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Applied Mathematical Finance
1994 - 2012
Edited by Ben Hambly and William Shaw
from Taylor and Francis Journals
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Volume 9, issue 4 , 2002
Statistical properties of the sample semi-variance pp. 219-239 Shaun Bond and Stephen Satchell Utility based pricing of contingent claims in incomplete markets pp. 241-260 Andrea Gam and Paolo Pellizzari Option pricing for large agents pp. 261-272 Mattias Jonsson and Jussi Keppo A survey of sampling-based Bayesian analysis of financial data pp. 273-291 James Sfiridis and Alan Gelfand Volume 9, issue 3 , 2002
A model of speculative behaviour with a strange attractor pp. 143-161 Fernando Fernandez-Rodriguez , Maria-Dolores Garcia-Artiles and Juan Manuel Martin-Gonzalez Efficient option valuation using trees pp. 163-178 David Heath and Stefano Herzel Estimating volatility on overlapping returns when returns are autocorrelated pp. 179-188 Roy Kluitman and Philip Hans Franses L 2 -discrete hedging in a continuous-time model pp. 189-217 Faouzi Trabelsi and Abdelhamid Trad Volume 9, issue 2 , 2002
Bivariate option pricing with copulas pp. 69-85 U. Cherubini and Elisa Luciano The European options hedge perfectly in a Poisson-Gaussian stock market model pp. 87-102 C. Mancini On superhedging under delta constraints pp. 103-121 Jun Sekine American options under uncertain volatility pp. 123-141 Adam Smith Volume 9, issue 1 , 2002
On modelling and pricing weather derivatives pp. 1-20 Peter Alaton , Boualem Djehiche and David Stillberger Energy futures prices: term structure models with Kalman filter estimation pp. 21-43 Mihaela Manoliu and Stathis Tompaidis Basics of electricity derivative pricing in competitive markets pp. 45-60 Iivo Vehvilainen A note on adjusting correlation matrices pp. 61-67 A. Leon , Josep E. Peris , Jose Angel Silva and Begoña Subiza Volume 8, issue 4 , 2001
Valuation formulae for window barrier options pp. 197-208 Grant Armstrong valuation of options on joint minima and maxima pp. 209-233 Tristan Guillaume The pricing of derivatives on assets with quadratic volatility pp. 235-262 Christian Zuhlsdorff Volume 8, issue 3 , 2001
A note on the α-quantile option pp. 137-144 Laura Ballotta and Andreas Kyprianou On pricing and reserving with-profits life insurance contracts pp. 145-166 David Prieul , Vladislav Putyatin and Tarek Nassar Statistical bootstrapping methods in VaR calculation pp. 167-181 Thomas Siegl and Ansgar West Monte Carlo applied to exotic digital options pp. 183-196 Victor Vaugirard Volume 8, issue 2 , 2001
Liquidity and credit risk pp. 79-95 Umberto Cherubini and Giovanni Della Lunga Passport options with stochastic volatility pp. 97-118 Vicky Henderson and David Hobson Trading volume in models of financial derivatives pp. 119-135 Sam Howison and David Lamper Volume 8, issue 1 , 2001
Towards the determination of utility preference from optimal portfolio selections pp. 1-26 Colin Atkinson and Sutee Mokkhavesa Calibrating the Black-Derman-Toy model: some theoretical results pp. 27-48 Phelim Boyle , Ken Seng Tan and Weidong Tian A numerical PDE approach for pricing callable bonds pp. 49-77 Y. D'Halluin, , P. A. Forsyth , K. R. Vetzal and G. Labahn Volume 7, issue 4 , 2000
Maxentropic construction of risk neutral measures: discrete market models pp. 229-239 Henryk Gzyl Laplace transforms and American options pp. 241-256 Roland Mallier and Ghada Alobaidi A generalized bootstrap method to determine the yield curve pp. 257-270 Richard Deaves and Mahmut Parlar The role of index bonds in universal currency hedging pp. 271-284 Ryle Perera Volume 7, issue 3 , 2000
Estimation of stochastic volatility in the Hull-White model pp. 153-181 Shinichi Aihara A square root interest rate model fitting discrete initial term structure data pp. 183-209 Erik Schlogl and Lutz Schlogl A PDE approach to risk measures of derivatives pp. 211-228 Tak Kuen Siu and Hailiang Yang Volume 7, issue 2 , 2000
Hedging lookback and partial lookback options using Malliavin calculus pp. 75-100 Hans-Peter Bermin Obtaining distributional information from valuation lattices pp. 101-114 C. Douglas Howard Estimating fees for managed futures: a continuous-time model with a knockout feature pp. 115-125 Francisca Richter and B Wade Brorsen Exponential risk measure with application to UK asset allocation pp. 127-152 Stephen Satchell , David Damant and Soosung Hwang Volume 7, issue 1 , 2000
Volatility skews and extensions of the Libor market model pp. 1-32 Leif Andersen and Jesper Andreasen Unstructured meshing for two asset barrier options pp. 33-60 D. M. Pooley , P. A. Forsyth , K. R. Vetzal and R. B. Simpson Valuation of European options in the market with daily price limit pp. 61-74 Junhwa Ban , Hyeong In Choi and Hyejin Ku Volume 6, issue 4 , 1999
Markov interest rate models pp. 233-260 Patrick Hagan and Diana Woodward The pricing of risky coupon bonds pp. 261-273 Lilly Choong and George McKenzie Various passport options and their valuation pp. 275-292 Hyungsok Ahn , Antony Penaud and Paul Wilmott Arbitrage valuation and bounds for sinking-fund bonds with multiple sinking-fund dates pp. 293-312 Anna Rita Bacinello and Fulvio Ortu Volume 6, issue 3 , 1999
Equivalent Black volatilities pp. 147-157 Patrick Hagan and Diana Woodward On hedging in finite security markets pp. 159-176 Silvia Florio and Wolfgang Runggaldier Multigrid for American option pricing with stochastic volatility pp. 177-195 Nigel Clarke and Kevin Parrott Optimal hedging strategies for misspecified asset price models pp. 197-208 Hyungsok Ahn , Adviti Muni and Glen Swindle Phenomenology of the interest rate curve pp. 209-232 Jean-Philippe Bouchaud , Nicolas Sagna , Rama Cont , Nicole El-Karoui and Marc Potters Volume 6, issue 2 , 1999
A hybrid method for pricing European options based on multiple assets with transaction costs pp. 61-85 Graziella Pacelli , Maria Cristina Recchioni and Francesco Zirilli A finite element approach to the pricing of discrete lookbacks with stochastic volatility pp. 87-106 P. A. Forsyth , K. R. Vetzal and R. Zvan Stochastic volatility, smile & asymptotics pp. 107-145 K. Ronnie Sircar and George Papanicolaou Volume 6, issue 1 , 1999
Combinatorial implications of nonlinear uncertain volatility models: the case of barrier options pp. 1-18 Marco Avellaneda and Robert Buff Numerical integration of mean reverting stochastic systems with applications to interest rate term structure simulation pp. 19-28 William Morokoff Models of forward Libor and swap rates pp. 29-60 Marek Rutkowski
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