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Applied Mathematical Finance
1994 - 2011
Edited by Ben Hambly and William Shaw
from Taylor and Francis Journals
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Volume 15, issue 5-6 , 2008
INTRODUCTION pp. 403-404 Helyette Geman Pricing Asset Scheduling Flexibility using Optimal Switching pp. 405-447 Rene Carmona and Michael Ludkovski Asymptotic Pricing of Commodity Derivatives using Stochastic Volatility Spot Models pp. 449-477 Samuel Hikspoors and Sebastian Jaimungal Pricing of Swing Options in a Mean Reverting Model with Jumps pp. 479-502 Mats Kjaer Hydropower with Financial Information pp. 503-529 E. Nasakkala and J. Keppo A Lattice-Based Method for Pricing Electricity Derivatives Under the Threshold Model pp. 531-567 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 Grzegorz Halaj Finite-dimensional Realizations of Regime-switching HJM Models pp. 331-354 Mikael Elhouar Modelling the Temperature Time-dependent Speed of Mean Reversion in the Context of Weather Derivatives Pricing pp. 355-386 A. Zapranis and A. Alexandridis Two Exotic Lookback Options pp. 387-402 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 Mahmoud Zarepour , Thierry Bedard and Andre Dabrowski Empirical Evaluation of Hybrid Defaultable Bond Pricing Models pp. 219-249 S. Antes , M. Ilg , B. Schmid and R. Zagst Hedging Large Portfolios of Options in Discrete Time pp. 251-275 B. Peeters , C. L. Dert and André Lucas Pricing Options on Defaultable Stocks pp. 277-304 E. Bayraktar Volume 15, issue 2 , 2008
Weak Approximation of Stochastic Differential Equations and Application to Derivative Pricing pp. 107-121 Syoiti Ninomiya and Nicolas Victoir General Lower Bounds for Arithmetic Asian Option Prices pp. 123-149 H. Albrecher , P. A. Mayer and W. Schoutens Stochastic Volatility: Option Pricing using a Multinomial Recombining Tree pp. 151-181 Ionuţ Florescu and Frederi Viens A Structural Model with Unobserved Default Boundary pp. 183-203 Thorsten Schmidt and Alexander Novikov Volume 15, issue 1 , 2008
Valuation of Performance-Dependent Options pp. 1-20 Thomas Gerstner and Markus Holtz Market Influence of Portfolio Optimizers pp. 21-40 Suhas Nayak and George Papanicolaou Using Affine Jump Diffusion Models for Modelling and Pricing Electricity Derivatives pp. 41-71 N. K. Nomikos and O. Soldatos Multiscale Intensity Models for Single Name Credit Derivatives pp. 73-105 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 Carl Chiarella , Christina Nikitopoulos-Sklibosios and Erik Schlogl Optimal Financial Portfolios pp. 401-436 S. V. Stoyanov , S. T. Rachev and F. J. Fabozzi Convex Hedging in Incomplete Markets pp. 437-452 Birgit Rudloff An Improved Binomial Lattice Method for Multi-Dimensional Options pp. 453-475 Andrea Gamba and Lenos Trigeorgis Volume 14, issue 4 , 2007
Mean Reversion Level Extensions of Time-Homogeneous Affine Term Structure Models pp. 291-302 Oh Kang Kwon Indifference Pricing and Hedging for Volatility Derivatives pp. 303-317 M. R. Grasselli and T. R. Hurd Mean-Reverting Market Model: Speculative Opportunities and Non-Arbitrage pp. 319-337 Nikolai Dokuchaev A Note on the Discontinuity Problem in Heston's Stochastic Volatility Model pp. 339-345 Jia-Hau Guo and Mao-Wei Hung Valuing Volatility and Variance Swaps for a Non-Gaussian Ornstein-Uhlenbeck Stochastic Volatility Model pp. 347-363 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 Mark Joshi Approximate Formulas for Zero-coupon Bonds pp. 207-226 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 Alessio Sancetta and Steve E. Satchell Term Structure Models with Parallel and Proportional Shifts pp. 243-260 Fredrik Armerin , Bjarne Astrup Jensen and Tomas Bjork Using Utility Functions to Model Risky Bonds pp. 261-289 Joanna Goard Volume 14, issue 2 , 2007
Level-Slope-Curvature - Fact or Artefact? pp. 105-130 Roger Lord and Antoon A. J. Pelsser On American Options Under the Variance Gamma Process pp. 131-152 Ariel Almendral and Cornelis W. Oosterlee A Non-Gaussian Ornstein-Uhlenbeck Process for Electricity Spot Price Modeling and Derivatives Pricing pp. 153-169 Fred Espen Benth , Jan Kallsen and Thilo Meyer-Brandis The Levy Swap Market Model pp. 171-196 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 James Primbs , Muruhan Rathinam and Yuji Yamada Pricing of Multi-Defaultable Bonds with a Two-Correlated-Factor Hull-White Model pp. 19-39 Leonard Tchuindjo Pricing Volatility Swaps Under Heston's Stochastic Volatility Model with Regime Switching pp. 41-62 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 Sam Howison and Mario Steinberg A Matched Asymptotic Expansions Approach to Continuity Corrections for Discretely Sampled Options. Part 2: Bermudan Options pp. 91-104 Sam Howison Volume 13, issue 4 , 2006
Optimum Constrained Portfolio Rules in a Diffusion Market pp. 285-307 Fernando Durrell An EZI Method to Reduce the Rank of a Correlation Matrix in Financial Modelling pp. 309-331 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 Claudia Ribeiro and Nick Webber Numerical Methods and Volatility Models for Valuing Cliquet Options pp. 353-386 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 C. Atkinson and C. A. Alexandropoulos Stochastic Volatility Effects on Defaultable Bonds pp. 215-244 Jean-Pierre Fouque , Ronnie Sircar and Knut Sølna On Estimation of Volatility Surface and Prediction of Future Spot Volatility pp. 245-263 Fima Klebaner , Truc Le and Robert Liptser Efficient Pricing of Derivatives on Assets with Discrete Dividends pp. 265-284 M. H. Vellekoop and J. W. Nieuwenhuis Volume 13, issue 2 , 2006
Interpolation Methods for Curve Construction pp. 89-129 Patrick Hagan and Graeme West Liquidity Risk with Coherent Risk Measures pp. 131-141 Hyejin Ku Arbitrary Initial Term Structure within the CIR Model: A Perturbative Solution pp. 143-153 Carlo Mari and Roberto Renò Pricing Lookback Options with Knock-out Boundaries pp. 155-190 Yoshifumi Muroi Volume 13, issue 1 , 2006
A Semi-Explicit Approach to Canary Swaptions in HJM One-Factor Model pp. 1-18 Marc Henrard On the Distributional Characterization of Daily Log-Returns of a World Stock Index pp. 19-38 Kevin Fergusson and Eckhard Platen A Theoretically Consistent Version of the Nelson and Siegel Class of Yield Curve Models pp. 39-59 Leo Krippner Exact Superreplication Strategies for a Class of Derivative Assets pp. 61-87 Joel Vanden
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