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Applied Mathematical Finance

1994 - 2014

Current editor(s): Professor Ben Hambly and Christoph Reisinger

from Taylor & 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 Downloads
Álvaro Cartea and Marcelo G. Figueroa
A Series Solution for Bermudan Options pp. 337-349 Downloads
Ingmar Evers
Interest Guarantees in Banking pp. 351-370 Downloads
Ragnar Norberg
Calibration of the SABR Model in Illiquid Markets pp. 371-385 Downloads
Graeme West

Volume 12, issue 3, 2005

Numerical Procedure for Calibration of Volatility with American Options pp. 201-241 Downloads
Yves Achdou and Olivier Pironneau
Insider Trading in Convergent Markets pp. 243-252 Downloads
Mattias Jonsson and Jan Vecer
Sharp Upper and Lower Bounds for Basket Options pp. 253-282 Downloads
Peter Laurence and Tai-Ho Wang
Modelling Specific Interest Rate Risk with Estimation of Missing Data pp. 283-309 Downloads
Thomas Siegl and Peter Quell

Volume 12, issue 2, 2005

Consistency Problems for Jump-diffusion Models pp. 101-119 Downloads
Erhan Bayraktar, Li Chen and H. Vincent Poor
Pricing Quanto Equity Swaps in a Stochastic Interest Rate Economy pp. 121-146 Downloads
San-Lin Chung and Hsiao-Fen Yang
Stochastic Volatility Model with Time-dependent Skew pp. 147-185 Downloads
Vladimir Piterbarg
Dynamic Principal Component Analysis of Multivariate Volatility via Fourier Analysis pp. 187-199 Downloads
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 Downloads
Enrique Ballestero
The Dynamic Interaction of Speculation and Diversification pp. 17-52 Downloads
Carl Chiarella, Roberto Dieci and Laura Gardini
Stochastic Modelling of Temperature Variations with a View Towards Weather Derivatives pp. 53-85 Downloads
Fred Espen Benth and Jurate Saltyte-Benth
A Re-Examination of Sharpe's Ratio for Log-Normal Prices pp. 87-100 Downloads
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 Downloads
Pedro Gutierrez
On the pricing and hedging of volatility derivatives pp. 317-346 Downloads
Sam Howison, Avraam Rafailidis and Henrik Rasmussen
Stochastic volatility Gaussian Heath-Jarrow-Morton models pp. 347-368 Downloads
Stoyan Valchev

Volume 11, issue 3, 2004

Two extensions for fitting discrete time term structure models with normally distributed factors pp. 187-205 Downloads
Senay Ağca and Don Chance
Pricing American currency options in an exponential Levy model pp. 207-225 Downloads
Marc Chesney and M. Jeanblanc
Valuing risky income streams in incomplete markets pp. 227-258 Downloads
C. Johnson, Y. Omar and P. Ouwehand
Calculating hedge fund risk: the draw down and the maximum draw down pp. 259-282 Downloads
Alessio Sancetta and Steve Satchell

Volume 11, issue 2, 2004

Multi-asset portfolio optimization with transaction cost pp. 95-123 Downloads
C. Atkinson and S. Mokkhavesa
Modelling credit default swap spreads by means of normal mixtures and copulas pp. 125-146 Downloads
Marco Bee
Comparison of the performance of a time-dependent short-interest rate model with time-independent models pp. 147-164 Downloads
Joanna Goard and Noel Hansen
A dynamic binomial expansion technique for credit risk measurement: a Bayesian filtering approach pp. 165-186 Downloads
Wing Hoe Woo and Tak Kuen Siu

Volume 11, issue 1, 2004

Dynamic programming and mean-variance hedging in discrete time pp. 1-25 Downloads
Ales Cerny
Multiple time scales in volatility and leverage correlations: a stochastic volatility model pp. 27-50 Downloads
Josep Perelló, Jaume Masoliver and Jean-Philippe Bouchaud
A possible way of estimating options with stable distributed underlying asset prices pp. 51-75 Downloads
C. Tsibiridi and C. Atkinson
Hitting time and time change pp. 77-94 Downloads
Victor Vaugirard

Volume 10, issue 4, 2003

Intertemporal portfolio optimization with small transaction costs and stochastic variance pp. 267-302 Downloads
C. Atkinson and S. Mokkhavesa
On arbitrage-free pricing of weather derivatives based on fractional Brownian motion pp. 303-324 Downloads
Fred Espen Benth
A note on arbitrage-free pricing of forward contracts in energy markets pp. 325-336 Downloads
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 Downloads
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 Downloads
D'Aspremont, A.
On parabolic equations with gauge function term and applications to the multidimensional Leland equation pp. 215-228 Downloads
Jorg Kampen and Marco Avellaneda
A valuation model for firms with stochastic earnings pp. 229-243 Downloads
Steven Li
Multi-asset barrier options and occupation time derivatives pp. 245-266 Downloads
Hoi Ying Wong and Yue-Kuen Kwok

Volume 10, issue 2, 2003

Tracking error decision rules and accumulated wealth pp. 91-119 Downloads
Nathan Berg and Donald Lien
Stock options as barrier contingent claims pp. 121-147 Downloads
Jan Ericsson and Joel Reneby
Modelling day-ahead electricity prices pp. 149-161 Downloads
Juri Hinz
Minimizing coherent risk measures of shortfall in discrete-time models with cone constraints pp. 163-181 Downloads
Yumiharu Nakano

Volume 10, issue 1, 2003

Optimal execution with nonlinear impact functions and trading-enhanced risk pp. 1-18 Downloads
Robert Almgren
Contingent claim pricing using probability distortion operators: methods from insurance risk pricing and their relationship to financial theory pp. 19-47 Downloads
Mahmoud Hamada and Michael Sherris
A new approximate swaption formula in the LIBOR market model: an asymptotic expansion approach pp. 49-74 Downloads
Atsushi Kawai
Valuing catastrophe bonds by Monte Carlo simulations pp. 75-90 Downloads
Victor Vaugirard

Volume 9, issue 4, 2002

Statistical properties of the sample semi-variance pp. 219-239 Downloads
Shaun Bond and Stephen Satchell
Utility based pricing of contingent claims in incomplete markets pp. 241-260 Downloads
Andrea Gam and Paolo Pellizzari
Option pricing for large agents pp. 261-272 Downloads
Mattias Jonsson and Jussi Keppo
A survey of sampling-based Bayesian analysis of financial data pp. 273-291 Downloads
James Sfiridis and Alan Gelfand

Volume 9, issue 3, 2002

A model of speculative behaviour with a strange attractor pp. 143-161 Downloads
Fernando Fernandez-Rodriguez, Maria-Dolores Garcia-Artiles and Juan Manuel Martin-Gonzalez
Efficient option valuation using trees pp. 163-178 Downloads
David Heath and Stefano Herzel
Estimating volatility on overlapping returns when returns are autocorrelated pp. 179-188 Downloads
Roy Kluitman and Philip Hans Franses
L 2 -discrete hedging in a continuous-time model pp. 189-217 Downloads
Faouzi Trabelsi and Abdelhamid Trad

Volume 9, issue 2, 2002

Bivariate option pricing with copulas pp. 69-85 Downloads
U. Cherubini and Elisa Luciano
The European options hedge perfectly in a Poisson-Gaussian stock market model pp. 87-102 Downloads
C. Mancini
On superhedging under delta constraints pp. 103-121 Downloads
Jun Sekine
American options under uncertain volatility pp. 123-141 Downloads
Adam Smith

Volume 9, issue 1, 2002

On modelling and pricing weather derivatives pp. 1-20 Downloads
Peter Alaton, Boualem Djehiche and David Stillberger
Energy futures prices: term structure models with Kalman filter estimation pp. 21-43 Downloads
Mihaela Manoliu and Stathis Tompaidis
Basics of electricity derivative pricing in competitive markets pp. 45-60 Downloads
Iivo Vehvilainen
A note on adjusting correlation matrices pp. 61-67 Downloads
A. Leon, Josep E. Peris, Jose Angel Silva and Begoña Subiza
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