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Applied Mathematical Finance
1994 - 2012
Edited by Ben Hambly and William Shaw
from Taylor and Francis Journals
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Volume 19, issue 6 , 2012
Assessing the Costs of Protection in a Context of Switching Stochastic Regimes pp. 495-511 Pauline Barrieu , Nadine Bellamy and Jean-Michel sahut Bonds and Options in Exponentially Affine Bond Models pp. 513-534 Hans-Peter Bermin Assessing the Performance of Different Volatility Estimators: A Monte Carlo Analysis pp. 535-552 Álvaro Cartea and Dimitrios Karyampas On the Approximation of the SABR Model: A Probabilistic Approach pp. 553-586 Joanne E. Kennedy , Subhankar Mitra and Duy Pham Volume 19, issue 5 , 2012
The Stochastic Intrinsic Currency Volatility Model: A Consistent Framework for Multiple FX Rates and Their Volatilities pp. 381-445 Paul Doust The Endogenous Price Dynamics of Emission Allowances and an Application to CO2 Option Pricing pp. 447-475 Marc Chesney and Luca Taschini Options on Realized Variance in Log-OU Models pp. 477-494 Gabriel G. Drimus Volume 19, issue 4 , 2012
Determination of the Probability Distribution Measures from Market Option Prices Using the Method of Maximum Entropy in the Mean pp. 299-312 Henryk Gzyl and Silvia Mayoral A General Formula for Option Prices in a Stochastic Volatility Model pp. 313-340 Stephen Chin and Daniel Dufresne On the Spurious Correlation Between Sample Betas and Mean Returns pp. 341-360 Moshe Levy Pricing Fixed-Income Securities in an Information-Based Framework pp. 361-379 Lane P. Hughston and Andrea Macrina Volume 19, issue 3 , 2012
Bias Reduction for Pricing American Options by Least-Squares Monte Carlo pp. 195-217 Kan, Kin Hung (Felix) and R. Mark Reesor Viterbi-Based Estimation for Markov Switching GARCH Model pp. 219-231 Robert J. Elliott , John W. Lau , Hong Miao and Tak Kuen Siu Stochastic Expansion for the Pricing of Call Options with Discrete Dividends pp. 233-264 Pierre Étoré and Emmanuel Gobet Dynamic Portfolio Optimization in Discrete-Time with Transaction Costs pp. 265-298 Colin Atkinson and Gary Quek Volume 19, issue 2 , 2012
Pricing of Parisian Options for a Jump-Diffusion Model with Two-Sided Jumps pp. 97-129 Hansjörg Albrecher , Dominik Kortschak and Xiaowen Zhou The Effect of Correlation and Transaction Costs on the Pricing of Basket Options pp. 131-179 C. Atkinson and P. Ingpochai Comparison of Two Methods for Superreplication pp. 181-193 Erik Ekström and Johan Tysk Volume 19, issue 1 , 2012
On Cross-Currency Models with Stochastic Volatility and Correlated Interest Rates pp. 1-35 Lech A. Grzelak and Cornelis W. Oosterlee New Analytic Approach to Address Put--Call Parity Violation due to Discrete Dividends pp. 37-58 Alexander Buryak and Ivan Guo The Implied Market Price of Weather Risk pp. 59-95 Wolfgang Karl Härdle and Brenda López Cabrera Volume 18, issue 6 , 2011
Option Valuation with a Discrete-Time Double Markovian Regime-Switching Model pp. 473-490 Tak Kuen Siu , Eric S. Fung and Michael K. Ng Good-Deal Bounds in a Regime-Switching Diffusion Market pp. 491-515 Catherine Donnelly Small-Time Asymptotics for an Uncorrelated Local-Stochastic Volatility Model pp. 517-535 Martin Forde and Antoine Jacquier The British Put Option pp. 537-563 Goran Peskir and Farman Samee Volume 18, issue 5 , 2011
Early Exercise Boundary for American Type of Floating Strike Asian Option and Its Numerical Approximation pp. 367-394 Tomáš Bokes and Daniel Ševčovič Mean--Variance Optimal Adaptive Execution pp. 395-422 Julian Lorenz and Robert Almgren Arithmetic Asian Options under Stochastic Delay Models pp. 423-446 Nairn McWilliams and Sotirios Sabanis Closed Form Approximations for Spread Options pp. 447-472 Aanand Venkatramanan and Carol O Alexander Volume 18, issue 4 , 2011
Valuation of Two-Factor Interest Rate Contingent Claims Using Green's Theorem pp. 277-289 Ghulam Sorwar and Giovanni Barone-Adesi Optimal Asset Allocation for Passive Investing with Capital Loss Harvesting pp. 291-329 Daniel Ostrov and Thomas Wong An Affine Two-Factor Heteroskedastic Macro-Finance Term Structure Model pp. 331-352 Peter Spreij , Enno Veerman and Peter Vlaar Characterization of the American Put Option Using Convexity pp. 353-365 Dejun Xie , David Edwards , Gilberto Schleiniger and Qinghua Zhu Volume 18, issue 3 , 2011
The Tick-by-Tick Dynamical Consistency of Price Impact in Limit Order Books pp. 189-205 Damien Challet One-Dimensional Pricing of CPPI pp. 207-225 Louis Paulot and Xavier Lacroze The S&P 500 Index as a Sato Process Travelling at the Speed of the VIX pp. 227-244 Dilip Madan and Marc Yor Exchange Options Under Jump-Diffusion Dynamics pp. 245-276 Gerald Cheang and Carl Chiarella Volume 18, issue 2 , 2011
Hedging of Spatial Temperature Risk with Market-Traded Futures pp. 93-117 Andrea Barth , Fred Espen Benth and Jurgen Potthoff Calibration of Stock Betas from Skews of Implied Volatilities pp. 119-137 Jean-Pierre Fouque and Eli Kollman A Coherent Aggregation Framework for Stress Testing and Scenario Analysis pp. 139-154 Jan Kwiatkowski and Riccardo Rebonato Corrections to the Prices of Derivatives due to Market Incompleteness pp. 155-187 David German Volume 18, issue 1 , 2011
Variance-Optimal Hedging for Time-Changed Levy Processes pp. 1-28 Jan Kallsen and Arnd Pauwels Markowitz's Mean-Variance Asset-Liability Management with Regime Switching: A Multi-Period Model pp. 29-50 Ping Chen and Hailiang Yang A Time-Dependent Variance Model for Pricing Variance and Volatility Swaps pp. 51-70 Joanna Goard On Modelling and Pricing Rainfall Derivatives with Seasonality pp. 71-91 Gunther Leobacher and Philip Ngare Volume 17, issue 6 , 2010
Optimal Basket Liquidation for CARA Investors is Deterministic pp. 471-489 Alexander Schied , Torsten Schoneborn and Michael Tehranchi Approximate Hedging of Contingent Claims under Transaction Costs for General Pay-offs pp. 491-518 Emmanuel Denis Utility-Based Valuation and Hedging of Basis Risk With Partial Information pp. 519-551 Michael Monoyios Volume 17, issue 5 , 2010
Sato Processes in Default Modelling pp. 377-397 Thomas Kokholm and Elisa Nicolato Time Charters with Purchase Options in Shipping: Valuation and Risk Management pp. 399-430 Peter Løchte Jørgensen and Domenico De Giovanni Optimal Execution in a Market with Small Investors pp. 431-451 Ryosuke Ishii Calibration of the Libor Market Model Using Correlations Implied by CMS Spread Options pp. 453-469 Reik Borger and Jan van Heys Volume 17, issue 4 , 2010
Computation of Greeks and Multidimensional Density Estimation for Asset Price Models with Time-Changed Brownian Motion pp. 301-321 Reiichiro Kawai and Arturo Kohatsu-Higa Building an Optimal Portfolio in Discrete Time in the Presence of Transaction Costs pp. 323-357 Colin Atkinson and Emmeline Storey Optimal Market Making in the Foreign Exchange Market pp. 359-372 Luitgard Veraart Comment on: A Note on the Discontinuity Problem in Heston's Stochastic Volatility Model pp. 373-376 Roger Lord Volume 17, issue 3 , 2010
Two Useful Techniques for Financial Modelling Problems pp. 201-210 Paul Doust Analysis of Fourier Transform Valuation Formulas and Applications pp. 211-240 Ernst Eberlein , Kathrin Glau and Antonis Papapantoleon Robust Approximations for Pricing Asian Options and Volatility Swaps Under Stochastic Volatility pp. 241-259 Martin Forde and Antoine Jacquier Asymptotics of Barrier Option Pricing Under the CEV Process pp. 261-300 Fannu Hu and Charles Knessl Volume 17, issue 2 , 2010
Static Replication of Forward-Start Claims and Realized Variance Swaps pp. 99-131 Jan Baldeaux and Marek Rutkowski Comment on 'Correcting for Simulation Bias in Monte Carlo Methods to Value Exotic Options in Models Driven by Levy Processes' by C. Ribeiro and N. Webber pp. 133-146 Martin Becker Real-World Pricing for a Modified Constant Elasticity of Variance Model pp. 147-175 Shane Miller and Eckhard Platen Risk Minimization for a Filtering Micromovement Model of Asset Price pp. 177-199 Kiseop Lee and Yong Zeng Volume 17, issue 1 , 2010
Optimal Weak Static Hedging of Equity and Credit Risk Using Derivatives pp. 1-28 Dirk Becherer and Ian Ward Mean Variance Hedging in a General Jump Model pp. 29-57 Michael Kohlmann , Dewen Xiong and Zhongxing Ye Numerical Methods for Non-Linear Black-Scholes Equations pp. 59-81 Pascal Heider Short Positions, Rally Fears and Option Markets pp. 83-98 Ernst Eberlein and Dilip Madan
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