EconPapers    
Economics at your fingertips  
 

Mathematical Finance

1991 - 2016

Current editor(s): Jerome Detemple

From Wiley Blackwell
Series data maintained by Wiley-Blackwell Digital Licensing ().

Access Statistics for this journal.
Track citations for all items by RSS feed
Is something missing from the series or not right? See the RePEc data check for the archive and series.


Volume 26, issue 4, 2016

MULTIVARIATE SUBORDINATION OF MARKOV PROCESSES WITH FINANCIAL APPLICATIONS pp. 699-747 Downloads
Rafael Mendoza-Arriaga and Vadim Linetsky
EXPECTATIONS OF FUNCTIONS OF STOCHASTIC TIME WITH APPLICATION TO CREDIT RISK MODELING pp. 748-784 Downloads
Ovidiu Costin, Michael Gordy, Min Huang and Pawel J. Szerszen
OPTIMAL INVESTMENT IN CREDIT DERIVATIVES PORTFOLIO UNDER CONTAGION RISK pp. 785-834 Downloads
Lijun Bo and Agostino Capponi
FIRE SALES FORENSICS: MEASURING ENDOGENOUS RISK pp. 835-866 Downloads
Rama Cont and Lakshithe Wagalath
MULTIVARIATE RISK MEASURES: A CONSTRUCTIVE APPROACH BASED ON SELECTIONS pp. 867-900 Downloads
Ilya Molchanov and Ignacio Cascos
COHERENCE AND ELICITABILITY pp. 901-918 Downloads
Johanna F. Ziegel
PRICE-ADMISSIBILITY CONDITIONS FOR ARBITRAGE-FREE LINEAR PRICE FUNCTION MODELS FOR THE TERM STRUCTURE OF INTEREST RATES pp. 919-938 Downloads
Andrew F. Siegel
MODEL-INDEPENDENT LOWER BOUND ON VARIANCE SWAPS pp. 939-961 Downloads
Nabil Kahalé
FAST SWAPTION PRICING IN GAUSSIAN TERM STRUCTURE MODELS pp. 962-982 Downloads
Jaehyuk Choi and Sungchan Shin

Volume 26, issue 3, 2016

A FIRST-ORDER BSPDE FOR SWING OPTION PRICING pp. 461-491 Downloads
Christian Bender and Nikolai Dokuchaev
VALUATION OF BARRIER OPTIONS VIA A GENERAL SELF-DUALITY pp. 492-515 Downloads
Elisa Alòs, Zhanyu Chen and Thorsten Rheinländer
HIGH-ORDER SHORT-TIME EXPANSIONS FOR ATM OPTION PRICES OF EXPONENTIAL LÉVY MODELS pp. 516-557 Downloads
José E. Figueroa-López, Ruoting Gong and Christian Houdré
ARROW–DEBREU EQUILIBRIA FOR RANK-DEPENDENT UTILITIES pp. 558-588 Downloads
Jianming Xia and Xun Yu Zhou
A NOTE ON THE QUANTILE FORMULATION pp. 589-601 Downloads
Zuo Quan Xu
DO ARBITRAGE-FREE PRICES COME FROM UTILITY MAXIMIZATION? pp. 602-616 Downloads
Pietro Siorpaes
BENCHMARKED RISK MINIMIZATION pp. 617-637 Downloads
Ke Du and Eckhard Platen
MULTIDIMENSIONAL DYNAMIC RISK MEASURE VIA CONDITIONAL g-EXPECTATION pp. 638-673 Downloads
Yuhong Xu
GAMBLING IN CONTESTS WITH REGRET pp. 674-695 Downloads
Han Feng and David Hobson

Volume 26, issue 2, 2016

A MODEL-FREE VERSION OF THE FUNDAMENTAL THEOREM OF ASSET PRICING AND THE SUPER-REPLICATION THEOREM pp. 233-251 Downloads
B. Acciaio, M. Beiglböck, F. Penkner and W. Schachermayer
UTILITY MAXIMIZATION UNDER MODEL UNCERTAINTY IN DISCRETE TIME pp. 252-268 Downloads
Marcel Nutz
THE INCENTIVES OF HEDGE FUND FEES AND HIGH-WATER MARKS pp. 269-295 Downloads
Paolo Guasoni and Jan Obłój
ON VALUING STOCHASTIC PERPETUITIES USING NEW LONG HORIZON STOCK PRICE MODELS DISTINGUISHING BOOMS, BUSTS, AND BALANCED MARKETS pp. 296-328 Downloads
Dilip B. Madan and Marc Yor
RESILIENCE TO CONTAGION IN FINANCIAL NETWORKS pp. 329-365 Downloads
Hamed Amini, Rama Cont and Andreea Minca
STOCHASTIC LOCAL INTENSITY LOSS MODELS WITH INTERACTING PARTICLE SYSTEMS pp. 366-394 Downloads
Aurélien Alfonsi, Céline Labart and Jérôme Lelong
MEASURING DISTRIBUTION MODEL RISK pp. 395-411 Downloads
Thomas Breuer and Imre Csiszár
COMPARING LOCAL RISKS BY ACCEPTANCE AND REJECTION pp. 412-430 Downloads
Amnon Schreiber
MODEL-INDEPENDENT NO-ARBITRAGE CONDITIONS ON AMERICAN PUT OPTIONS pp. 431-458 Downloads
Alexander M. G. Cox and Christoph Hoeggerl

Volume 26, issue 1, 2016

HOPE, FEAR, AND ASPIRATIONS pp. 3-50 Downloads
Xue Dong He and Xun Yu Zhou
BEHAVIORAL PORTFOLIO SELECTION: ASYMPTOTICS AND STABILITY ALONG A SEQUENCE OF MODELS pp. 51-85 Downloads
Christian Reichlin
LINKED RECURSIVE PREFERENCES AND OPTIMALITY pp. 86-121 Downloads
Shlomo Levental, Sumit Sinha and Mark Schroder
BESSEL PROCESSES, STOCHASTIC VOLATILITY, AND TIMER OPTIONS pp. 122-148 Downloads
Chenxu Li
A NEW LOOK AT SHORT-TERM IMPLIED VOLATILITY IN ASSET PRICE MODELS WITH JUMPS pp. 149-183 Downloads
Aleksandar Mijatović and Peter Tankov
CVaR HEDGING USING QUANTIZATION-BASED STOCHASTIC APPROXIMATION ALGORITHM pp. 184-229 Downloads
O. Bardou, N. Frikha and G. Pagès

Volume 25, issue 4, 2015

NO-ARBITRAGE PRICING FOR DIVIDEND-PAYING SECURITIES IN DISCRETE-TIME MARKETS WITH TRANSACTION COSTS pp. 673-701 Downloads
Tomasz R. Bielecki, Igor Cialenco and Rodrigo Rodriguez
OPTION PRICING AND HEDGING WITH SMALL TRANSACTION COSTS pp. 702-723 Downloads
Jan Kallsen and Johannes Muhle-Karbe
LONG HORIZONS, HIGH RISK AVERSION, AND ENDOGENOUS SPREADS pp. 724-753 Downloads
Paolo Guasoni and Johannes Muhle-Karbe
OPTIMAL SELLING RULES FOR MONETARY INVARIANT CRITERIA: TRACKING THE MAXIMUM OF A PORTFOLIO WITH NEGATIVE DRIFT pp. 754-788 Downloads
Romuald Elie and Gilles-Edouard Espinosa
STATIC FUND SEPARATION OF LONG-TERM INVESTMENTS pp. 789-826 Downloads
Paolo Guasoni and Scott Robertson
A GENERAL EQUILIBRIUM MODEL OF A MULTIFIRM MORAL-HAZARD ECONOMY WITH FINANCIAL MARKETS pp. 827-868 Downloads
Jaeyoung Sung and Xuhu Wan
MARKETS FOR INFLATION-INDEXED BONDS AS MECHANISMS FOR EFFICIENT MONETARY POLICY pp. 869-889 Downloads
Christian-Oliver Ewald and Johannes Geissler

Volume 25, issue 3, 2015

GENERAL INTENSITY SHAPES IN OPTIMAL LIQUIDATION pp. 457-495 Downloads
Olivier Guéant and Charles-Albert Lehalle
PORTFOLIO LIQUIDATION IN DARK POOLS IN CONTINUOUS TIME pp. 496-544 Downloads
Peter Kratz and Torsten Schöneborn
OPTIMAL HIGH-FREQUENCY TRADING IN A PRO RATA MICROSTRUCTURE WITH PREDICTIVE INFORMATION pp. 545-575 Downloads
Fabien Guilbaud and Huyên Pham
RISK METRICS AND FINE TUNING OF HIGH-FREQUENCY TRADING STRATEGIES pp. 576-611 Downloads
Álvaro Cartea and Sebastian Jaimungal
OPTIMAL EXECUTION OF A VWAP ORDER: A STOCHASTIC CONTROL APPROACH pp. 612-639 Downloads
Christoph Frei and Nicholas Westray
OPTIMAL EXECUTION HORIZON pp. 640-672 Downloads
David Easley, Marcos Lopez Prado and Maureen O'Hara

Volume 25, issue 2, 2015

OPTIMAL INVESTMENT UNDER RELATIVE PERFORMANCE CONCERNS pp. 221-257 Downloads
Gilles-Edouard Espinosa and Nizar Touzi
ROBUST UTILITY MAXIMIZATION IN NONDOMINATED MODELS WITH 2BSDE: THE UNCERTAIN VOLATILITY MODEL pp. 258-287 Downloads
Anis Matoussi, Dylan Possamaï and Chao Zhou
AN ONLINE PORTFOLIO SELECTION ALGORITHM WITH REGRET LOGARITHMIC IN PRICE VARIATION pp. 288-310 Downloads
Elad Hazan and Satyen Kale
THE EFFECT OF TRADING FUTURES ON SHORT SALE CONSTRAINTS pp. 311-338 Downloads
Robert Jarrow, Philip Protter and Sergio Pulido
DUAL REPRESENTATIONS FOR GENERAL MULTIPLE STOPPING PROBLEMS pp. 339-370 Downloads
Christian Bender, John Schoenmakers and Jianing Zhang
ON THE CONSISTENCY OF REGRESSION-BASED MONTE CARLO METHODS FOR PRICING BERMUDAN OPTIONS IN CASE OF ESTIMATED FINANCIAL MODELS pp. 371-399 Downloads
Andreas Fromkorth and Michael Kohler
FROM SMILE ASYMPTOTICS TO MARKET RISK MEASURES pp. 400-425 Downloads
Ronnie Sircar and Stephan Sturm
CORRELATION UNDER STRESS IN NORMAL VARIANCE MIXTURE MODELS pp. 426-456 Downloads
Michael Kalkbrener and Natalie Packham

Volume 25, issue 1, 2015

BILATERAL COUNTERPARTY RISK UNDER FUNDING CONSTRAINTS—PART I: PRICING pp. 1-22 Downloads
Stéphane Crépey
BILATERAL COUNTERPARTY RISK UNDER FUNDING CONSTRAINTS—PART II: CVA pp. 23-50 Downloads
Stéphane Crépey
DEFAULT AND SYSTEMIC RISK IN EQUILIBRIUM pp. 51-76 Downloads
Agostino Capponi and Martin Larsson
LARGE PORTFOLIO ASYMPTOTICS FOR LOSS FROM DEFAULT pp. 77-114 Downloads
Kay Giesecke, Konstantinos Spiliopoulos, Richard B. Sowers and Justin A. Sirignano
ON OPTIMAL INVESTMENT FOR A BEHAVIORAL INVESTOR IN MULTIPERIOD INCOMPLETE MARKET MODELS pp. 115-153 Downloads
Laurence Carassus and Miklós Rásonyi
OPTIMAL INSURANCE DESIGN UNDER RANK-DEPENDENT EXPECTED UTILITY pp. 154-186 Downloads
Carole Bernard, Xuedong He, Jia-An Yan and Xun Yu Zhou
GENERAL PROPERTIES OF ISOELASTIC UTILITY ECONOMIES pp. 187-219 Downloads
Joel M. Vanden
Page updated 2017-08-16