asymptotics of perturbed ODEs

19/04/1990

2

41

On some approaches to self-repelling BM

22/04/1990

2

44

Pair of independent Brownian motions rubbing each other out

25/04/1990

2

46

More on the RBM problem

28/04/1990

2

47

Some more pieces of the self-repellent BM story

01/05/1990

2

51

Bound on the growth rate for compactly supported f >= 0

07/05/1990

2

52

Skew-reflecting BM  - possible methodology

08/05/1990

2

53

Limit laws for 1-dimensional diffusions

11/05/1990

2

53

Ciesielski-Taylor and Marc Yor's approach

11/05/1990

2

53

Estimates for the counterexample on RBM

12/05/1990

3

1

A pretty inequality

14/05/1990

3

1

Infinite divisibility of squares of Gaussian fields

14/05/1990

3

4

SDE for BM conditioned by the value of \int_0^1 B_s ds

23/05/1990

3

4

More on the physicists' self-repellent BM

02/06/1990

3

5

Integral of BM(S^2) as a model for a polymer

17/06/1990

3

6

Invariant \sigma-field of two independent processes

18/06/1990

3

6

Skew-rflecting BM in H

03/07/1990

3

8

RBM again

07/07/1990

3

9

On the maximum of a branching Brownian motion

09/07/1990

3

11

Another route to RBM(R_+^3) ?

09/07/1990

3

11

More on branching Brownian motion

09/07/1990

3

13

More on the 2-dimensional RBM

12/07/1990

3

14

The physicists' model

16/07/1990

3

15

Reflecting BM in (R_+)^3

17/07/1990

3

17

Some crass thoughts on economics

17/07/1990

3

17

Joint law of duration of excursion and local times on the two sided for RBM

19/07/1990

3

19

Limit law of one-dimensional diffusions again

11/08/1990

3

20

Asymptotics of linear polymer model

11/08/1990

3

21

Some thoughts on no arbitrage and equivalent martingale measures

14/08/1990

3

22

RBM in R_+^3  - an example

06/09/1990

3

23

A.s. Limit theorems for 1d diffusions

07/09/1990

3

23

Mean time to hit corner is infinite implies time to hit corner is a.s. Infinite

09/09/1990

3

25

Path decomposition of branching BM

11/09/1990

3

27

Self-consistency for polymer carpet via Green functions

15/10/1990

3

28

Mean occupation times for BBMs etc

15/10/1990

3

29

Diffusion in a medium with low density of impurities

24/10/1990

3

34

Self-financing portfolios

07/11/1990

3

34

Reversal of BES(3) from the last hit on a level

09/11/1990

3

35

Explanation of monomer density for killed particles

21/11/1990

3

36

An example in the continuous theory of trading

22/11/1990

3

37

Equilibrium charge and capacity for RBM outside smooth compact boundary

22/11/1990

3

39

Purity laws for OU processes

03/01/1991

3

42

Some results on Brownian winding

16/01/1991

3

47

Estimating the Green's function of a Levy process

30/01/1991

3

49

Random motion of eigenvalues of certain matrix diffusions

30/01/1991

3

51

Consumption/investment model considered by Karatzas

05/02/1991

4

1

Limit laws of transient one-dimensional diffusions

11/02/1991

4

2

A question of D Gough

16/02/1991

4

3

Pricing of an option when there is premature exercise

19/02/1991

4

5

Model for stock price with some memory

23/02/1991

4

7

Convergence of certain measure-valued processes

27/02/1991

4

9

ABRACADABRA!

01/03/1991

4

10

Repelling particles with periodic boundary conditions

04/03/1991

4

11

More on additive functionals

04/03/1991

4

12

Quadratic functionals of BM and the fundamental theorem of statistics

06/03/1991

4

18

A trading game

22/03/1991

4

20

A remarkable integral equation

23/03/1991

4

23

A question of David Williams

27/03/1991

4

24

Lagrange inversion theorem

30/03/1991

4

25

Neat formulae for the moments of Gaussian variables

03/04/1991

4

25

Endogenous stochastic volatility

19/04/1991

4

26

More on the random motion of eigenvalues

25/04/1991

4

28

Another quadratic functional calculation

30/04/1991

4

31

Eigenvalue movement again

09/05/1991

4

31

Recurrent potential theory for real Levy processes

13/05/1991

4

34

Some examples of pricing in incomplete markets

14/06/1991

4

36

Pricing of a futures contract

24/06/1991

4

36

Interpretation of a formula of David Dean

24/06/1991

4

39

Relation between Schroedinger-type operators and divergence-form operators

26/06/1991

4

39

A question of Peter Donnelly

27/06/1991

4

40

Pricing in an incomplete market: example

28/06/1991

4

41

Convexity of the energy functional

02/07/1991

4

42

Mechanical trading rules on foreign exchanges

09/07/1991

4

43

Trading with transaction costs

13/07/1991

4

44

EMM once again

13/08/1991

4

48

A variant of the arc-sine law

27/08/1991

4

50

A little example on characteristic functions

29/08/1991

4

50

Stable processes

30/08/1991

4

52

Bretagnolle's Lemma

09/09/1991

4

53

Excursions via resolvents again

30/09/1991

4

54

An optimal consumption problem

03/10/1991

5

1

Another fundamental theorem of statistics

09/10/1991

5

2

Another interacting particles example

09/10/1991

5

4

Axiomatic approach to term structure of interest rates

09/10/1991

5

6

More about quadratic functionals

14/10/1991

5

8

A lemma on uniform integrability

16/10/1991

5

9

Behaviour of A_t for small t

28/10/1991

5

11

Some heuristics on how BM(C) approaches R

04/11/1991

5

12

Tauberian theory and divisor functions

05/11/1991

5

16

Another route to quadratic functionals

11/11/1991

5

18

Invariant measures via excursion theory

14/11/1991

5

20

Quadratic functionals and optimal control of linear systems

19/11/1991

5

22

Some comments on strongly stochastically monotone processes

30/12/1991

5

26

A wiener-Hopf example

31/12/1991

5

27

First passage to a barrier for Brownian motion

31/12/1991

5

28

Possible further correction for variance estimation

24/01/1992

5

30

Calculations on an example of Bolthausen, Deuschel & Stroock

09/02/1992

5

34

Another quadratic functional – more difficult

10/02/1992

5

37

An example studied by Marc Yor and F. Petit

11/02/1992

5

39

Ray-Knight theorem for continuous-time random walk on Z

15/02/1992

5

41

Term structure in binary tree model

17/02/1992

5

45

Polymer measure in one dimension?

21/02/1992

5

46

Exit from a cone in R^n

26/02/1992

5

48

A neat inequality of Jean-Dominique Deuschel

27/02/1992

5

49

Harmonic functions of (A_t, B_t)

07/03/1992

5

52

A question arising from a talk of David Aldous

10/03/1992

6

1

Sudden mixing of diffusions

19/03/1992

6

2

Obtaining the law of X/Y from the law of (X,Y)

19/03/1992

6

2

A treacherous pitfall in stable processes!

25/03/1992

6

3

Cats and dogs example – a dead end

26/03/1992

6

4

Resolvent for (A_t, B_t)

27/03/1992

6

8

Electrical flow in networks when the network changes

02/04/1992

6

11

A question of Nina Gantert

03/04/1992

6

12

A nice example of Hans Foellmer and Peter Imkeller

04/04/1992

6

13

An example to do with EMM

07/04/1992

6

15

What is the joint excursion law of (variation, overshoot) for symmetric stable (1/2)?

05/05/1992

6

16

Excursions via resolvents again

13/05/1992

6

17

Optimal consumption problem

15/05/1992

6

20

Remarks on WH factorization

05/06/1992

6

21

Invariant distribution for buffered fluid models

06/06/1992

6

25

A question raised by Ago Pistora

24/06/1992

6

26

Bounds on the price of an Asian option

26/06/1992

6

29

Coupling of random walks and Levy processes

28/06/1992

6

30

Back to Asian options

02/07/1992

6

34

Some properties of concave conjugate functions

11/07/1992

6

35

Maximising expected utility: an example

25/07/1992

6

39

Reversing noisy WH

28/07/1992

6

43

Some thoughts on Hans Huehlmann's discrete-time asset pricing model

03/08/1992

6

45

More tricks for bounding the price of an Asian option

14/08/1992

6

49

Matrix proof for the noisy WH reversal?

14/10/1992

6

51

A problem considered by Jean Bertoin

30/10/1992

6

54

Some ideas on monotone couplings of random walks

03/11/1992

7

1

More on coupling of random walks

05/11/1992

7

4

An interesting result of Peter Clifford

09/11/1992

7

8

Some remarks on reciprocal processes

23/11/1992

7

13

Coupling random walks again

07/12/1992

7

17

Eigenvalue analysis of KR model

31/12/1992

7

22

Another example from the wonderful world of EMM

07/01/1993

7

23

How does a pure exchange economy work?

10/01/1993

7

25

Gauss-Markov processes in R^n

31/01/1993

7

37

Martin boundaries of simple chain/occupation time processes

18/03/1993

7

38

A question of Uew Kuechler

29/03/1993

7

39

Pricing via maximization of expected utility

30/03/1993

7

41

Pricing a futures contract

01/04/1993

7

43

Markov chains and occupation times: some bounds

01/04/1993

7

45

Expected utility pricing: an observation

02/04/1993

7

45

Markov chains large deviations: better estimates

06/04/1993

7

50

Reversing fluid models with finite buffer

08/04/1993

7

51

An observation on convex dual functions

13/04/1993

7

51

A proposition on entropy

27/04/1993

7

52

The OU bridge

22/04/1993

7

52

The LD view of conditioning to stay out of a set

11/05/1993

8

1

When is there an eigenfunction expansion of a 1-d diffusion?

18/05/1993

8

4

Conditioning BM not spend long in R^-

20/05/1993

8

5

Is there some limit behaviour for X_1/(X_1+X_2) given (X_1+X2) is larg?

21/05/1993

8

6

A general model for investment/consumption

01/06/1993

8

10

Elementary transformations of the CIR process

07/06/1993

8

12

Futures prices for the time-dependent CIR model

07/06/1993

8

13

Points of increase of Levy processes

25/06/1993

8

16

Arbitrage with a BES(3) process

26/06/1993

8

17

Conditioning B on A not being too big too soon

05/07/1993

8

18

An example on inefficient dynamic portfolio strategies

06/07/1993

8

19

Optimal consumption with exact consumption constraint: an example

08/07/1993

8

21

A simple family of optimal consumption problems

22/07/1993

8

23

An optimization problem in an incomplete market

22/07/1993

8

24

Equivalence of Levy processes

01/08/1993

8

28

Asymptotic turnpike results

09/08/1993

8

32

Black's consol rate conjecture

14/08/1993

8

33

Asymptotic turnpike results: postscript

07/09/1993

8

37

Where is BM when its range first exceeds 1?

10/10/1993

8

40

Asymptotic turnpike examples

25/10/1993

9

1

Optimal investment with CRRA utility

04/11/1993

9

3

Why and how does a bookie change the odds

20/11/1993

9

3

The long rate can increase

30/11/1993

9

4

A simple-minded equilibrium model for the spot rate process

30/11/1993

9

6

Simplifying Schachermayer's example

20/12/1993

9

8

Wiener-Hopf reversal with general rates

12/01/1994

9

8

Some remarks on multi-type branching diffusions

26/01/1994

9

12

Observations on sequential analysis

27/01/1994

9

13

Brownian motion in R^n shifted and rotated

31/01/1994

9

14

Limiting direction for the multi-type branching process

06/02/1994

9

16

Joint law of the sup and inf of stopped random walk

13/02/1994

9

18

A nice portfolio optimization example

23/02/1994

9

19

Ito's formula for random C^2 functions

23/02/1994

9

20

Maximizing expected utility of terminal wealth

23/02/1994

9

22

BM in its own frame: ergodic formulation

24/02/1994

9

23

Arc-sine law for drifting BM and related results

07/03/1994

9

28

Oseledc theorem: a simple example

09/03/1994

9

29

Infinite-variance critical branching process

10/03/1994

9

32

Limits of AR processes

22/03/1994

9

37

Further estimations for the Asian option

23/03/1994

9

39

Limits of multivariate AR processes: an example

30/03/1994

9

41

Image analysis: some possible approaches

30/03/1994

9

42

Limits of AR processes in higher dimensions

31/03/1994

9

45

Asian options: the reason why the lower bound is so good

07/04/1994

9

47

Limits of ARMA processes: some examples

10/04/1994

9

50

A useful result (extending Black-Scholes)

06/05/1994

9

51

Budget equation with dividends and discontinuous processes

09/05/1994

9

53

A question of Simon Babbs

10/05/1994

9

55

ARMA processes expressed in terms of diffusions

13/05/1994

9

57

Correlation of jump processes with variable intensities

13/05/1994

10

1

More on stochastic intensities

08/06/1994

10

6

Recovering utility from a single path

21/06/1994

10

9

Foreign exchange and term structure

13/07/1994

10

11

Bayesian estimation in linear diffusions

25/07/1994

10

16

Effect of big investor on prices

02/09/1994

10

21

Stochastic intensities: log Gaussian models

16/09/1994

10

23

Stochastic intensities: the CBI model again

09/10/1994

10

25

Brownian motions on the unit circle avoiding each other

11/10/1994

10

27

Stochastic intensities: any better with squared OU?

14/10/1994

10

30

Big trader: another try

20/10/1994

10

34

Robust variance estimation

23/10/1994

10

35

Stochastic intensities and GMM

23/10/1994

10

40

American put with exponential expiry

24/11/1994

10

42

Share prices with dividends

06/12/1994

10

43

Binomial models and trinomial lattice models

06/12/1994

10

47

Initial term-structure of volatility in time-dependent CIR models

08/12/1994

10

49

How long does BM spend outside an interval

10/01/1995

10

53

Distribution of S_t – J_t

15/01/1995

11

1

Joint law of the biggest jump of subordinator and the process

26/01/1995

11

1

Gaussian measure on L^2(R;C)

26/01/1995

11

2

Some thoughts on recursive utility

30/01/1995

11

4

Arbitrage from fractional Brownian motion?

05/02/1995

11

7

Random ellipsoids again

15/02/1995

11

10

OU bridges

17/02/1995

11

16

An optimal investment problem with habit formation

01/03/1995

11

22

Implied volatility in the Hobson-Rogers model

06/03/1995

11

23

Yet another model for the term structure of interest rates?

08/03/1995

11

24

Trading on fractional Brownian motion with transaction costs

15/03/1995

11

26

Some simple-minded ideas about interest rates and FX

23/03/1995

11

29

Variance estimation with quanta

25/03/1995

11

33

An asymmetric information problem

28/03/1995

11

37

On the smoothness of Brownian first passage distributions

02/05/1995

11

43

Modelling tick data: another candidate

13/05/1995

11

45

Equilibrium derivation of real and nominal rates of interest and foreign exchange

28/05/1995

11

48

Small transaction costs

08/06/1995

11

50

Real and nominal rates: a class of examples

14/06/1995

11

52

Ratcheting of consumption

14/06/1995

12

1

Non-negative couplings

21/06/1995

12

4

Stochastic investment/consumption models: some simple examples

27/06/1995

12

8

Investment/consumption models with improving technology

09/08/1995

12

14

The `potential theory' of term structure

22/08/1995

12

19

Some brief comments on the Ricardian proposition

04/10/1995

12

20

Ramsey allocations in continuous time

06/10/1995

12

27

Utility from consumption and possession

18/10/1995

12

32

Wealth-dependent utility: stochastic version

03/11/1995

12

34

Another way to think of the American put

19/11/1995

12

38

Equilibrium covariance structure for potential models

28/11/1995

12

41

Fast coupling of random walks

30/11/1995

12

46

Optimal portfolios with bonds: Vasicek case

06/12/1995

12

50

Pricing convertibles

03/01/1996

12

55

Incomplete markets: some examples

12/01/1996

13

1

Approximate Kalman filtering of diffusions

31/01/1996

13

2

A conjecture on quantiles

04/02/1996

13

7

Another look at utility from possession

07/02/1996

13

9

Perpetual callable convertibles

13/02/1996

13

14

The market model: what's going on?

18/02/1996

13

16

Some observations on S(S-X)

06/03/1996

13

20

Law of inf and final value of a killed diffusion

07/03/1996

13

22

Slightly less approximate Kalman filtering of diffusions

27/03/1996

13

23

How to handle numerical solution of knock-out options

24/04/1996

13

24

Decomposing marked Brownian excursions?

06/05/1996

13

26

Why do we need cash?

20/05/1996

13

28

Mixed Markov chains

27/05/1996

13

30

Why cash again

13/06/1996

13

33

Pooling risks in the presence of transaction costs

23/07/1996

13

38

Pooling resources: general situation

31/07/1996

13

40

Pooling with log utility

10/08/1996

13

44

Modelling returns as a Levy process

16/09/1996

13

46

Mixed Markov chains: simple examples

09/10/1996

13

48

First exit of a drifting Brownian motion from an interval

10/10/1996

14

1

A question on BES(3)

14/10/1996

14

3

GMM estimation of a Markov-modulated Poisson process

03/11/1996

14

5

Shares in the context of the potential approach

11/11/1996

14

8

Markovian intensities

21/11/1996

14

12

End correction in binomial pricing

29/11/1996

14

14

Levy returns and saddlepoint approximations

16/12/1996

14

17

Down-and-out call with linear barrier function

18/12/1996

14

18

Further functionals which may help in GMM estimation

02/01/1997

14

19

Maximum maximum: perturbation analysis

13/02/1997

14

22

A question of Richard Arratia on random permutations

12/03/1997

14

24

A question on transaction costs

13/03/1997

14

26

A quadratic functional calculation

27/03/1997

14

27

A question of Ray Rishel

02/04/1997

14

34

Optimal investment in an uncertain market

05/05/1997

14

37

Discretizing Davis-Norman-Rishel

23/05/1997

14

39

A primitive model of liquidity effects

11/06/1997

14

44

Building block Markov processes for potential applications

25/06/1997

14

46

More on the liquidity problem

03/07/1997

14

48

Volatility of returns in tick-data model

08/07/1997

14

50

Heuristics for the Merton problem

11/07/1997

14

54

Cash-in-advance in continuous time

25/08/1997

15

1

Computing first passage distributions of certain additive functionals

31/08/1997

15

2

One explicit example of the maximum maximum

01/09/1997

15

5

Moving average knockouts

09/09/1997

15

8

Lagrangian approach to the max max problem

09/09/1997

15

11

Parisian-style knockouts

11/09/1997

15

13

Maximum maximum: the dual problem

15/09/1997

15

15

Another view of the cost of liquidity

16/09/1997

15

17

Detecting a trend in tick data

24/09/1997

15

20

More on the maximum maximum

23/09/1997

15

24

Maximum maximum with two time points

30/10/1997

15

30

The maximum maximum: getting closer

13/11/1997

15

33

Liquidity costs: some heuristics

25/11/1997

15

37

Stochastic intensities: an example from physics

28/11/1997

15

39

Bayesian updating of mean and variance

04/12/1997

15

40

Some Gaussian term structure things

31/12/1997

15

42

An optimal investment problem with liquidity effects

08/01/1998

15

44

Approximate higher moments for the tick data model from physics

14/01/1998

15

47

Discretely-sampled barrier options: how to correct

04/02/1998

15

50

Coupling and weak convergence for discrete-time Markov processes

17/02/1998

15

52

Simple liquidity effects model again

02/03/1998

16

1

A discrete-time version of the liquidity problem

08/03/1998

16

9

An optimal investment-consumption problem with uncertainty

26/03/1998

16

12

Doing the Ising model more honestly

31/03/1998

16

13

Law of the maximum of a discretely-sampled Brownian motion

01/04/1998

16

14

More detail on the Skorokhod embedding

01/04/1998

16

15

Approximating the price of European put

02/04/1998

16

17

Law of a Brownian stopping time

27/04/1998

16

18

Some more thoughts on Wiener-Hopf

11/05/1998

16

21

Question for Emily

16/05/1998

16

23

Different moments of embedding times: an example

03/06/1998

16

24

More on completely monotone Levy processes

04/06/1998

16

27

Robust hedging of an up-and-in put

08/06/1998

16

30

Pricing a `knock-down' option

29/06/1998

16

32

Why sharing of insurance risk may be worthwhile

17/07/1998

16

38

Robust hedging of various barrier processes

30/07/1998

16

42

Robust hedging of a two-time-point Asian option

01/08/1998

16

48

Maximizing E|M_2-M_1|

19/09/1998

17

1

Robust hedging of lookbacks with a few call options

31/10/1998

17

2

Occasional portfolio review

03/11/1998

17

4

Markov chain approximation to an OU process

20/12/1998

17

6

Random fields in interest-rate models

13/01/1999

17

9

Stylized models of differential information

25/01/1999

17

11

The min-max embedding made easy

02/02/1999

17

13

More on the big investor story

09/02/1999

17

16

Multi-agent equilibria

08/03/1999

17

23

Discrete-time version of multi-agent equilibria

19/05/1999

17

27

From Bermudan to American by extrapolation

19/05/1999

17

28

Discrete-time multi-agent equilibria again

02/06/1999

17

32

Distribution of sample correlation coefficient

17/06/1999

17

33

Is it worth including a new agent in a coalition?

25/06/1999

17

36

Multi-agent equilibria again

19/07/1999

17

39

The structural approach to credit with discontinuous processes

23/07/1999

17

43

Large investor in continuous time

09/08/1999

17

46

Information conveyed through prices

24/08/1999

18

1

Modelling the impact of shocks on prices

03/10/1999

18

5

More on credit risk modelling

26/10/1999

18

9

A remarkable result of Thaleia Zariphopoulou

22/11/1999

18

14

Back to the large investor

12/12/1999

18

16

Variants on the problem of Thaleia Zariphopoulou

17/12/1999

18

17

The large investor and the rule of law

21/01/2000

18

23

Remarks on an agency problem

21/02/2000

18

28

Inverting the Wiener-Hopf transforms

17/03/2000

18

31

A very simple model of tax and production

12/04/2000

18

33

Time-lagged investment in a log-Levy asset

20/04/2000

18

35

A question of Freddy Delbaen

09/05/2000

18

37

Some remarks on a search model of Shouyong Shi

09/06/2000

18

41

A public/private investment model of Arrow and Kurz

22/06/2000

18

44

Lagrangian approach to Cuoco-Liu

30/06/2000

18

47

Monte Carlo in Monte Carlo

02/07/2000

18

48

Further examples of the Lagrangian semimartingale principle

05/07/2000

18

51

A simple search model for money

08/08/2000

19

1

Stochastic versions of some models of Arrow and Kurz

15/08/2000

19

7

Some Levy process calculations for the credit-risk paper

16/10/2000

19

8

Arrow-Kurz model with random effects and taxed

23/11/2000

19

10

A very simple model of a firm

29/11/2000

19

12

More on convertibles

24/01/2001

19

16

Some remarks on the probabilistic interpretation of some finite-difference schemes

26/01/2001

19

17

Arrow-Kurz model: a simple special case

30/01/2001

19

18

Pricing Asian options: some notes

05/02/2001

19

24

More thoughts on Monte Carlo

22/01/2001

19

28

Discretising the convertible bond question

14/03/2001

19

30

A little story on liquidity

18/03/2001

19

34

Arrow-Kurz questions: deterministic case

23/04/2001

19

37

Transforming the convertible bond problem

09/05/2001

19

42

Notes on a result of Bertoin and Le Jan

23/06/2001

19

43

Regularizing utilities

29/06/2001

19

44

The duality template in action again

29/06/2001

19

48

Analysis of callable convertible bonds

09/07/2001

20

1

CM Levy processes have CM overshoots of exponential levels

17/07/2001

20

2

An observation from linear algebra

31/07/2001

20

3

Lemmas for the convertible bond question

08/08/2001

20

11

Interlude: some questions from Monique Jeanblanc

10/09/2001

20

13

Another interlude: a question of Stephen Walker and Igor Pruenster

15/09/2001

20

14

Lemmas for the CCCR study again

04/10/2001

20

18

Proof of a conjecture of Stephen Walker

13/10/2001

20

19

Solving the stochastic Ramsey problem

16/10/2001

20

20

The Yesmar problem

23/10/2001

20

25

The private sector as a continuum of infinitesimal agents

05/11/2001

20

27

The CCCR question again: a special case

07/11/2001

20

28

A question of Jose Scheinkman and Thaleia Zariphopoulou

07/11/2001

20

30

Two-sector stochastic example

08/11/2001

20

32

Simplifying CCCR: take K=0

11/11/2001

20

34

Approximating the max call

20/12/2001

20

36

Return to the Yesmar problem in Arrow-Kurz 2-sector situation

28/01/2002

20

38

One-sector Yesmar problem again

14/02/2002

20

39

The two-sector Arrow-Kurz model with different randomness

14/02/2002

20

44

The Cvitanic-Karatzas example

19/03/2002

20

48

Option pricing in an almost complete market

10/04/2002

21

1

More on the BESQ market

03/05/2002

21

3

Two-sector stochastic growth examples

10/05/2002

21

8

Some remarks on a result of Christer Borell

04/06/2002

21

10

Two-sector growth problems with discretionary labour

24/06/2002

21

13

Keeping BM away from a level

08/08/2002

21

16

Good solutions of stochastic two-sector growth models

20/08/2002

21

18

Loss of efficiency in Merton problems due to uncertain drift

13/09/2002

21

20

Solutions to two-sector stochastic growth problems

17/09/2002

21

23

Some calculations of certain functionals of certain diffusions related to squared Bessel Processes

15/10/2002

21

24

Representative agent market with default: first case

25/10/2002

21

25

Transmission of information through a linear Gaussian multi-agent model

28/10/2002

21

27

Linear-Gaussian-exponential utility maximization

04/11/2002

21

29

Linear-Gaussian processes: the filtering story

07/11/2002

21

31

MC hedging of American options: use of lookbacks?

18/11/2002

21

33

Another discretization of drifting Brownian motion

27/11/2002

21

34

Randomized behaviour of bond holders

09/12/2002

21

35

Convertible bond again

30/01/2003

21

36

An approach to liquidity modelling via order book analysis

19/02/2003

21

38

Effect of limited liability on a simple exchange economy

20/02/2003

21

40

Some asymptotics for the convertible bond story

03/03/2003

21

41

Question with Arnaud: discrete-time version

07/03/2003

21

43

Liquidity modelling again

12/03/2003

21

46

Limited liability in a simple exchange economy again

18/03/2003

21

47

Rational expectations equilibria again

24/03/2003

21

50

More on convertible bonds

28/03/2003

22

1

Liquidity story again: a closed door?

16/04/2003

22

4

Liquidity story again: modifying the approach

24/04/2003

22

8

Gradual abandonment of an asset

28/04/2003

22

11

Convertible bonds: all-at-once expression using excursions

06/05/2003

22

14

Liquidity modelling: how does it look in the limit?

13/05/2003

22

16

A useful little lemma

14/05/2003

22

17

Abandoning assets: a meiopic policy

15/05/2003

22

19

Extending the single-period Kyle model

16/05/2003

22

23

Liquidity modelling – some general observations

29/05/2003

22

25

Liquidity – another try

03/06/2003

22

29

Markov-modulated asset returns

23/06/2003

22

31

WH for phase-type compound Possion processes from WH for matrices

24/06/2003

22

34

Some thoughts on a model of Cadenillas, Cvitanic and Zapatero

27/06/2003

22

36

Optimal hedging under Gamma constraints

11/07/2003

22

37

A simple model of production and investment

14/07/2003

22

40

Convertible bonds: the variational problem

16/07/2003

22

42

Unequally-spaced finite differences

23/07/2003

22

43

Back to convertible bonds (power series)

27/08/2003

22

47

Callable convertible bonds again

05/09/2003

23

1

Some thoughts on policies with guaranteed annuity options

22/10/2003

23

2

A very very simple model for international trade

22/10/2003

23

3

Divergence of opinions

31/10/2003

23

5

A very simple model for international trade

06/11/2003

23

7

Perturbation of the price of a put option in the liquidity model

17/11/2003

23

10

A remark on a seminar of Ben Hambly

26/11/2003

23

11

False discovery rates: a Bayesian version

27/11/2003

23

13

A simple model of liquidity effects

01/12/2003

23

14

Abandoning assets: how is it for general diffusions?

03/12/2003

23

15

Some remarks on combining projections

05/12/2003

23

16

More on MC valuation of American options

08/12/2003

23

18

Dumping assets again

12/01/2004

23

19

Cash in the utility

13/01/2004

23

20

Perpetual American put on Markov-modulated asset

04/02/2004

23

21

Towards quantiles of BM

05/02/2004

23

22

Tree model with CARA agents

17/02/2004

23

24

Equilibrium pricing of assets

18/02/2004

23

25

Some thoughts on particle filtering

24/02/2004

23

26

Some thoughts on metastability

05/03/2004

23

28

Equilibria with agents with random lifetimes

12/03/2004

23

30

Equilibria for Markov-modulated dividend processes

23/03/2004

23

32

Illiquidity and the Merton problem: reworking the expression

27/03/2004

23

33

Illiquidity and the Merton problem again

31/03/2004

23

36

Some thoughts on a talk by Thorsten Oest

03/04/2004

23

37

Leading order small-m behaviour of convertible bonds

23/04/2004

23

38

Merton problem liquidity effects: some heuristics

29/04/2004

23

40

Diversity of leverage?

07/05/2004

23

42

Convertible bonds after m = pn

02/06/2004

23

43

Convertible bonds: differentiating s

14/06/2004

23

45

Some asymptotics for the Hobson-Rogers stochastic volatility model

21/07/2004

23

46

Some portfolio things

24/07/2004

23

48

Some simple models with consumption guarantees

25/07/2004

23

54

Minimum guarantee problem, general U

03/08/2004

24

1

Merton problem with liquidity effects again

07/09/2004

24

3

Asymptotics for the HR stochastic volatility model

08/09/2004

24

7

Money in the bank example

16/09/2004

24

9

Modelling corruption

17/09/2004

24

11

Risk measures and pricing axiomatics

24/09/2004

24

13

Optimal investment in an uncertain market

29/09/2004

24

22

Risk measures and pricing axiomatics again

10/11/2004

24

25

Discretising the convertible bond problem?

25/11/2004

24

26

Good-deal bounds

27/01/2005

24

31

More on pricing operators

09/02/2005

24

35

Black-Scholes with jumps:  a question

09/02/2005

24

37

A problem on optimal capital structure

14/02/2005

24

39

Some thoughts on the EPP

17/02/2005

24

42

A simple model for trading and information

23/02/2005

24

43

Investment/consumption: some illustrative examples

25/02/2005

24

46

Modelling of default: some remarks

14/03/2005

24

50

More thoughts on pricing operators

25/04/2005

24

53

Monte Carlo approach to utility maximization

08/05/2005

25

1

FX trading with transaction costs

24/05/2005

25

3

Duality for utility-indifference prices

05/06/2005

25

4

Infinite-horizon examples from the study of executive stock options

06/06/2005

25

10

Linking Scilab's fft and Fourier transforms

18/06/2005

25

12

Asymptotics of wealth-dependent valuation operators

20/06/2005

25

15

The Merton liquidity problem again

01/07/2005

25

18

Overlapping generations model and the EPP

27/08/2005

25

23

Interbank contagion

16/09/2005

25

25

Flight to quality

08/10/2005

25

28

Many Bayesian agents

26/10/2005

25

29

Range-based estimation of correlation

02/11/2005

25

31

Some thoughts on contract design

08/11/2005

25

33

FTQ again

15/11/2005

25

34

Importance sampling in particle filtering

30/11/2005

25

35

Optimization with drawdown constraints

01/12/2005

25

37

Trying to understand moves of nominal prices

19/12/2005

25

40

FTQ once again

07/02/2006

25

42

The correlation of the maxima of two correlated Brownian motions

17/02/2006

25

45

Some observations on the asymptotics of implied volatility

17/02/2006

25

47

Back to deterministic stochastic optimal control

26/02/2006

25

48

Flight to quality again

28/02/2006

25

50

Modelling the cashflows of a life-insurance business

23/03/2006

25

51

Implied correlation of an index

03/04/2006

25

53

Odds and ends on valuations

19/04/2006

25

54

Life insurance business again

20/04/2006

25

56

Flight to quality in continuous time

10/05/2006

26

1

Scaling in the SABR model

20/05/2006

26

2

Some observations on implied volatility

21/05/2006

26

4

Variations on a SABR theme

25/05/2006

26

5

Another insurance example

09/06/2006

26

7

Some bounds on the BS volatility surface

21/06/2006

26

9

Back to the drawdown problem

23/06/2006

26

11

A simple treatment of tax

03/07/2006

26

13

Performance with constraints relative to a benchmark

06/07/2006

26

15

More on implied volatility

14/07/2006

26

17

A stochastic optimal control problem from insurance

07/08/2006

26

19

Data-generated prediction

09/08/2006

26

20

Some thoughts on law-invariant utilities

23/08/2006

26

22

Making arbitrage when the yield curve makes parallel shifts

01/09/2006

26

23

Forward utilities again

04/09/2006

26

25

Implied volatility: Steve Ross' conjecture again

05/09/2006

26

26

The question I should have got Hanping to work on

06/09/2006

26

27

Estimating (sigma sigma^T)^{-1}

11/09/2006

26

28

Many Bayesian agents

13/09/2006

26

30

Infinite mean wealth with bounded drawdown!

22/09/2006

26

32

Optimal investment in discrete-time MM situation

27/09/2006

26

33

Equity premium puzzle without uncertainty on tau

01/10/2006

26

35

Optimal investment in a GARCH asset

03/10/2006

26

36

Many Bayesian agents, CARA structure

25/10/2006

26

40

Possible ways to model carry trades

01/11/2006

26

42

Another way to see particle filtering

10/11/2006

26

44

MLE for a simple model of interest rates

14/11/2006

26

45

Equilibrium pricing to explain transmission of price effects

24/11/2006

26

46

Some thoughts on non-collision of UAVs

28/11/2006

26

47

Modelling FX rates symmetrically

06/12/2006

26

48

Developing multiple Bayesian agents a bit further

09/12/2006

26

50

Particle story: choosing the portfolio

13/12/2006

26

51

Multiple Bayesian agents: summarising the story so far

05/01/2007

26

54

FX order flow stuff again

08/01/2007

26

56

A question of Alexander Cherny

11/01/2007

26

57

Steering your portfolio to end-of-day position

16/01/2007

27

1

Another look at the equity premium puzzle

29/01/2007

27

3

Question of Alexander Cherny

25/02/2007

27

4

A variant of habit formation

27/02/2007

27

6

Numerical solutions to HJB

01/03/2007

27

8

Insurance example with choice of volume of business

01/03/2007

27

9

An insurance example with feedback

02/03/2007

27

11

Recursive utility examples

07/03/2007

27

13

Optimal investment with randomized rate of return

18/03/2007

27

14

Optimal investment: business cycle example

22/03/2007

27

15

Some liquidity models

28/03/2007

27

18

Guarantees problem with Phil Dybvig

19/04/2007

27

21

Arbitrage and equilibrium

26/04/2007

27

25

Remarks on a question of Thomas Breuer

15/05/2007

27

26

Modelling futures prices

15/05/2007

27

27

Constructing an EMM

21/05/2007

27

30

Shot noise dividend process

23/05/2007

27

32

Keeping up with the Jones's

09/06/2007

27

33

Liquidity again

13/06/2007

27

44

Kalman filtering again

21/07/2007

27

46

Two bonds problem again

21/08/2007

27

50

Optimal investment/consumption with illiquid bond

24/08/2007

27

52

PDCCB study again

09/09/2007

27

54

Some thoughts on a paper of Barberis and Xiong

18/09/2007

27

55

More on the callable bonds question

18/09/2007

27

56

Forward utilities again

26/09/2007

27

58

PDCCB again: another possibility

30/09/2007

28

1

Pooling of beliefs

08/10/2007

28

2

Investing with insurance business

08/10/2007

28

4

Competition in pricing

12/10/2007

28

6

Insurance and Bayes

15/10/2007

28

8

PDCCB: a slightly different perspective

23/10/2007

28

12

PDCCB: the base case near 0

06/11/2007

28

14

Inference on data

08/11/2007

28

15

PDCCB: taming the behaviour near 0

13/11/2007

28

17

Modifying the model with Angus

15/11/2007

28

18

More on the asymptotics of PDCCB

21/11/2007

28

20

Developing a suggestion of Angus for a meeting model

03/12/2007

28

21

Heterogeneous beliefs done properly

08/12/2007

28

23

Contracting to manage risk

11/12/2007

28

26

Cleaning up the Bayesian agents story with Angus

08/01/2008

28

28

Interesting harmonic functions of (B_t,S_t,Y_t)

31/01/2008

28

30

Portfolio-constrained Bayesian Merton wealth investor

01/02/2008

28

31

Optimal investment/consumption with HR dynamics

02/02/2008

28

32

Controlling drawdown for wealth

06/02/2008

28

33

Optimal investment with price impact effect

07/02/2008

28

35

Optimal investment/consumption with variable liquidity

07/02/2008

28

36

Joint law of (M_t,S_t,Y_t) for a continuous martingale

13/02/2008

28

38

Optimization under soft drawdown constraints

14/02/2008

28

39

Corporate finance and the monetary transmission mechanism

18/02/2008

28

41

Optimal contracting in a dynamic model

22/02/2008

28

44

A simple example with transactions costs

25/02/2008

28

45

Optimal investment/consumption with retirement

25/02/2008

28

46

Optimal contracting continued

26/02/2008

28

49

Optimal investment with expected shortfall constraint

03/03/2008

28

51

History-dependent preferences

05/03/2008

28

52

DeMarzo-Sannikov example again

12/03/2008

28

53

Parameter uncertainty done cleanly

13/03/2008

28

55

Universal portfolio calculation

02/04/2008

28

56

Splitting into business lines

04/04/2008

29

1

A building block calculation

12/04/2008

29

4

Stop-loss calculation

16/04/2008

29

5

Bayesian agents with log utilities

16/04/2008

29

7

Bayesian agents with log utilities again

29/04/2008

29

9

Building block calculation again

30/04/2008

29

10

Equity dilution

06/05/2008

29

12

Equilibria with non-negative cash constraint

06/05/2008

29

15

Building block calculation again

12/05/2008

29

17

Equilibria with non-negative cash constraint again

16/05/2008

29

23

Discrete-time strict local martingales

28/06/2008

29

24

Calculating various moments for Bayesian log investors

07/07/2008

29

25

Simulating from a CIR SDE

19/08/2008

29

27

Risk measure constraints on optimal investment and contracts

21/08/2008

29

28

Extending Bolton-Freixas: the story for the firm

24/08/2008

29

35

Bank runs

05/09/2008

29

36

Continuous-time particle filtering?

11/09/2008

29

37

PDCB again

24/09/2008

29

39

Simulating spread-out samples

25/09/2008

29

40

Some more building block calculations

01/10/2008

29

41

`Expectations Theory' for term structure

03/10/2008

29

42

An example of multiple optimal stopping

21/10/2008

29

43

Filtering by least action again

25/10/2008

29

45

Beauty contests

14/11/2008

29

48

Impact of `wrong' data?

16/12/2008

29

51

Nice updating of an AR(1) model?

29/01/2009

29

54

Structural models of default again

01/02/2009

29

58

Constraints on consumption drawdown

25/02/2009

29

60

Possible stories for model updating

23/03/2009

29

61

ML estimator of covariance under constraints

31/03/2009

29

63

Better notion for updatings

09/04/2009

29

64

Diverse mistaken beliefs

23/04/2009

30

1

Forecasting the forecasts of others

12/05/2009

30

6

Alternative to mark-to-market valuation

19/05/2009

30

7

Beauty contests again

22/06/2009

30

11

Volume of insurance business again

03/07/2009

30

15

Diverse beliefs and filtering

08/07/2009

30

17

Stochastic optimal control in HMM

25/07/2009

30

19

Bayesian analysis of a two-state HMM regression model

31/07/2009

30

21

Optimal investment with random lifetime

02/08/2009

30

22

Alternative to mark-to-market again

03/08/2009

30

24

Optimal investment with HMM again

28/08/2009

30

25

Games with exhaustible resources

04/09/2009

30

27

Investment/consumption problem with random endowment

05/09/2009

30

28

Production economy with irreversible capital investment

05/09/2009

30

29

Games with exhaustible resources again

10/09/2009

30

32

Some thoughts on price impact

22/09/2009

30

36

Further observations on price impact

01/10/2009

30

38

Games with exhaustible resources

14/10/2009

30

40

Guarantees problem in discrete time

15/10/2009

30

42

Mothballing an asset

05/11/2009

30

43

Why should older people come out of stocks?

05/11/2009

30

44

Infrequent portfolio revision

17/11/2009

30

46

Deterministic epidemics

24/11/2009

30

47

Multiplier-wealth correspondence

26/11/2009

30

48

Super-replication questions

07/12/2009

30

49

Trading out of a position with a rising stop

09/12/2009

30

51

Option pricing under diverse beliefs

10/12/2009

30

52

Why moving-average crossovers?

17/12/2009

30

54

Volume of business once more

07/01/2010

30

56

Autocovariance of Markov-modulated sequences

14/01/2010

30

57

Volume of business again

15/01/2010

30

58

Accounting tale: autocovariances etc

27/01/2010

30

60

Market selection.

04/02/2010

30

66

Market selection and survival

05/03/2010

30

67

Optimal stopping of BM with learning about drift

10/03/2010

30

68

Contagion effects again

14/03/2010

30

70

Robust optimal portfolios

19/03/2010

30

71

Selling out of a position

19/03/2010

30

72

Uncertain drift

29/03/2010

31

1

Stochastic volatility models for stock evolution

01/04/2010

31

4

Some thoughts on a paper of Carr and Lee

25/04/2010

31

6

Shot noise story again

03/05/2010

31

7

Investment timing and corporate structure

20/05/2010

31

11

Least-action filtering: another look

21/05/2010

31

15

Investment and corporate structure again

01/06/2010

31

17

Least-action filtering: an example

03/06/2010

31

19

Converging stops

07/06/2010

31

20

Spherically symmetric distributions in Rd

08/06/2010

31

22

Trading to stops: introducing risk aversion

12/06/2010

31

23

Some thoughts on a seminar of David Elworthy

16/06/2010

31

24

Trading to stops with GBM

30/06/2010

31

25

Thoughts on a presentation by Harrison Hong

03/07/2010

31

30

Some curious stylized facts about asset returns

28/07/2010

31

32

Some thoughts on contracting

01/08/2010

31

34

A contracting example

02/08/2010

31

36

Stylized facts of asset returns again

05/08/2010

31

38

Comments on a paper of Jurek and Stafford

02/09/2010

31

40

A simple model coming from a question of Ezequiel Antar

05/09/2010

31

42

Market selection: more remarks

07/09/2010

31

45

A question of Sergei Foss

07/09/2010

31

46

Explicit solution of a very simple contracting problem

15/09/2010

31

48

Some thoughts on a theory of opportunities

11/10/2010

31

49

Some basic calculations for local regression

15/10/2010

31

50

Market selection: a sketched example

15/10/2010

31

52

Modelling agent choice by opportunities

18/10/2010

31

55

Some thoughts on a dynamic contracting problem

29/10/2010

31

61

Trading to stops: some variants

08/12/2010

31

63

Investing in opportunities

10/12/2010

31

65

Dynamic contracting again

16/12/2010

31

70

Some thoughts on a question of Ezequiel Antar

07/01/2011

31

72

Another contracting type of question

10/01/2011

32

1

Non-expected utility preferences

15/01/2011

32

3

Equilibria involving different memory

19/01/2011

32

5

Model for firms

23/01/2011

32

7

History-dependent preferences again

27/01/2011

32

11

LAF: the second-order effect

04/02/2011

32

12

Continuous-time contracting problem again

04/02/2011

32

14

A question from Katsumasa Nishide

07/02/2011

32

16

LAF again: the multivariate case

09/02/2011

32

19

A question of Phil Dybvig and Yajun Wang

14/02/2011

32

20

Merton problem with CARA utility

17/02/2011

32

22

Merton problems when utility is bounded below

20/02/2011

32

24

Boundary conditions for solving stochastic optimal control problems

28/02/2011

32

29

A model for fund management

03/03/2011

32

30

Merton problem with option to stop early

04/03/2011

32

32

Fund management model again

08/03/2011

32

35

History-dependent preferences: a special case

23/03/2011

32

37

A dynamic contracting problem with risk aversion

24/03/2011

32

38

Bayesian analysis turned around

26/03/2011

32

42

Utility from possession again

08/04/2011

32

44

Hedge fund problem again

08/04/2011

32

46

Variants of the earlier dynamic contracts example

11/04/2011

32

52

Dynamic contracting: an important observation

02/05/2011