Applied Mathematical Finance

1994 - 2012

Edited by Ben Hambly and William Shaw

from Taylor and Francis Journals
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Volume 5, issue 3-4, 1998

A framework for valuing corporate securities pp. 143-163

Jan Ericsson and Joel Reneby

Option pricing in incomplete discrete markets pp. 165-179

Grazyna Wolczynska

The predictive power of price patterns pp. 181-205

G. Caginalp and H. Laurent

Pricing stock and bond derivatives with a multi-factor Gaussian model pp. 207-225

Isabelle Bajeux-Besnainou and Roland Portait

Random walk duality and the valuation of discrete lookback options pp. 227-240

Farid Aitsahlia and Tzeung Le Lai

Volume 5, issue 2, 1998

Good point methods for computing prices and sensitivities of multi-asset European style options pp. 83-106

Raymond Ross

Optimal exercise boundary for an American put option pp. 107-116

Rachel Kuske and Joseph Keller

A theoretical investigation of randomized asset allocation strategies pp. 117-130

Moshe Arye Milevsky and Steven Posner

Coupling backward induction with Monte Carlo simulations: a fast Fourier transform (FFT) approach pp. 131-141

Riccardo Rebonato and Ian Cooper

Volume 5, issue 1, 1998

Detecting mean reversion within reflecting barriers: application to the European Exchange Rate Mechanism pp. 1-15

Clifford Ball and Antonio Roma

An explicit finite difference approach to the pricing of barrier options pp. 17-43

Phelim Boyle and Yisong Tian

General Black-Scholes models accounting for increased market volatility from hedging strategies pp. 45-82

K. Ronnie Sircar and George Papanicolaou

Volume 4, issue 4, 1997

Interest rate futures: estimation of volatility parameters in an arbitrage-free framework pp. 181-199

Ramaprasad Bhar and Carl Chiarella

Moment condition failure in stock returns: UK evidence pp. 201-206

M. F. Omran

On the relative efficiency of nth order and DARA stochastic dominance rules pp. 207-222

Antonella Basso and Paolo Pianca

A class of arbitrage-free log-normal-short-rate two-factor models pp. 223-236

Riccardo Rebonato

Volume 4, issue 3, 1997

Fuzzy measures and asset prices: accounting for information ambiguity pp. 135-149

Umberto Cherubini

A note on the Flesaker-Hughston model of the term structure of interest rates pp. 151-163

Marek Rutkowski

A theoretical analysis of trading rules: an application to the moving average case with Markovian returns pp. 165-180

Emmanuel Acar and Stephen Satchell

Volume 4, issue 2, 1997

An E-ARCH model for the term structure of implied volatility of FX options pp. 81-100

Yingzi Zhu and Marco Avellaneda

Markovian spot rate dynamics with stochastic volatility structures pp. 101-108

K. T. Au, A. B. Sim and D. C. Thurston

On an investment-consumption model with transaction costs: an asymptotic analysis pp. 109-133

C. Atkinson and B. Al-Ali

Volume 4, issue 1, 1997

Fast numerical valuation of American, exotic and complex options pp. 1-20

M. A. H. Dempster and J. P. Hutton

Misspecified asset price models and robust hedging strategies pp. 21-36

Hyungsok Ahn Adviti and Glen Swindle

Calibrating volatility surfaces via relative-entropy minimization pp. 37-64

Marco Avellaneda, Craig Friedman, Richard Holmes and Dominick Samperi

Some applications of L2-hedging with a non-negative wealth process pp. 65-79

Ralf Korn

Volume 3, issue 4, 1996

Valuation of sinking-fund bonds in the Vasicek and CIR frameworks*Financial support from Murst Fondo 40% on 'Modelli di struttura a termine dei tassi d'interesse' is gratefully acknowledged pp. 269-394

Anna Rita Bacinello, Fulvio Ortu and Patrizia Stucchi

A systematic approach to pricing and hedging international derivatives with interest rate risk: analysis of international derivatives under stochastic interest rates pp. 295-317

Rudiger Frey and Daniel Sommer

Binomial models for option valuation - examining and improving convergence pp. 319-346

Dietmar Leisen and Matthias Reimer

Arbitrage pricing with incomplete markets pp. 347-363

Mark Britten-Jones and Anthony Neuberger

Volume 3, issue 3, 1996

The use and pricing of convertible bonds pp. 167-190

Kjell G. Nyborg

Financial leverage strategy with transaction costs pp. 191-208

C. N. Bagley and U. Yaari

The pricing of Asian options under stochastic interest rates pp. 209-236

J. A. Nielsen and Klaus Sandmann

Valuation and hedging of contingent claims in the HJM model with deterministic volatilities pp. 237-267

M. Rutkowski

Volume 3, issue 2, 1996

Bond, futures and option evaluation in the quadratic interest rate model pp. 93-115

Farshid Jamshidian

Investment diversification and investment specialization and the assumed holding period pp. 117-134

Haim Levy

Option pricing with hedging at fixed trading dates pp. 135-158

Fabio Mercurio and Ton Vorst

Models of information aggregation in financial markets: a review pp. 159-166

Michel Habib and Narayan Naik

Volume 3, issue 1, 1996

Toward real-time pricing of complex financial derivatives pp. 1-20

S. Ninomiya and S. Tezuka

Managing the volatility risk of portfolios of derivative securities: the Lagrangian uncertain volatility model pp. 21-52

Marco Avellaneda and Antonio ParAS

Default risk and derivative products pp. 53-70

Ian Cooper and Marcel Martin

Compound and exchange options in the affine term structure model pp. 75-92

Olivier Scaillet

Volume 2, issue 4, 1995

PDE Models for Pricing Stocks and Options With Memory Feedback pp. 211-224

Robert Peszek

Statistical inference and modelling of momentum in stock prices pp. 225-242

G. Caginalp and G. Constantine

Risk arbitrage in the Nikkei put warrant market of 1989-1990 pp. 243-272

J. Shaw, E. O. Thorp and W. T. Ziemba

Lookback options with discrete and partial monitoring of the underlying price pp. 273-284

R. C. Heynen and H. M. Kat

Volume 2, issue 3, 1995

A multiplicative model for volume and volatility pp. 135-154

Rob Bauer and Fred Nieuwland

Statistical modelling of asymmetric risk in asset returns pp. 155-172

J. L. Knight, S. E. Satchell and Kien C. Tran

Two extensions to barrier option valuation pp. 173-209

P. Carr

Volume 2, issue 2, 1995

Pricing and hedging derivative securities in markets with uncertain volatilities pp. 73-88

M. Avellaneda, A. Levy and A. ParAS

Genetic algorithms and applications to finance pp. 89-116

J. Kingdon and K. Feldman

Uncertain volatility and the risk-free synthesis of derivatives pp. 117-133

Terry John Lyons

Volume 2, issue 1, 1995

Options in and on interest rate futures contracts: results from martingale pricing theory pp. 1-16

U. Cherubini and M. Esposito

Neural networks and some applications to finance pp. 17-42

K. Feldman and J. Kingdon

Stochastic equity volatility related to the leverage effect II: valuation of European equity options and warrants pp. 43-60

A. Bensoussan, M. Crouhy and D. Galai

A simple class of square-root interest-rate models pp. 61-72

F. Jamshidian