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Mathematical Finance
1991 - 2009
Edited by Dilip B. Madan
from Wiley Blackwell
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Volume 19, issue 3 , 2009
CREDIT SPREADS, OPTIMAL CAPITAL STRUCTURE, AND IMPLIED VOLATILITY WITH ENDOGENOUS DEFAULT AND JUMP RISK pp. 343-378 Nan Chen and S. G. Kou CONSTANT PROPORTION PORTFOLIO INSURANCE IN THE PRESENCE OF JUMPS IN ASSET PRICES pp. 379-401 Rama Cont and Peter Tankov PRICING CORPORATE SECURITIES UNDER NOISY ASSET INFORMATION pp. 403-421 Rüdiger Frey and Thorsten Schmidt MAXIMIZING THE GROWTH RATE UNDER RISK CONSTRAINTS pp. 423-455 Traian A. Pirvu and Gordan Žitković SINGULAR PERTURBATION TECHNIQUES APPLIED TO MULTIASSET OPTION PRICING pp. 457-486 Peter W. Duck , Chao Yang , David P. Newton and Martin Widdicks PORTFOLIO SELECTION WITH MONOTONE MEAN-VARIANCE PREFERENCES pp. 487-521 Fabio Maccheroni , Massimo Marinacci , Aldo Rustichini and Marco Taboga Volume 19, issue 2 , 2009
NO-FREE-LUNCH EQUIVALENCES FOR EXPONENTIAL LÉVY MODELS UNDER CONVEX CONSTRAINTS ON INVESTMENT pp. 161-187 Constantinos Kardaras RISK MEASURES ON ORLICZ HEARTS pp. 189-214 Patrick Cheridito and Tianhui Li OPTIMAL CONSUMPTION AND PORTFOLIO DECISIONS WITH PARTIALLY OBSERVED REAL PRICES pp. 215-236 Alain Bensoussan , Jussi Keppo and Suresh P. Sethi CONTINUITY OF UTILITY-MAXIMIZATION WITH RESPECT TO PREFERENCES pp. 237-250 Kasper Larsen EXPLICIT SOLUTIONS OF CONSUMPTION-INVESTMENT PROBLEMS IN FINANCIAL MARKETS WITH REGIME SWITCHING pp. 251-279 Luz Rocío Sotomayor and Abel Cadenillas ESTIMATION OF VALUE AT RISK AND RUIN PROBABILITY FOR DIFFUSION PROCESSES WITH JUMPS pp. 281-302 Laurent Denis , Begoña Fernández and Ana Meda IMPLIED VOLATILITY IN THE HULL-WHITE MODEL pp. 303-327 Archil Gulisashvili and Elias M. Stein RISK MEASURES FOR NON-INTEGRABLE RANDOM VARIABLES pp. 329-333 Freddy Delbaen AN AXIOMATIZATION OF QUANTILES ON THE DOMAIN OF DISTRIBUTION FUNCTIONS pp. 335-342 Christopher P. Chambers Volume 19, issue 1 , 2009
REGULAR VARIATION AND SMILE ASYMPTOTICS pp. 1-12 S. Benaim and P. Friz CAPITAL ALLOCATION AND RISK CONTRIBUTION WITH DISCRETE-TIME COHERENT RISK pp. 13-40 Alexander S. Cherny CONSISTENT MARKET EXTENSIONS UNDER THE BENCHMARK APPROACH pp. 41-52 Damir Filipović and Eckhard Platen TRUE UPPER BOUNDS FOR BERMUDAN PRODUCTS VIA NON-NESTED MONTE CARLO pp. 53-71 Denis Belomestny , Christian Bender and John Schoenmakers MODELING THE RECOVERY RATE IN A REDUCED FORM MODEL pp. 73-97 Xin Guo , Robert A Jarrow and Yan Zeng ACCOUNTING FOR RISK AVERSION, VESTING, JOB TERMINATION RISK AND MULTIPLE EXERCISES IN VALUATION OF EMPLOYEE STOCK OPTIONS pp. 99-128 Tim Leung and Ronnie Sircar OPTIMAL INVESTMENT WITH AN UNBOUNDED RANDOM ENDOWMENT AND UTILITY-BASED PRICING pp. 129-159 Mark P. Owen and Gordan Žitković Volume 18, issue 4 , 2008
DEFAULTABLE OPTIONS IN A MARKOVIAN INTENSITY MODEL OF CREDIT RISK pp. 493-518 Tomasz R. Bielecki , Stéphane Crépey , Monique Jeanblanc and Marek Rutkowski AN EQUILIBRIUM GUIDE TO DESIGNING AFFINE PRICING MODELS pp. 519-543 Bjørn Eraker and Ivan Shaliastovich OPTIMAL TIMING FOR AN INDIVISIBLE ASSET SALE pp. 545-567 Jonathan Evans , Vicky Henderson and David Hobson OPTIONED PORTFOLIO SELECTION: MODELS AND ANALYSIS pp. 569-593 Jianfeng Liang , Shuzhong Zhang and Duan Li GUARANTEED MINIMUM WITHDRAWAL BENEFIT IN VARIABLE ANNUITIES pp. 595-611 Min Dai , Yue Kuen Kwok and Jianping Zong A MODEL OF OPTIMAL CONSUMPTION UNDER LIQUIDITY RISK WITH RANDOM TRADING TIMES pp. 613-627 Huyên Pham and Peter Tankov LIQUIDATION OF A LARGE BLOCK OF STOCK WITH REGIME SWITCHING pp. 629-648 Moustapha Pemy , Zhang qing and G. George Yin OPTIMAL MULTI-AGENT PERFORMANCE MEASURES FOR TEAM CONTRACTS pp. 649-667 Hyeng Keun Koo , Gyoocheol Shim and Jaeyoung Sung Volume 18, issue 3 , 2008
PRICING DISCRETELY MONITORED BARRIER OPTIONS AND DEFAULTABLE BONDS IN LÉVY PROCESS MODELS: A FAST HILBERT TRANSFORM APPROACH pp. 337-384 Liming Feng and Vadim Linetsky BEHAVIORAL PORTFOLIO SELECTION IN CONTINUOUS TIME pp. 385-426 Hanqing Jin and Xun Yu Zhou BIVARIATE SUPPORT OF FORWARD LIBOR AND SWAP RATES pp. 427-443 Farshid Jamshidian OPTIMAL PORTFOLIO, CONSUMPTION-LEISURE AND RETIREMENT CHOICE PROBLEM WITH CES UTILITY pp. 445-472 Kyoung Jin Choi , Gyoocheol Shim and Yong Hyun Shin MEAN-VARIANCE HEDGING AND OPTIMAL INVESTMENT IN HESTON'S MODEL WITH CORRELATION pp. 473-492 Ales Černý and Jan Kallsen Volume 18, issue 2 , 2008
OPTIMALITY AND STATE PRICING IN CONSTRAINED FINANCIAL MARKETS WITH RECURSIVE UTILITY UNDER CONTINUOUS AND DISCONTINUOUS INFORMATION pp. 199-238 Mark Schroder and Costis Skiadas OPTIMAL MULTIPLE STOPPING AND VALUATION OF SWING OPTIONS pp. 239-268 René Carmona and Nizar Touzi OPTIMAL RISK SHARING FOR LAW INVARIANT MONETARY UTILITY FUNCTIONS pp. 269-292 Elyès Jouini , W. Schachermayer and N. Touzi ON THE CONSISTENCY OF THE LUCAS PRICING FORMULA pp. 293-303 Knut K. Aase A COUNTEREXAMPLE CONCERNING THE VARIANCE-OPTIMAL MARTINGALE MEASURE pp. 305-316 Ales Černý and Jan Kallsen OPTIMAL PORTFOLIOS WITH LOWER PARTIAL MOMENT CONSTRAINTS AND LPM-RISK-OPTIMAL MARTINGALE MEASURES pp. 317-331 Johannes Leitner OPTIMAL NUMERAIRES FOR RISK MEASURES pp. 333-336 Damir Filipović Volume 18, issue 1 , 2008
VALUATIONS AND DYNAMIC CONVEX RISK MEASURES pp. 1-22 A. Jobert and Leonard C G Rogers ASSET PRICING WITH NO EXOGENOUS PROBABILITY MEASURE pp. 23-54 Gianluca A. Cassese OPTIMAL CAPITAL AND RISK TRANSFERS FOR GROUP DIVERSIFICATION pp. 55-76 Damir Filipović and Michael Kupper TERM STRUCTURES OF IMPLIED VOLATILITIES: ABSENCE OF ARBITRAGE AND EXISTENCE RESULTS pp. 77-114 Martin Schweizer and Johannes Wissel SIMULATION-BASED PORTFOLIO OPTIMIZATION FOR LARGE PORTFOLIOS WITH TRANSACTION COSTS pp. 115-134 Kumar Muthuraman and Haining Zha SOLVABLE AFFINE TERM STRUCTURE MODELS pp. 135-153 Martino Grasselli and Claudio Tebaldi HOW CLOSE ARE THE OPTION PRICING FORMULAS OF BACHELIER AND BLACK-MERTON-SCHOLES? pp. 155-170 Walter Schachermayer and Josef Teichmann A CONVEX STOCHASTIC OPTIMIZATION PROBLEM ARISING FROM PORTFOLIO SELECTION pp. 171-183 Hanqing Jin , Zuo Quan Xu and Xun Yu Zhou CONVEXITY OF THE EXERCISE BOUNDARY OF THE AMERICAN PUT OPTION ON A ZERO DIVIDEND ASSET pp. 185-197 Xinfu Chen , John Chadam , Lishang Jiang and Weian Zheng
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