We consider the problem of maximizing terminal utility in a model where asset prices are driven by Wiener processes, but where the various rates of returns are allowed to be arbitrary semimartingales. The only information available to the investor is the one generated by the asset prices and, in...

We consider the problem of maximizing terminal utility in a model where asset prices are driven by Wiener processes, but where the various rates of returns are allowed to be arbitrary semimartingales. The only information available to the investor is the one generated by the asset prices and, in...

We consider the problem of maximizing terminal utility in a model where asset prices are driven by Wiener processes, but where the various rates of returns are allowed to be arbitrary semimartingales. The only information available to the investor is the one generated by the asset prices and, in...

We consider HJM type models for the term structure of futures prices, where the volatility is allowed to be an arbitrary smooth functional of the present futures price curve. Using a Lie algebraic approach we investigate when the infinite dimensional futures price process can be realized by a...

We consider interest rate models of Heath-Jarrow-Morton type where the forward rates are driven by a multidimensional Wiener process, and where the volatility structure is allowed to be a smooth functional of the present forward rate curve. In a recent paper [3], Björk and Svensson give...

This paper concerns the computation of risk measures for financial data and asks how, given a risk measurement procedure, we can tell whether the answers it produces are correct. We draw the distinction between `external' and `internal' risk measures and concentrate on the latter, where we...

A model for large portfolio credit risk is developed by using results on the asymptotic behavior of stochastic networks. An efficient pricing technique is proposed using a newly-introduced quadrature algorithm. Accurate calibration to iTraxx tranche spreads is demonstrated.