Economics at your fingertips  

Applied Mathematical Finance

1994 - 2014

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

from Taylor & Francis Journals
Series data maintained by Michael McNulty ().

Access Statistics for this journal.
Track citations for all items by RSS feed
Is something missing from the series or not right? See the RePEc data check for the archive and series.

Volume 15, issue 5-6, 2008

INTRODUCTION pp. 403-404 Downloads
Helyette Geman
Pricing Asset Scheduling Flexibility using Optimal Switching pp. 405-447 Downloads
Rene Carmona and Michael Ludkovski
Asymptotic Pricing of Commodity Derivatives using Stochastic Volatility Spot Models pp. 449-477 Downloads
Samuel Hikspoors and Sebastian Jaimungal
Pricing of Swing Options in a Mean Reverting Model with Jumps pp. 479-502 Downloads
Mats Kjaer
Hydropower with Financial Information pp. 503-529 Downloads
E. Nasakkala and J. Keppo
A Lattice-Based Method for Pricing Electricity Derivatives Under the Threshold Model pp. 531-567 Downloads
Helyette Geman and Stelios Kourouvakalis

Volume 15, issue 4, 2008

Risk-based Decisions on the Asset Structure of a Bank under Partial Economic Information pp. 305-329 Downloads
Grzegorz Halaj
Finite-dimensional Realizations of Regime-switching HJM Models pp. 331-354 Downloads
Mikael Elhouar
Modelling the Temperature Time-dependent Speed of Mean Reversion in the Context of Weather Derivatives Pricing pp. 355-386 Downloads
A. Zapranis and A. Alexandridis
Two Exotic Lookback Options pp. 387-402 Downloads
Hans-Peter Bermin, Peter Buchen and Otto Konstandatos

Volume 15, issue 3, 2008

Return and Value at Risk using the Dirichlet Process pp. 205-218 Downloads
Mahmoud Zarepour, Thierry Bedard and Andre Dabrowski
Empirical Evaluation of Hybrid Defaultable Bond Pricing Models pp. 219-249 Downloads
S. Antes, M. Ilg, B. Schmid and R. Zagst
Hedging Large Portfolios of Options in Discrete Time pp. 251-275 Downloads
B. Peeters, C. L. Dert and André Lucas
Pricing Options on Defaultable Stocks pp. 277-304 Downloads
Erhan Bayraktar

Volume 15, issue 2, 2008

Weak Approximation of Stochastic Differential Equations and Application to Derivative Pricing pp. 107-121 Downloads
Syoiti Ninomiya and Nicolas Victoir
General Lower Bounds for Arithmetic Asian Option Prices pp. 123-149 Downloads
H. Albrecher, P. A. Mayer and W. Schoutens
Stochastic Volatility: Option Pricing using a Multinomial Recombining Tree pp. 151-181 Downloads
Ionuţ Florescu and Frederi Viens
A Structural Model with Unobserved Default Boundary pp. 183-203 Downloads
Thorsten Schmidt and Alexander Novikov

Volume 15, issue 1, 2008

Valuation of Performance-Dependent Options pp. 1-20 Downloads
Thomas Gerstner and Markus Holtz
Market Influence of Portfolio Optimizers pp. 21-40 Downloads
Suhas Nayak and George Papanicolaou
Using Affine Jump Diffusion Models for Modelling and Pricing Electricity Derivatives pp. 41-71 Downloads
N. K. Nomikos and O. Soldatos
Multiscale Intensity Models for Single Name Credit Derivatives pp. 73-105 Downloads
E. Papageorgiou and R. Sircar

Volume 14, issue 5, 2007

A Control Variate Method for Monte Carlo Simulations of Heath-Jarrow-Morton Models with Jumps pp. 365-399 Downloads
Carl Chiarella, Christina Nikitopoulos-Sklibosios and Erik Schlogl
Optimal Financial Portfolios pp. 401-436 Downloads
S. V. Stoyanov, S. T. Rachev and Frank Fabozzi
Convex Hedging in Incomplete Markets pp. 437-452 Downloads
Birgit Rudloff
An Improved Binomial Lattice Method for Multi-Dimensional Options pp. 453-475 Downloads
Andrea Gamba and Lenos Trigeorgis

Volume 14, issue 4, 2007

Mean Reversion Level Extensions of Time-Homogeneous Affine Term Structure Models pp. 291-302 Downloads
Oh Kang Kwon
Indifference Pricing and Hedging for Volatility Derivatives pp. 303-317 Downloads
M. R. Grasselli and T. R. Hurd
Mean-Reverting Market Model: Speculative Opportunities and Non-Arbitrage pp. 319-337 Downloads
Nikolai Dokuchaev
A Note on the Discontinuity Problem in Heston's Stochastic Volatility Model pp. 339-345 Downloads
Jia-Hau Guo and Mao-Wei Hung
Valuing Volatility and Variance Swaps for a Non-Gaussian Ornstein-Uhlenbeck Stochastic Volatility Model pp. 347-363 Downloads
Fred Espen Benth, Martin Groth and Rodwell Kufakunesu

Volume 14, issue 3, 2007

A Simple Derivation of and Improvements to Jamshidian's and Rogers' Upper Bound Methods for Bermudan Options pp. 197-205 Downloads
Mark Joshi
Approximate Formulas for Zero-coupon Bonds pp. 207-226 Downloads
Fabricio Tourrucoo, Patrick S. Hagan and Gilberto F. Schleiniger
Changing Correlation and Equity Portfolio Diversification Failure for Linear Factor Models during Market Declines* pp. 227-242 Downloads
Alessio Sancetta and Steve E. Satchell
Term Structure Models with Parallel and Proportional Shifts pp. 243-260 Downloads
Fredrik Armerin, Bjarne Astrup Jensen and Tomas Bjork
Using Utility Functions to Model Risky Bonds pp. 261-289 Downloads
Joanna Goard

Volume 14, issue 2, 2007

Level-Slope-Curvature - Fact or Artefact? pp. 105-130 Downloads
Roger Lord and Antoon Pelsser
On American Options Under the Variance Gamma Process pp. 131-152 Downloads
Ariel Almendral and Cornelis Oosterlee
A Non-Gaussian Ornstein-Uhlenbeck Process for Electricity Spot Price Modeling and Derivatives Pricing pp. 153-169 Downloads
Fred Espen Benth, Jan Kallsen and Thilo Meyer-Brandis
The Levy Swap Market Model pp. 171-196 Downloads
E. Eberlein and J. Liinev

Volume 14, issue 1, 2007

Option Pricing with a Pentanomial Lattice Model that Incorporates Skewness and Kurtosis pp. 1-17 Downloads
James Primbs, Muruhan Rathinam and Yuji Yamada
Pricing of Multi-Defaultable Bonds with a Two-Correlated-Factor Hull-White Model pp. 19-39 Downloads
Leonard Tchuindjo
Pricing Volatility Swaps Under Heston's Stochastic Volatility Model with Regime Switching pp. 41-62 Downloads
Robert Elliott, Tak Kuen Siu and Leunglung Chan
A Matched Asymptotic Expansions Approach to Continuity Corrections for Discretely Sampled Options. Part 1: Barrier Options pp. 63-89 Downloads
Sam Howison and Mario Steinberg
A Matched Asymptotic Expansions Approach to Continuity Corrections for Discretely Sampled Options. Part 2: Bermudan Options pp. 91-104 Downloads
Sam Howison

Volume 13, issue 4, 2006

Optimum Constrained Portfolio Rules in a Diffusion Market pp. 285-307 Downloads
Fernando Durrell
An EZI Method to Reduce the Rank of a Correlation Matrix in Financial Modelling pp. 309-331 Downloads
Massimo Morini and Nick Webber
Correcting for Simulation Bias in Monte Carlo Methods to Value Exotic Options in Models Driven by Levy Processes pp. 333-352 Downloads
Claudia Ribeiro and Nick Webber
Numerical Methods and Volatility Models for Valuing Cliquet Options pp. 353-386 Downloads
H. A. Windcliff, P. A. Forsyth and K. R. Vetzal

Volume 13, issue 3, 2006

Pricing a European Basket Option in the Presence of Proportional Transaction Costs pp. 191-214 Downloads
C. Atkinson and C. A. Alexandropoulos
Stochastic Volatility Effects on Defaultable Bonds pp. 215-244 Downloads
Jean-Pierre Fouque, Ronnie Sircar and Knut Sølna
On Estimation of Volatility Surface and Prediction of Future Spot Volatility pp. 245-263 Downloads
Fima Klebaner, Truc Le and Robert Liptser
Efficient Pricing of Derivatives on Assets with Discrete Dividends pp. 265-284 Downloads
M. H. Vellekoop and J. W. Nieuwenhuis

Volume 13, issue 2, 2006

Interpolation Methods for Curve Construction pp. 89-129 Downloads
Patrick Hagan and Graeme West
Liquidity Risk with Coherent Risk Measures pp. 131-141 Downloads
Hyejin Ku
Arbitrary Initial Term Structure within the CIR Model: A Perturbative Solution pp. 143-153 Downloads
Carlo Mari and Roberto Renò
Pricing Lookback Options with Knock-out Boundaries pp. 155-190 Downloads
Yoshifumi Muroi

Volume 13, issue 1, 2006

A Semi-Explicit Approach to Canary Swaptions in HJM One-Factor Model pp. 1-18 Downloads
Marc Henrard
On the Distributional Characterization of Daily Log-Returns of a World Stock Index pp. 19-38 Downloads
Kevin Fergusson and Eckhard Platen
A Theoretically Consistent Version of the Nelson and Siegel Class of Yield Curve Models pp. 39-59 Downloads
Leo Krippner
Exact Superreplication Strategies for a Class of Derivative Assets pp. 61-87 Downloads
Joel Vanden
Page updated 2015-01-28