The paper presents an incomplete market pricing methodology generating asset price
bounds conditional on the absence of attractive investment opportunities in equilibrium. The …

Originally published in 2003, Mathematical Techniques in Finance has become a standard
textbook for master's-level finance courses containing a significant quantitative element while …

We suggest an improved FFT pricing algorithm for discretely sampled Asian options with
general independently distributed returns in the underlying. Our work complements the studies …

We provide a new characterization of mean-variance hedging strategies in a general
semimartingale market. The key point is the introduction of a new probability measure P ⋆ which …

Almost 20 years ago Föllmer and Schweizer (1989) suggested a simple and influential
scheme for the computation of hedging strategies in an incomplete market. Their approach of …

This paper solves the mean–variance hedging problem in Heston's model with a stochastic
opportunity set moving systematically with the volatility of stock returns. We allow for …

The paper analyses properties of a large class of “path-based” Data Envelopment Analysis
models through a unifying general scheme. The scheme includes the well-known oriented …

The Fourier transform is an important tool in Financial Economics. It delivers real time pricing
while allowing for a realistic structure of asset returns, taking into account excess kurtosis …

The term ‘no-good-deal pricing’ in this paper encompasses pricing techniques base on the
absence of attractive investment opportunities — good deals — in equilibrium. We borrowed …

In this paper the general discrete time mean‐variance hedging problem is solved by
dynamic programming. Thanks to its simple recursive structure the solution is well suited to …