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Mathematical Finance
1991 - 2009
Edited by Dilip B. Madan
from Wiley Blackwell
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Volume 11, issue 4 , 2001
Optimal Portfolios with Bounded Capital at Risk pp. 365-384 Susanne Emmer , Claudia Klüppelberg and Ralf Korn A Comparison of Two Quadratic Approaches to Hedging in Incomplete Markets pp. 385-413 David Heath , Eckhard Platen and Martin Schweizer Return Dynamics when Persistence is Unobservable pp. 415-445 Timothy C. Johnson The Liquidity Discount pp. 447-474 Ajay Subramanian and Robert A Jarrow A Generalized Cameron-Martin Formula with Applications to Partially Observed Dynamic Portfolio Optimization pp. 475-494 Gady Zohar Volume 11, issue 3 , 2001
Pricing of New Securities in an Incomplete Market: the Catch 22 of No-Arbitrage Pricing pp. 267-284 Phelim Boyle and Tan Wang Robust Hedging of Barrier Options pp. 285-314 Haydyn Brown , David Hobson and Leonard C G Rogers No Arbitrage in Discrete Time Under Portfolio Constraints pp. 315-329 Laurence Carassus , Huyeˆn Pham and Nizar Touzi Bounds on Derivative Prices in an Intertemporal Setting with Proportional Transaction Costs and Multiple Securities pp. 331-346 George M. Constantinides and Thaleia Zariphopoulou Leland's Approach to Option Pricing: The Evolution of a Discontinuity pp. 347-355 Peter Grandits and Werner Schachinger A Note on the Boyle-Vorst Discrete-Time Option Pricing Model with Transactions Costs pp. 357-363 Ken Palmer Volume 11, issue 2 , 2001
Dynamic Optimization of Long-Term Growth Rate for a Portfolio with Transaction Costs and Logarithmic Utility pp. 153-188 Marianne Akian , Agnès Sulem and Michael I. Taksar MSM Estimators of European Options on Assets with Jumps pp. 189-203 João Amaro de Matos On the Existence of Finite-Dimensional Realizations for Nonlinear Forward Rate Models pp. 205-243 Tomas Björk and Lars Svensson Finding Generators for Markov Chains via Empirical Transition Matrices, with Applications to Credit Ratings pp. 245-265 Robert B. Israel , Jeffrey S. Rosenthal and Jason Z. Wei Volume 11, issue 1 , 2001
On the Existence of Linear Equilibria in Models of Market Making pp. 1-31 Mark Bagnoli , S Viswanathan and Craig Holden Randomized Stopping Times and American Option Pricing with Transaction Costs pp. 33-77 Prasad Chalasani and Somesh Jha Time Changes for Lévy Processes pp. 79-96 Hélyette Geman , Dilip B. Madan and Marc Yor Analytical Valuation of American Options on Jump-Diffusion Processes pp. 97-115 Chandrasekhar Reddy Gukhal The Asymptotic Expansion Approach to the Valuation of Interest Rate Contingent Claims pp. 117-151 Naoto Kunitomo and Akihiko Takahashi Volume 10, issue 4 , 2000
Laguerre Series for Asian and Other Options pp. 407-428 Daniel Dufresne Generic Existence and Robust Nonexistence of Numéraires in Finite Dimensional Securities Markets pp. 429-442 Bruno Girotto and Fulvio Ortu A Fundamental Theorem of Asset Pricing for Large Financial Markets pp. 443-458 Irene Klein Correction: Pricing Options with Curved Boundaries (Mathematical Finance 1992, 2, 275-297) pp. 459-459 Naoto Kunitomo and Masayuki Ikeda Correction: Maximum Likelihood Estimation Using Price Data of the Derivative Contract (Mathematical Finance 1994, 4/2, 155-167) pp. 461-462 Jin-Chuan Duan Volume 10, issue 3 , 2000
Louis Bachelier on the Centenary of "Théorie de la Spéculation" pp. 339-353 Jean-Michel Courtault , Youri Kabanov , Bernard Bru , Pierre Crépel , Isabelle Lebon and Arnaud Le Marchand A Martingale Characterization of Consumption Choices and Hedging Costs with Margin Requirements pp. 355-385 Domenico Cuoco and Hong Liu Optimal Dynamic Portfolio Selection: Multiperiod Mean-Variance Formulation pp. 387-406 Duan Li and Wan-Lung Ng Volume 10, issue 2 , 2000
On the Pricing of Contingent Claims with Frictions pp. 89-108 A. Bensoussan and H. Julien Mean-Variance Hedging for Stochastic Volatility Models pp. 109-123 Francesca Biagini , Paolo Guasoni and Maurizio Pratelli Multiple Ratings Model of Defaultable Term Structure pp. 125-139 Tomasz R. Bielecki and Marek Rutkowski Classical and Impulse Stochastic Control of the Exchange Rate Using Interest Rates and Reserves pp. 141-156 Abel Cadenillas and Fernando Zapatero Pricing American Options Fitting the Smile pp. 157-177 M. A. H. Dempster and D. G. Richards On Models of Default Risk pp. 179-195 R. J. Elliott , M. Jeanblanc and M. Yor Risk-Sensitive Control and an Optimal Investment Model pp. 197-213 W. H. Fleming and S. J. Sheu Risk Minimization with Incomplete Information in a Model for High-Frequency Data pp. 215-225 Rüdiger Frey Value Preserving Strategies and a General Framework for Local Approaches to Optimal Portfolios pp. 227-241 Ralf Korn Multidimensional Variance-Optimal Hedging in Discrete-Time Model-A General Approach pp. 243-257 M. Motoczyński Pricing Via Utility Maximization and Entropy pp. 259-276 Richard Rouge and Nicole El Karoui A Stochastic Control Approach to Risk Management Under Restricted Information pp. 277-288 Wolfgang J. Runggaldier and Anna Zaccaria Portfolio Optimization and Martingale Measures pp. 289-303 Manfred Schäl Option Pricing in Discrete-Time Incomplete Market Models pp. 305-321 Lukasz Stettner On Level Curves of Value Functions in Optimization Models of Expected Utility pp. 323-338 Cristian-Ioan Tiu and Thaleia Zariphopoulou Volume 10, issue 1 , 2000
Equilibrium with Default and Endogenous Collateral pp. 1-21 Aloisio Araújo , Jaime Orrillo and Mario R. Páscoa Endogenous Random Asset Prices in Overlapping Generations Economies pp. 23-38 Volker Böhm , Nicole Deutscher and Jan Wenzelburger The Minimal Entropy Martingale Measure and the Valuation Problem in Incomplete Markets pp. 39-52 Marco Frittelli On the Rate of Convergence of Discrete-Time Contingent Claims pp. 53-75 Steve Heston and Guofu Zhou Approximating Large Diversified Portfolios pp. 77-88 Norbert Hofmann and Eckhard Platen Volume 9, issue 4 , 1999
Pricing General Barrier Options: A Numerical Approach Using Sharp Large Deviations pp. 293-321 Paolo Baldi , Lucia Caramellino and Maria Gabriella Iovino Interest Rate Dynamics and Consistent Forward Rate Curves pp. 323-348 Tomas Björk and Bent Jesper Christensen A Note on the Nelson-Siegel Family pp. 349-359 Damir Filipović Self‐Financing Trading Strategies for Sliding, Rolling‐Horizon, and Consol Bonds pp. 361-385 Marek Rutkowski European‐Type Contingent Claims in an Incomplete Market with Constrained Wealth and Portfolio pp. 387-412 Jiongmin Yong Volume 9, issue 3 , 1999
Coherent Measures of Risk pp. 203-228 Philippe Artzner , Freddy Delbaen , Jean-Marc Eber and David Heath Pricing American Stock Options by Linear Programming pp. 229-254 M. A. H. Dempster and J. P. Hutton The Second Fundamental Theorem of Asset Pricing pp. 255-273 Robert A Jarrow , Xing Jin and Dilip B. Madan Viability and Equilibrium in Securities Markets with Frictions pp. 275-292 Elyès Jouini and Hédi Kallal Volume 9, issue 2 , 1999
Bounds on European Option Prices under Stochastic Volatility pp. 97-116 Rüdiger Frey and Carlos A. Sin Asymptotically Optimal Importance Sampling and Stratification for Pricing Path-Dependent Options pp. 117-152 Paul Glasserman , Philip Heidelberger and Perwez Shahabuddin Controlling Risk Exposure and Dividends Payout Schemes:Insurance Company Example pp. 153-182 Bjarne Hø jgaard and Michael Taksar Generalized Hyperbolic Diffusion Processes with Applications in Finance pp. 183-201 Tina Hviid Rydberg Volume 9, issue 1 , 1999
Currency Prices, the Nominal Exchange Rate, and Security Prices in a Two‐Country Dynamic Monetary Equilibrium pp. 1-30 Suleyman Basak and Michael F. Gallmeyer Term Structure Models Driven by General Lévy Processes pp. 31-53 Ernst Eberlein and Sebastian Raible Step Options pp. 55-96 Vadim Linetsky
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