Volume 5, Number 4 (2011)
Article
Density dependent utilities with transaction costs
Eriyoti Chikodza and Julius N Esunge
Consistent price systems for bounded processes
Florian Maris, Eric Mbakop, and Hasanjan Sayit
MRM-applicable measures for the power function of the second order
Izumi Kubo, Hui-Hsiung Kuo, and Suat Namli
A martingale representation for the maximum of a Lévy process
Bruno Rémillard and Jean-François Renaud
A connection between the Poissonian Wick product and the discrete convolution
Alberto Lanconelli and Luigi Sportelli
Changes of measure and representations of the first hitting time of a Bessel process
Gerardo Hernandez-del-Valle
Intraday empirical analysis of electricity price behaviour
Eckhard Platen and Jason West