We present solutions to some discounted optimal stopping problems for the maximum process in a model driven by a Brownian motion and a compound Poisson process with exponential jumps. The method of proof is based on reducing the initial problems to integro-differential free-boundary problems...

We present a solution to some discounted optimal stopping problem for the maximum of a geometric Brownian motion on a finite time interval. The method of proof is based on reducing the initial optimal stopping problem with the continuation region determined by an increasing continuous boundary...

We study the exponential utility indierence value h for a contingentclaim H in an incomplete market driven by two Brownian motions.The claim H depends on a nontradable asset variably correlated withthe traded asset available for hedging. We provide an explicit se-quence that converges to h,...

This paper considers the option pricing when dynamic portfolios are discretely rebalanced.

We study the exponential utility indifference valuation of a contingent claim B in an incomplete market driven by two Brownian motions. The claim depends on a nontradable asset stochastically correlated with the traded asset available for hedging. We use martingale arguments to provide upper and...

The provision of outsourcing services creates relationships between knowledge vested with thesupplier and the viability of outsourcing arrangements. Knowledge accumulation by theoutsourcee can reach a level where it poses a market entry or takeover risk to the outsourcer.Knowledge translates...

Motivated by the Kyle-Back model of 'insider trading', we consider certain classes of linear transformations of two independent Brownian motions and study their canonical decomposition as semimartingales in their own filtration. In particular we characterize those transformations which generate...

We show the existence, for any k E N, of processes which have the same k-marginals as Brownian motion, although they are not Brownian motions. For k = 4, this proves a conjecture of Stoyanov. The law P' of such a weak Brownian motion of order k can be constructed to be equivalent to Wiener...

Consider a d-dimensional Brownian motion X (Xl, ... ,Xd ) and a function F which belongs locally to the Sobolev space W 1,2. We prove an extension of Ito's formula where the usual second order terms are replaced by the quadratic covariations [fk(X), Xkj involving the weak first partial...

We consider models of time continuous financial markets with a regular trader and an insider who are able to invest into one risky asset. The insider's additional knowledge consists in his ability to stop a random time which is inaccessible to the regular trader, such as the last passage of a...