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Mathematical Finance

1991 - 2022

Current editor(s): Jerome Detemple

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Volume 32, issue 3, 2022

When does portfolio compression reduce systemic risk? pp. 727-778 Downloads
Luitgard Anna Maria Veraart
A mean‐field game approach to equilibrium pricing in solar renewable energy certificate markets pp. 779-824 Downloads
Arvind V. Shrivats, Dena Firoozi and Sebastian Jaimungal
Inter‐temporal mutual‐fund management pp. 825-877 Downloads
Alain Bensoussan, Ka Chun Cheung, Yiqun Li and Sheung Chi Phillip Yam
An infinite‐dimensional affine stochastic volatility model pp. 878-906 Downloads
Sonja Cox, Sven Karbach and Asma Khedher
Consistent time‐homogeneous modeling of SPX and VIX derivatives pp. 907-940 Downloads
Andrew Papanicolaou

Volume 32, issue 2, 2022

Optimal fund menus pp. 455-516 Downloads
Jakša Cvitanić and Julien Hugonnier
Equilibrium price in intraday electricity markets pp. 517-554 Downloads
René Aid, Andrea Cosso and Huyên Pham
Optimal investment for retail investors pp. 555-594 Downloads
Christoph Belak, Lukas Mich and Frank T. Seifried
Fairness principles for insurance contracts in the presence of default risk pp. 595-626 Downloads
Delia Coculescu and Freddy Delbaen
Optimal dividend payout under stochastic discounting pp. 627-677 Downloads
Elena Bandini, Tiziano De Angelis, Giorgio Ferrari and Fausto Gozzi
Affine term structure models: A time‐change approach with perfect fit to market curves pp. 678-724 Downloads
Cheikh Mbaye and Frédéric Vrins

Volume 32, issue 1, 2022

Expected median of a shifted Brownian motion: Theory and calculations pp. 3-45 Downloads
Vladimir V. Piterbarg
Calibration of local‐stochastic volatility models by optimal transport pp. 46-77 Downloads
Ivan Guo, Grégoire Loeper and Shiyi Wang
A simple microstructural explanation of the concavity of price impact pp. 78-113 Downloads
Sergey Nadtochiy
Robust asymptotic growth in stochastic portfolio theory under long‐only constraints pp. 114-171 Downloads
David Itkin and Martin Larsson
Utility‐based pricing and hedging of contingent claims in Almgren‐Chriss model with temporary price impact pp. 172-225 Downloads
Ibrahim Ekren and Sergey Nadtochiy
Mean‐ρ$\rho$ portfolio selection and ρ$\rho$‐arbitrage for coherent risk measures pp. 226-272 Downloads
Martin Herdegen and Nazem Khan
On buybacks, dilutions, dividends, and the pricing of stock‐based claims pp. 273-308 Downloads
Alex Backwell, Thomas A. McWalter and Peter H. Ritchken
The Laplace transform of the integrated Volterra Wishart process pp. 309-348 Downloads
Eduardo Abi Jaber
Portfolio diversification and model uncertainty: A robust dynamic mean‐variance approach pp. 349-404 Downloads
Huyên Pham, Xiaoli Wei and Chao Zhou
Protecting pegged currency markets from speculative investors pp. 405-420 Downloads
Eyal Neuman and Alexander Schied
Ordering and inequalities for mixtures on risk aggregation pp. 421-451 Downloads
Yuyu Chen, Peng Liu, Yang Liu and Ruodu Wang

Volume 31, issue 4, 2021

In memoriam: Mark H. A. Davis and his contributions to mathematical finance pp. 1099-1110 Downloads
Jan Obłój and Thaleia Zariphopoulou
Open markets pp. 1111-1161 Downloads
Ioannis Karatzas and Donghan Kim
Risk‐sensitive benchmarked asset management with expert forecasts pp. 1162-1189 Downloads
Mark H.A. Davis and Sébastien Lleo
Bayes risk, elicitability, and the Expected Shortfall pp. 1190-1217 Downloads
Paul Embrechts, Tiantian Mao, Qiuqi Wang and Ruodu Wang
An elementary approach to the Merton problem pp. 1218-1239 Downloads
Martin Herdegen, David Hobson and Joseph Jerome
Perturbation analysis of sub/super hedging problems pp. 1240-1274 Downloads
Sergey Badikov, Mark H.A. Davis and Antoine Jacquier
Duality for optimal consumption with randomly terminating income pp. 1275-1314 Downloads
Ashley Davey, Michael Monoyios and Harry Zheng
Convergence of optimal expected utility for a sequence of binomial models pp. 1315-1331 Downloads
Friedrich Hubalek and Walter Schachermayer
Young, timid, and risk takers pp. 1332-1356 Downloads
Paolo Guasoni, Lóránt Nagy and Miklós Rásonyi
Interbank lending with benchmark rates: Pareto optima for a class of singular control games pp. 1357-1393 Downloads
Rama Cont, Xin Guo and Renyuan Xu
Robust replication of volatility and hybrid derivatives on jump diffusions pp. 1394-1422 Downloads
Peter Carr, Roger Lee and Matthew Lorig
Weak transport for non‐convex costs and model‐independence in a fixed‐income market pp. 1423-1453 Downloads
Beatrice Acciaio, Mathias Beiglböck and Gudmund Pammer
Distributionally robust portfolio maximization and marginal utility pricing in one period financial markets pp. 1454-1493 Downloads
Jan Obłój and Johannes Wiesel
Option pricing models without probability: a rough paths approach pp. 1494-1521 Downloads
John Armstrong, Claudio Bellani, Damiano Brigo and Thomas Cass

Volume 31, issue 3, 2021

Liquidity in competitive dealer markets pp. 827-856 Downloads
Peter Bank, Ibrahim Ekren and Johannes Muhle‐Karbe
Risk‐neutral pricing techniques and examples pp. 857-884 Downloads
Robert Jarrow, Pierre Patie, Anna Srapionyan and Yixuan Zhao
Relative arbitrage: Sharp time horizons and motion by curvature pp. 885-906 Downloads
Martin Larsson and Johannes Ruf
Simulating risk measures via asymptotic expansions for relative errors pp. 907-942 Downloads
Wei Jiang and Steven Kou
The Alpha‐Heston stochastic volatility model pp. 943-978 Downloads
Ying Jiao, Chunhua Ma, Simone Scotti and Chao Zhou
Optimal stopping under model ambiguity: A time‐consistent equilibrium approach pp. 979-1012 Downloads
Yu‐Jui Huang and Xiang Yu
Penalty method for portfolio selection with capital gains tax pp. 1013-1055 Downloads
Baojun Bian, Xinfu Chen, Min Dai and Shuaijie Qian
Consistent investment of sophisticated rank‐dependent utility agents in continuous time pp. 1056-1095 Downloads
Ying Hu, Hanqing Jin and Xun Yu Zhou

Volume 31, issue 2, 2021

Generalized statistical arbitrage concepts and related gain strategies pp. 563-594 Downloads
Christian Rein, Ludger Rüschendorf and Thorsten Schmidt
Asset pricing with general transaction costs: Theory and numerics pp. 595-648 Downloads
Lukas Gonon, Johannes Muhle‐Karbe and Xiaofei Shi
Optimal dynamic risk sharing under the time‐consistent mean‐variance criterion pp. 649-682 Downloads
Lv Chen, David Landriault, Bin Li and Danping Li
Forward rank‐dependent performance criteria: Time‐consistent investment under probability distortion pp. 683-721 Downloads
Xue Dong He, Moris S. Strub and Thaleia Zariphopoulou
Double continuation regions for American options under Poisson exercise opportunities pp. 722-771 Downloads
Zbigniew Palmowski, José Luis Pérez and Kazutoshi Yamazaki
Intra‐Horizon expected shortfall and risk structure in models with jumps pp. 772-823 Downloads
Walter Farkas, Ludovic Mathys and Nikola Vasiljević

Volume 31, issue 1, 2021

Optimal investment, derivative demand, and arbitrage under price impact pp. 3-35 Downloads
Michail Anthropelos, Scott Robertson and Konstantinos Spiliopoulos
Asymptotics for small nonlinear price impact: A PDE approach to the multidimensional case pp. 36-108 Downloads
Erhan Bayraktar, Thomas Cayé and Ibrahim Ekren
Optimal make–take fees for market making regulation pp. 109-148 Downloads
Omar El Euch, Thibaut Mastrolia, Mathieu Rosenbaum and Nizar Touzi
On utility maximization under model uncertainty in discrete‐time markets pp. 149-175 Downloads
Miklós Rásonyi and Andrea Meireles‐Rodrigues
Model risk in credit risk pp. 176-202 Downloads
Roberto Fontana, Elisa Luciano and Patrizia Semeraro
Small‐time, large‐time, and H→0 asymptotics for the Rough Heston model pp. 203-241 Downloads
Martin Forde, Stefan Gerhold and Benjamin Smith
Binary funding impacts in derivative valuation pp. 242-278 Downloads
Junbeom Lee and Chao Zhou
Size matters for OTC market makers: General results and dimensionality reduction techniques pp. 279-322 Downloads
Philippe Bergault and Olivier Guéant
The asymptotic expansion of the regular discretization error of Itô integrals pp. 323-365 Downloads
Elisa Alòs and Masaaki Fukasawa
Convergence of utility indifference prices to the superreplication price in a multiple‐priors framework pp. 366-398 Downloads
Romain Blanchard and Laurence Carassus
Mean–field moral hazard for optimal energy demand response management pp. 399-473 Downloads
Romuald Élie, Emma Hubert, Thibaut Mastrolia and Dylan Possamaï
Markov chains under nonlinear expectation pp. 474-507 Downloads
Max Nendel
Equilibrium concepts for time‐inconsistent stopping problems in continuous time pp. 508-530 Downloads
Erhan Bayraktar, Jingjie Zhang and Zhou Zhou
Sharing the value‐at‐risk under distributional ambiguity pp. 531-559 Downloads
Zhi Chen and Weijun Xie
Page updated 2022-08-15