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Mathematical Finance

1991 - 2018

Current editor(s): Jerome Detemple

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Volume 28, issue 4, 2018

Convex duality for Epstein–Zin stochastic differential utility pp. 991-1019 Downloads
Anis Matoussi and Hao Xing
Risk management with weighted VaR pp. 1020-1060 Downloads
Pengyu Wei
Semi‐efficient valuations and put‐call parity pp. 1061-1106 Downloads
Martin Herdegen and Martin Schweizer
The valuation of American options in a multidimensional exponential Lévy model pp. 1107-1142 Downloads
Tomasz Klimsiak and Andrzej Rozkosz
The optimal method for pricing Bermudan options by simulation pp. 1143-1180 Downloads
Alfredo Ibáñez and Carlos Velasco

Volume 28, issue 3, 2018

Consistent recalibration of yield curve models pp. 757-799 Downloads
Philipp Harms, David Stefanovits, Josef Teichmann and Mario V. Wüthrich
On the market viability under proportional transaction costs pp. 800-838 Downloads
Erhan Bayraktar and Xiang Yu
Liquidity effects of trading frequency pp. 839-876 Downloads
Roman Gayduk and Sergey Nadtochiy
Error analysis of finite difference and Markov chain approximations for option pricing pp. 877-919 Downloads
Lingfei Li and Gongqiu Zhang
Analytical approximations of local†Heston volatility model and error analysis pp. 920-961 Downloads
R. Bompis and E. Gobet
Option pricing in the moderate deviations regime pp. 962-988 Downloads
Peter Friz, Stefan Gerhold and Arpad Pinter

Volume 28, issue 2, 2018

Super†replication in fully incomplete markets pp. 483-515 Downloads
Yan Dolinsky and Ariel Neufeld
Conic martingales from stochastic integrals pp. 516-535 Downloads
Monique Jeanblanc and Frédéric Vrins
On peacocks and lyrebirds: Australian options, Brownian bridges, and the average of submartingales pp. 536-549 Downloads
Christian†Oliver Ewald and Marc Yor
On American VIX options under the generalized 3/2 and 1/2 models pp. 550-581 Downloads
Jérôme Detemple and Yerkin Kitapbayev
Arbitrage†free XVA pp. 582-620 Downloads
Maxim Bichuch, Agostino Capponi and Stephan Sturm
Fair bilateral pricing under funding costs and exogenous collateralization pp. 621-655 Downloads
Tianyang Nie and Marek Rutkowski
A note on the long rate in factor models of the term structure pp. 656-667 Downloads
Jan de Kort
Small†cost asymptotics for long†term growth rates in incomplete markets pp. 668-711 Downloads
Yaroslav Melnyk and Frank Thomas Seifried
Optimal cash holdings under heterogeneous beliefs pp. 712-747 Downloads
Robert Jarrow, Andrey Krishenik and Andreea Minca
On the C†property and w∗†representations of risk measures pp. 748-754 Downloads
Niushan Gao and Foivos Xanthos

Volume 28, issue 1, 2018

SHAREHOLDER RISK MEASURES pp. 5-28 Downloads
Delia Coculescu and Jean†Charles Rochet
ASYMPTOTIC EQUIVALENCE OF RISK MEASURES UNDER DEPENDENCE UNCERTAINTY pp. 29-49 Downloads
Jun Cai, Haiyan Liu and Ruodu Wang
PROFIT SHARING IN HEDGE FUNDS pp. 50-81 Downloads
Xue Dong He and Steven Kou
ROBUST UTILITY MAXIMIZATION WITH LÉVY PROCESSES pp. 82-105 Downloads
Ariel Neufeld and Marcel Nutz
UTILITY MAXIMIZATION IN A LARGE MARKET pp. 106-118 Downloads
Oleksii Mostovyi
INVESTING WITH LIQUID AND ILLIQUID ASSETS pp. 119-152 Downloads
Maxim Bichuch and Paolo Guasoni
LIQUIDATION OF AN INDIVISIBLE ASSET WITH INDEPENDENT INVESTMENT pp. 153-176 Downloads
Emilie Fabre, Guillaume Royer and Nizar Touzi
OPTIMAL LIQUIDATION AND ADVERSE SELECTION IN DARK POOLS pp. 177-210 Downloads
Peter Kratz and Torsten Schöneborn
DYNAMIC DEFAULTABLE TERM STRUCTURE MODELING BEYOND THE INTENSITY PARADIGM pp. 211-239 Downloads
Frank Gehmlich and Thorsten Schmidt
MODELING SOVEREIGN RISKS: FROM A HYBRID MODEL TO THE GENERALIZED DENSITY APPROACH pp. 240-267 Downloads
Ying Jiao and Shanqiu Li
BOUNDING WRONG†WAY RISK IN CVA CALCULATION pp. 268-305 Downloads
Paul Glasserman and Linan Yang
SOCIAL DISCOUNTING AND THE LONG RATE OF INTEREST pp. 306-334 Downloads
Dorje C. Brody and Lane P. Hughston
INDIFFERENCE PRICING FOR CONTINGENT CLAIMS: LARGE DEVIATIONS EFFECTS pp. 335-371 Downloads
Scott Robertson and Konstantinos Spiliopoulos
INDIFFERENCE PRICES AND IMPLIED VOLATILITIES pp. 372-408 Downloads
Matthew Lorig
INTERNATIONAL RESERVE MANAGEMENT: A DRIFT†SWITCHING REFLECTED JUMP†DIFFUSION MODEL pp. 409-446 Downloads
Ning Cai and Xuewei Yang
CONVERGENCE OF A LEAST†SQUARES MONTE CARLO ALGORITHM FOR AMERICAN OPTION PRICING WITH DEPENDENT SAMPLE DATA pp. 447-479 Downloads
Daniel Z. Zanger

Volume 27, issue 4, 2017

ROBUST FUNDAMENTAL THEOREM FOR CONTINUOUS PROCESSES pp. 963-987 Downloads
Sara Biagini, Bruno Bouchard, Constantinos Kardaras and Marcel Nutz
ON ARBITRAGE AND DUALITY UNDER MODEL UNCERTAINTY AND PORTFOLIO CONSTRAINTS pp. 988-1012 Downloads
Erhan Bayraktar and Zhou Zhou
THE 4/2 STOCHASTIC VOLATILITY MODEL: A UNIFIED APPROACH FOR THE HESTON AND THE 3/2 MODEL pp. 1013-1034 Downloads
Martino Grasselli
LEVERAGED ETF IMPLIED VOLATILITIES FROM ETF DYNAMICS pp. 1035-1068 Downloads
Tim Leung, Matthew Lorig and Andrea Pascucci
DENSITY OF SKEW BROWNIAN MOTION AND ITS FUNCTIONALS WITH APPLICATION IN FINANCE pp. 1069-1088 Downloads
Alexander Gairat and Vadim Shcherbakov
EFFICIENT PRICING OF BARRIER OPTIONS AND CREDIT DEFAULT SWAPS IN LÉVY MODELS WITH STOCHASTIC INTEREST RATE pp. 1089-1123 Downloads
Svetlana Boyarchenko and Sergei Levendorskiĭ

Volume 27, issue 3, 2017

SHADOW PRICES FOR CONTINUOUS PROCESSES pp. 623-658 Downloads
Christoph Czichowsky, Walter Schachermayer and Junjian Yang
THE GENERAL STRUCTURE OF OPTIMAL INVESTMENT AND CONSUMPTION WITH SMALL TRANSACTION COSTS pp. 659-703 Downloads
Jan Kallsen and Johannes Muhle-Karbe
PORTFOLIO OPTIMIZATION AND STOCHASTIC VOLATILITY ASYMPTOTICS pp. 704-745 Downloads
Jean-Pierre Fouque, Ronnie Sircar and Thaleia Zariphopoulou
PRICING FOR LARGE POSITIONS IN CONTINGENT CLAIMS pp. 746-778 Downloads
Scott Robertson
A STATE-CONSTRAINED DIFFERENTIAL GAME ARISING IN OPTIMAL PORTFOLIO LIQUIDATION pp. 779-802 Downloads
Alexander Schied and Tao Zhang
OPTION PRICING AND HEDGING WITH EXECUTION COSTS AND MARKET IMPACT pp. 803-831 Downloads
Olivier Guéant and Jiang Pu
APPROXIMATE HEDGING PROBLEM WITH TRANSACTION COSTS IN STOCHASTIC VOLATILITY MARKETS pp. 832-865 Downloads
Thai Huu Nguyen and Serguei Pergamenshchikov
A PRIMAL–DUAL ALGORITHM FOR BSDES pp. 866-901 Downloads
Christian Bender, Nikolaus Schweizer and Jia Zhuo
A FIRST-ORDER BSPDE FOR SWING OPTION PRICING: CLASSICAL SOLUTIONS pp. 902-925 Downloads
Christian Bender and Nikolai Dokuchaev
EXPLICIT IMPLIED VOLATILITIES FOR MULTIFACTOR LOCAL-STOCHASTIC VOLATILITY MODELS pp. 926-960 Downloads
Matthew Lorig, Stefano Pagliarani and Andrea Pascucci

Volume 27, issue 2, 2017

TUG-OF-WAR, MARKET MANIPULATION, AND OPTION PRICING pp. 279-312 Downloads
Kaj Nyström and Mikko Parviainen
DYNAMIC TRADING VOLUME pp. 313-349 Downloads
Paolo Guasoni and Marko Weber
TRADING WITH SMALL PRICE IMPACT pp. 350-400 Downloads
Ludovic Moreau, Johannes Muhle-Karbe and H. Mete Soner
IMPACT OF TIME ILLIQUIDITY IN A MIXED MARKET WITHOUT FULL OBSERVATION pp. 401-437 Downloads
Salvatore Federico, Paul Gassiat and Fausto Gozzi
OPTIMAL INVESTMENT FOR ALL TIME HORIZONS AND MARTIN BOUNDARY OF SPACE-TIME DIFFUSIONS pp. 438-470 Downloads
Sergey Nadtochiy and Michael Tehranchi
MEAN-VARIANCE POLICY FOR DISCRETE-TIME CONE-CONSTRAINED MARKETS: TIME CONSISTENCY IN EFFICIENCY AND THE MINIMUM-VARIANCE SIGNED SUPERMARTINGALE MEASURE pp. 471-504 Downloads
Xiangyu Cui, Duan Li and Xun Li
RISK-MINIMIZATION FOR LIFE INSURANCE LIABILITIES WITH DEPENDENT MORTALITY RISK pp. 505-533 Downloads
Francesca Biagini, Camila Botero and Irene Schreiber
MODEL UNCERTAINTY AND SCENARIO AGGREGATION pp. 534-567 Downloads
Mathieu Cambou and Damir Filipović
NO-ARBITRAGE IN A NUMÉRAIRE-INDEPENDENT MODELING FRAMEWORK pp. 568-603 Downloads
Martin Herdegen
AN ANALYTICAL SOLUTION FOR THE TWO-SIDED PARISIAN STOPPING TIME, ITS ASYMPTOTICS, AND THE PRICING OF PARISIAN OPTIONS pp. 604-620 Downloads
Angelos Dassios and Jia Wei Lim

Volume 27, issue 1, 2017

ROBUST PORTFOLIOS AND WEAK INCENTIVES IN LONG-RUN INVESTMENTS pp. 3-37 Downloads
Paolo Guasoni, Johannes Muhle-Karbe and Hao Xing
STABILITY OF THE EXPONENTIAL UTILITY MAXIMIZATION PROBLEM WITH RESPECT TO PREFERENCES pp. 38-67 Downloads
Hao Xing
THE NUMÉRAIRE PROPERTY AND LONG-TERM GROWTH OPTIMALITY FOR DRAWDOWN-CONSTRAINED INVESTMENTS pp. 68-95 Downloads
Constantinos Kardaras, Jan Obłój and Eckhard Platen
OPTIMAL INVESTMENT WITH INTERMEDIATE CONSUMPTION AND RANDOM ENDOWMENT pp. 96-114 Downloads
Oleksii Mostovyi
SENSITIVITY ANALYSIS OF NONLINEAR BEHAVIOR WITH DISTORTED PROBABILITY pp. 115-150 Downloads
Xi-Ren Cao and Xiangwei Wan
LOCAL VARIANCE GAMMA AND EXPLICIT CALIBRATION TO OPTION PRICES pp. 151-193 Downloads
Peter Carr and Sergey Nadtochiy
ON THE MARTINGALE PROPERTY IN STOCHASTIC VOLATILITY MODELS BASED ON TIME-HOMOGENEOUS DIFFUSIONS pp. 194-223 Downloads
Carole Bernard, Zhenyu Cui and Don McLeish
REAL OPTIONS WITH COMPETITION AND REGIME SWITCHING pp. 224-250 Downloads
Alain Bensoussan, SingRu Hoe, ZhongFeng Yan and George Yin
PRICE SETTING OF MARKET MAKERS: A FILTERING PROBLEM WITH ENDOGENOUS FILTRATION pp. 251-275 Downloads
Christoph Kühn and Matthias Riedel
Page updated 2018-12-15