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 | |

32 | 54 | Utility from possession again | 02/05/2011 | |

32 | 56 | Hedge fund problem again | 03/05/2011 | |

32 | 58 | Utility from possession: equilibrium story | 03/05/2011 | |

32 | 60 | MV generalized hyperbolic distributions | 05/05/2011 | |

32 | 61 | Preferences with limited look ahead | 06/05/2011 | |

32 | 63 | A variation on trading to stops | 07/05/2011 | |

32 | 64 | A question of Peter Ruckdeschel | 10/05/2011 | |

32 | 66 | Back to least-action filtering | 18/05/2011 | |

32 | 69 | Different objectives for an agent | 25/05/2011 | |

32 | 71 | Macroeconomic story: another try | 18/06/2011 | |

32 | 73 | Bayesian inference on tails | 03/07/2011 | |

33 | 1 | American option pricing by Crank-Nicolson | 12/07/2011 | |

33 | 3 | LAF with point observations | 18/07/2011 | |

33 | 5 | A question of Ezequiel Antar | 09/08/2011 | |

33 | 6 | Households and firms | 11/08/2011 | |

33 | 12 | Hedge fund manager again | 26/08/2011 | |

33 | 13 | Evolution of proportions | 05/09/2011 | |

33 | 18 | Firms-banks-households differently? | 17/09/2011 | |

33 | 21 | TC problem approximation | 19/09/2011 | |

33 | 27 | Least-action filtering: going a bit further | 24/09/2011 | |

33 | 28 | An equilibrium example | 06/10/2011 | |

33 | 30 | Optimal investment with model uncertainty | 29/10/2011 | |

33 | 31 | Dual of Cobb-Douglas production function | 29/10/2011 | |

33 | 32 | The shadow firm | 29/10/2011 | |

33 | 33 | American options with log-linear barriers | 10/11/2011 | |

33 | 34 | Rolling Geske model | 13/11/2011 | |

33 | 35 | Variations on a MV OU theme | 25/11/2011 | |

33 | 37 | Simulating a CIR process | 03/12/2011 | |

33 | 38 | Deterministic FBH model | 10/12/2011 | |

33 | 39 | Fourier analysis of BM | 15/12/2011 | |

33 | 40 | Diverse beliefs for CRRA agents | 04/01/2012 | |

33 | 42 | Utilities bounded below | 07/01/2012 | |

33 | 44 | Dividend policy with production | 09/01/2012 | |

33 | 45 | FBH: another example | 10/01/2012 | |

33 | 48 | Consumption drawdown again | 02/02/2012 | |

33 | 50 | Utility bounded below: variable change | 10/02/2012 | |

33 | 52 | Joint law of (I,S,X) | 23/02/2012 | |

34 | 1 | Peter Ruckdeschel's question again | 01/03/2012 | |

34 | 3 | Some questions of Simon Godsill | 04/03/2012 | |

34 | 6 | More on (I,X,S) | 05/03/2012 | |

34 | 11 | Production and investment | 17/03/2012 | |

34 | 13 | More on preferences with limited look-ahead | 21/03/2012 | |

34 | 15 | Multi-step optimization with transaction costs | 23/03/2012 | |

34 | 16 | Kalman filtering: for the record | 29/03/2012 | |

34 | 18 | Optimal investment for a Bayesian agent | 29/03/2012 | |

34 | 20 | Beating a benchmark | 30/03/2012 | |

34 | 22 | Parisian options by excursion theory | 20/04/2012 | |

34 | 24 | More realistic tax story | 30/04/2012 | |

34 | 26 | FBH driven by jumps | 03/05/2012 | |

34 | 29 | Simplified hedge fund tale | 04/05/2012 | |

34 | 31 | Wiener-Hopf again: an observation | 22/05/2012 | |

34 | 34 | Evolution of firm size | 25/05/2012 | |

34 | 36 | Crossing the spread | 29/05/2012 | |

34 | 37 | Equilibria in complete markets | 03/06/2012 | |

34 | 39 | LAF in natural scale | 06/06/2012 | |

34 | 40 | Wiener -Hopf again | 13/06/2012 | |

34 | 44 | Numerical solution methods for HJB? | 17/06/2012 | |

34 | 46 | Numerics for utilities bounded below | 20/06/2012 | |

34 | 47 | Remarks on a couple of papers of Hayne Leland | 22/06/2012 | |

34 | 51 | A question from Pawel Z. | 25/06/2012 | |

34 | 52 | Evolution of firm size again | 29/06/2012 | |

34 | 53 | Law of (I,X,S) again | 13/07/2012 | |

34 | 58 | Distribution of firm sizes again | 28/08/2012 | |

34 | 61 | Use of expert managers | 12/09/2012 | |

34 | 64 | Thoughts from a paper of Andrikogiannopolou and Papakonstantinou | 12/09/2012 | |

34 | 65 | Hedging story for (I,X,S,sigma) | 17/09/2012 | |

34 | 69 | McKean's winding number problem again | 03/10/2012 | |

35 | 1 | Optimal investment with labour income | 06/10/2012 | |

35 | 2 | A simpler version of FBH | 11/10/2012 | |

35 | 8 | Another simple stochastic control example | 24/10/2012 | |

35 | 9 | More general winding number stories | 24/10/2012 | |

35 | 10 | Martingales in the style of Azema | 10/11/2012 | |

35 | 12 | Evolution of firm sizes | 06/11/2012 | |

35 | 13 | The relaxed investor: a comment | 13/11/2012 | |

35 | 16 | Winding number problem again | 24/11/2012 | |

35 | 17 | Agents with different lookbacks | 28/11/2012 | |

35 | 18 | Simulation methodology for the liquidity problem | 18/11/2012 | |

35 | 20 | Agents with different views: another try? | 01/12/2012 | |

35 | 22 | Two-sided exit problem again | 17/12/2012 | |

35 | 24 | A question for Ezequiel Antar | 01/01/2013 | |

35 | 25 | How will defaults affect firm capital? | 03/01/2013 | |

35 | 27 | Pricing impact of differing views again | 08/01/2013 | |

35 | 30 | FBH: doing defaults | 10/01/2013 | |

35 | 33 | Pricing impact of different views again | 11/01/2013 | |

35 | 35 | Firm size story again | 16/01/2013 | |

35 | 37 | FBH: gathering equations | 21/01/2013 | |

35 | 39 | Comparing models for option price surfaces | 30/01/2013 | |

35 | 41 | Price impact story again | 31/01/2013 | |

35 | 44 | An alternative performance measure? | 18/02/2013 | |

35 | 45 | Another version of the drawdown tale | 21/02/2013 | |

35 | 47 | Models for option price surfaces again | 21/02/2013 | |

35 | 48 | Price impact story: determining riskless rate? | 26/02/2013 | |

35 | 51 | Firm size: beyond independence | 28/02/2013 | |

35 | 52 | Fitting options data again | 01/03/2013 | |

35 | 53 | Another example for Optimal Investment | 08/03/2013 | |

35 | 55 | Price impact again | 13/03/2013 | |

35 | 56 | Firm sizes with different killing rates | 28/03/2013 | |

35 | 57 | Questions relating to purchasing a block of stock | 16/04/2013 | |

35 | 58 | Price impact model again | 26/04/2013 | |

35 | 61 | Alternative price impact story | 15/05/2013 | |

35 | 63 | Hunger as objective | 19/06/2013 | |

35 | 66 | Financing a firm | 24/06/2013 | |

35 | 68 | Merton problem with liquidity costs | 18/07/2013 | |

35 | 70 | An interesting dynamic contracting problem | 01/08/2013 | |

35 | 71 | Merton liquidity problem again | 07/08/2013 | |

36 | 1 | A feature of dynamic programming | 20/08/2013 | |

36 | 3 | Merton problem with liquidity again | 03/09/2013 | |

36 | 5 | Towards a joint law of (I,X,S)? | 17/09/2013 | |

36 | 13 | A question of Julien Guyon | 01/10/2013 | |

36 | 14 | (I,X,S) equation counting | 02/10/2013 | |

36 | 17 | Approaches to the two-sided exit problem | 12/10/2013 | |

36 | 23 | Agents interacting according to rules | 16/10/2013 | |

36 | 25 | A curious question | 24/01/1900 | |

36 | 26 | An interpretation of finite-difference schemes | 22/10/2013 | |

36 | 28 | Finite-difference schemes for Markovian evolutions | 08/11/2013 | |

36 | 34 | An optimal stopping question | 30/12/2013 | |

36 | 35 | Back to the interacting agents story | 03/01/2014 | |

36 | 37 | A story for fund management | 11/02/2014 | |

36 | 38 | A little story for modelling asset returns | 28/02/2014 | |

36 | 39 | Possibly interesting class of distributions | 13/03/2014 | |

36 | 40 | A nice bandit example | 20/03/2014 | |

36 | 41 | Davis-Vellekoop example | 28/03/2014 | |

36 | 44 | Discretizing a diffusion in 2 dimensions | 29/03/2014 | |

36 | 46 | Connecting the interacting agents to a bit more of an economy | 04/04/2014 | |

36 | 47 | Asset dynamics with trend | 14/04/2014 | |

36 | 48 | Trading a fund in the presence of taxes | 14/04/2014 | |

36 | 49 | Properties of the solution of the Merton problem | 22/04/2014 | |

36 | 51 | Option pricing by transforms | 24/04/2014 | |

36 | 52 | Production, investment and the stock market | 29/04/2014 | |

36 | 54 | A question of Matheus Grasselli | 12/05/2014 | |

36 | 56 | Notes on fluctuations of Levy processes | 14/05/2014 | |

36 | 58 | Merton Illiquidity problem: changing the boundary conditions | 14/05/2014 | |

36 | 61 | Candidate models in diverse beliefs | 19/05/2014 | |

36 | 63 | Some thoughts on diffusion approximations | 21/05/2014 | |

36 | 64 | Simulating CIR again | 24/05/2014 | |

36 | 67 | Boundary conditions for the liquidity problem again | 04/06/2014 | |

36 | 69 | Asset dynamics with trend again | 05/06/2014 | |

37 | 1 | Asset dynamics with trend | 10/06/2014 | |

37 | 3 | Merton liquidity problem again | 12/06/2014 | |

37 | 5 | Joint distributions with given marginals | 14/07/2014 | |

37 | 7 | The Merton liquidity problem again | 22/07/2014 | |

37 | 11 | Joint laws with given marginals: the MVN case | 10/08/2014 | |

37 | 12 | Glueing measures together | 16/08/2014 | |

37 | 16 | Liquidity problem again | 19/08/2014 | |

37 | 17 | Diffusion approximation again | 29/08/2014 | |

37 | 20 | Model combination | 01/09/2014 | |

37 | 21 | Momentum and equilibrium | 09/09/2014 | |

37 | 24 | Green's function for (I,X,S) | 29/09/2014 | |

37 | 29 | Production, consumption and trading | 13/10/2014 | |

37 | 30 | Approach to multi-agent economies | 20/10/2014 | |

37 | 33 | High hopes and equilibrium price | 30/10/2014 | |

37 | 37 | Ray-Knight run backwards | 05/11/2014 | |

37 | 40 | High hopes story | 07/11/2014 | |

37 | 48 | Prices and beliefs in a simple economy | 19/11/2014 | |

37 | 50 | Weakly continuous preferences | 21/11/2014 | |

37 | 52 | Partially-observed drifting BM | 27/11/2014 | |

37 | 54 | Equilibrium pricing with a derivative | 22/12/2014 | |

37 | 57 | Optimal investment with a tax on capital gains | 30/12/2014 | |

37 | 59 | Preferences affected by previous consumption | 31/12/2014 | |

37 | 62 | Deterministic agents | 21/01/2015 | |

37 | 64 | CARA utility optimization – an honest story? | 16/02/2015 | |

37 | 67 | Optimal investment funded by borrowing | 19/02/2015 | |

37 | 69 | Coming out of stocks as you get older | 23/02/2015 | |

37 | 71 | Optimal investment with employment/unemployment | 04/03/2015 | |

37 | 72 | Hunger as incentive | 09/03/2015 | |