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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 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 J. 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 A. J. Pelsser
On American Options Under the Variance Gamma Process pp. 131-152 Downloads
Ariel Almendral and Cornelis W. 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 2014-10-24