Applied Mathematical Finance

1994 - 2011

Edited by Ben Hambly and William Shaw

from Taylor and Francis Journals
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Volume 12, issue 4, 2005

Pricing in Electricity Markets: A Mean Reverting Jump Diffusion Model with Seasonality pp. 313-335

Álvaro Cartea and Marcelo G. Figueroa

A Series Solution for Bermudan Options pp. 337-349

Ingmar Evers

Interest Guarantees in Banking pp. 351-370

Ragnar Norberg

Calibration of the SABR Model in Illiquid Markets pp. 371-385

Graeme West

Volume 12, issue 3, 2005

Numerical Procedure for Calibration of Volatility with American Options pp. 201-241

Yves Achdou and Olivier Pironneau

Insider Trading in Convergent Markets pp. 243-252

Mattias Jonsson and Jan Vecer

Sharp Upper and Lower Bounds for Basket Options pp. 253-282

Peter Laurence and Tai-Ho Wang

Modelling Specific Interest Rate Risk with Estimation of Missing Data pp. 283-309

Thomas Siegl and Peter Quell

Volume 12, issue 2, 2005

Consistency Problems for Jump-diffusion Models pp. 101-119

Erhan Bayraktar, Li Chen and H. Vincent Poor

Pricing Quanto Equity Swaps in a Stochastic Interest Rate Economy pp. 121-146

San-Lin Chung and Hsiao-Fen Yang

Stochastic Volatility Model with Time-dependent Skew pp. 147-185

Vladimir Piterbarg

Dynamic Principal Component Analysis of Multivariate Volatility via Fourier Analysis pp. 187-199

Maria Elvira Mancino and Roberto Renò

Volume 12, issue 1, 2005

Mean-Semivariance Efficient Frontier: A Downside Risk Model for Portfolio Selection pp. 1-15

Enrique Ballestero

The Dynamic Interaction of Speculation and Diversification pp. 17-52

Carl Chiarella, Roberto Dieci and Laura Gardini

Stochastic Modelling of Temperature Variations with a View Towards Weather Derivatives pp. 53-85

Fred Espen Benth and Jurate Saltyte-Benth

A Re-Examination of Sharpe's Ratio for Log-Normal Prices pp. 87-100

John L. Knight and Stephen Satchell

Volume 11, issue 4, 2004

Money, prices and interest rates in a non-aggregate stochastic general equilibrium model pp. 283-316

Pedro Gutierrez

On the pricing and hedging of volatility derivatives pp. 317-346

Sam Howison, Avraam Rafailidis and Henrik Rasmussen

Stochastic volatility Gaussian Heath-Jarrow-Morton models pp. 347-368

Stoyan Valchev

Volume 11, issue 3, 2004

Two extensions for fitting discrete time term structure models with normally distributed factors pp. 187-205

Senay Ağca and Don Chance

Pricing American currency options in an exponential Levy model pp. 207-225

Marc Chesney and M. Jeanblanc

Valuing risky income streams in incomplete markets pp. 227-258

C. Johnson, Y. Omar and P. Ouwehand

Calculating hedge fund risk: the draw down and the maximum draw down pp. 259-282

Alessio Sancetta and Steve Satchell

Volume 11, issue 2, 2004

Multi-asset portfolio optimization with transaction cost pp. 95-123

C. Atkinson and S. Mokkhavesa

Modelling credit default swap spreads by means of normal mixtures and copulas pp. 125-146

Marco Bee

Comparison of the performance of a time-dependent short-interest rate model with time-independent models pp. 147-164

Joanna Goard and Noel Hansen

A dynamic binomial expansion technique for credit risk measurement: a Bayesian filtering approach pp. 165-186

Wing Hoe Woo and Tak Kuen Siu

Volume 11, issue 1, 2004

Dynamic programming and mean-variance hedging in discrete time pp. 1-25

Aleš Černý

Multiple time scales in volatility and leverage correlations: a stochastic volatility model pp. 27-50

Josep Perelló, Jaume Masoliver and Jean-Philippe Bouchaud

A possible way of estimating options with stable distributed underlying asset prices pp. 51-75

C. Tsibiridi and C. Atkinson

Hitting time and time change pp. 77-94

Victor Vaugirard

Volume 10, issue 4, 2003

Intertemporal portfolio optimization with small transaction costs and stochastic variance pp. 267-302

C. Atkinson and S. Mokkhavesa

On arbitrage-free pricing of weather derivatives based on fractional Brownian motion pp. 303-324

Fred Espen Benth

A note on arbitrage-free pricing of forward contracts in energy markets pp. 325-336

Fred Espen Benth, Lars Ekeland, Ragnar Hauge and BjøRn Fredrik Nielsen

Tail behaviour of credit loss distributions for general latent factor models pp. 337-357

André Lucas, Pieter Klaassen, Peter Spreij and Stefan T.M. Straetmans

Volume 10, issue 3, 2003

Interest rate model calibration using semidefinite Programming pp. 183-213

A. D'Aspremont,

On parabolic equations with gauge function term and applications to the multidimensional Leland equation pp. 215-228

Jorg Kampen and Marco Avellaneda

A valuation model for firms with stochastic earnings pp. 229-243

Steven Li

Multi-asset barrier options and occupation time derivatives pp. 245-266

Hoi Ying Wong and Yue-Kuen Kwok

Volume 10, issue 2, 2003

Tracking error decision rules and accumulated wealth pp. 91-119

Nathan Berg and Donald Lien

Stock options as barrier contingent claims pp. 121-147

Jan Ericsson and Joel Reneby

Modelling day-ahead electricity prices pp. 149-161

Juri Hinz

Minimizing coherent risk measures of shortfall in discrete-time models with cone constraints pp. 163-181

Yumiharu Nakano

Volume 10, issue 1, 2003

Optimal execution with nonlinear impact functions and trading-enhanced risk pp. 1-18

Robert Almgren

Contingent claim pricing using probability distortion operators: methods from insurance risk pricing and their relationship to financial theory pp. 19-47

Mahmoud Hamada and Michael Sherris

A new approximate swaption formula in the LIBOR market model: an asymptotic expansion approach pp. 49-74

Atsushi Kawai

Valuing catastrophe bonds by Monte Carlo simulations pp. 75-90

Victor Vaugirard

Volume 9, issue 4, 2002

Statistical properties of the sample semi-variance pp. 219-239

Shaun Bond and Stephen Satchell

Utility based pricing of contingent claims in incomplete markets pp. 241-260

Andrea Gam and Paolo Pellizzari

Option pricing for large agents pp. 261-272

Mattias Jonsson and Jussi Keppo

A survey of sampling-based Bayesian analysis of financial data pp. 273-291

James Sfiridis and Alan Gelfand

Volume 9, issue 3, 2002

A model of speculative behaviour with a strange attractor pp. 143-161

Fernando Fernandez-Rodriguez, Maria-Dolores Garcia-Artiles and Juan Manuel Martin-Gonzalez

Efficient option valuation using trees pp. 163-178

David Heath and Stefano Herzel

Estimating volatility on overlapping returns when returns are autocorrelated pp. 179-188

Roy Kluitman and Philip Hans Franses

L 2 -discrete hedging in a continuous-time model pp. 189-217

Faouzi Trabelsi and Abdelhamid Trad

Volume 9, issue 2, 2002

Bivariate option pricing with copulas pp. 69-85

U. Cherubini and Elisa Luciano

The European options hedge perfectly in a Poisson-Gaussian stock market model pp. 87-102

C. Mancini

On superhedging under delta constraints pp. 103-121

Jun Sekine

American options under uncertain volatility pp. 123-141

Adam Smith

Volume 9, issue 1, 2002

On modelling and pricing weather derivatives pp. 1-20

Peter Alaton, Boualem Djehiche and David Stillberger

Energy futures prices: term structure models with Kalman filter estimation pp. 21-43

Mihaela Manoliu and Stathis Tompaidis

Basics of electricity derivative pricing in competitive markets pp. 45-60

Iivo Vehvilainen

A note on adjusting correlation matrices pp. 61-67

A. Leon, Josep E. Peris, Jose Angel Silva and Begoña Subiza