Mathematical Finance

1991 - 2026

Current editor(s): Jerome Detemple

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Pricing General Barrier Options: A Numerical Approach Using Sharp Large Deviations pp. 293-321: Paolo Baldi, Lucia Caramellino and Maria Gabriella Iovino
Interest Rate Dynamics and Consistent Forward Rate Curves pp. 323-348: Tomas Bjork and Bent Jesper Christensen
A Note on the Nelson–Siegel Family pp. 349-359: Damir Filipović
Self‐Financing Trading Strategies for Sliding, Rolling‐Horizon, and Consol Bonds pp. 361-385: Marek Rutkowski
European‐Type Contingent Claims in an Incomplete Market with Constrained Wealth and Portfolio pp. 387-412: Jiongmin Yong

Coherent Measures of Risk pp. 203-228: Philippe Artzner, Freddy Delbaen, Jean‐Marc Eber and David Heath
Pricing American Stock Options by Linear Programming pp. 229-254: M. A. H. Dempster and J. P. Hutton
The Second Fundamental Theorem of Asset Pricing pp. 255-273: Robert Jarrow, Xing Jin and Dilip B. Madan
Viability and Equilibrium in Securities Markets with Frictions pp. 275-292: Elyès Jouini and Hédi Kallal

Bounds on European Option Prices under Stochastic Volatility pp. 97-116: Rüdiger Frey and Carlos A. Sin
Asymptotically Optimal Importance Sampling and Stratification for Pricing Path‐Dependent Options pp. 117-152: Paul Glasserman, Philip Heidelberger and Perwez Shahabuddin
Controlling Risk Exposure and Dividends Payout Schemes:Insurance Company Example pp. 153-182: Bjarne Hø Jgaard and Michael Taksar
Generalized Hyperbolic Diffusion Processes with Applications in Finance pp. 183-201: Tina Hviid Rydberg

Currency Prices, the Nominal Exchange Rate, and Security Prices in a Two‐Country Dynamic Monetary Equilibrium pp. 1-30: Suleyman Basak and Michael Gallmeyer
Term Structure Models Driven by General Lévy Processes pp. 31-53: Ernst Eberlein and Sebastian Raible
Step Options pp. 55-96: Vadim Linetsky

Long memory in continuous‐time stochastic volatility models pp. 291-323: Fabienne Comte and Eric Renault
On‐Line Portfolio Selection Using Multiplicative Updates pp. 325-347: David P. Helmbold, Robert E. Schapire, Yoram Singer and Manfred K. Warmuth
Applications of Eigenfunction Expansions in Continuous‐Time Finance pp. 349-383: Alan Lewis
When Does Convergence of Asset Price Processes Imply Convergence of Option Prices? pp. 385-403: Friedrich Hubalek and Walter Schachermayer

Investment and Arbitrage Opportunities with Short Sales Constraints pp. 169-178: Laurence Carassus and Elyès Jouini
Mean‐Variance Hedging and Numéraire pp. 179-200: Christian Gourieroux, Jean Paul Laurent and Huyên Pham
Double Lookbacks pp. 201-228: Hua He, William P. Keirstead and Joachim Rebholz
Monotonicities in a Markov Chain Model for Valuing Corporate Bonds Subject to Credit Risk pp. 229-247: Masaaki Kijima
A Discrete‐Time Intertemporal Asset Pricing Model: GE Approach with Recursive Utility pp. 249-275: Chenghu Ma
Volatility Estimation with Price Quanta pp. 277-290: L. C. G. Rogers

Robustness of the Black and Scholes Formula pp. 93-126: Nicole El Karoui, Monique Jeanblanc‐Picquè and Steven E. Shreve
A Discrete Time Equivalent Martingale Measure pp. 127-152: Robert J. Elliott and Dilip B. Madan
A Note on Hedging in ARCH and Stochastic Volatility Option Pricing Models pp. 153-161: René Garcia and Eric Renault
Pricing by Arbitrage Under Arbitrary Information pp. 163-168: Simon H. Babbs and Michael J. P. Selby

A Simple Counterexample to Several Problems in the Theory of Asset Pricing pp. 1-11: Freddy Delbaen and Walter Schachermayer
Option Pricing in ARCH‐type Models pp. 13-26: Jan Kallsen and Murad S. Taqqu
Complete Models with Stochastic Volatility pp. 27-48: David G. Hobson and L. C. G. Rogers
Consumption and Portfolio Selection with Labor Income: A Continuous Time Approach pp. 49-65: Hyeng Keun Koo
On Feedback Effects from Hedging Derivatives pp. 67-84: Eckhard Platen and Martin Schweizer
Ergodicity, State Prices, and Long Bond Returns pp. 85-91: Anthony Tessitore and Nilufer Usmen

A Continuity Correction for Discrete Barrier Options pp. 325-349: Mark Broadie, Paul Glasserman and Steven Kou
Market Volatility and Feedback Effects from Dynamic Hedging pp. 351-374: Rüdiger Frey and Alexander Stremme
Market Participation and Share Prices pp. 375-398: Gerhard O. Orosel
Contingent Claims and Market Completeness in a Stochastic Volatility Model pp. 399-412: Marc Romano and Nizar Touzi
Pricing Stock Options in a Jump‐Diffusion Model with Stochastic Volatility and Interest Rates: Applications of Fourier Inversion Methods pp. 413-426: Louis O. Scott

The Valuation of American Options on Multiple Assets pp. 241-286: Mark Broadie and Jerome Detemple
The Statistical Properties of the Black–Scholes Option Price pp. 287-305: Mthuli Ncube and Stephen Satchell
An Asymptotic Analysis of an Optimal Hedging Model for Option Pricing with Transaction Costs pp. 307-324: A. E. Whalley and P. Wilmott

Characterizing Gaussian Models of the Term Structure of Interest Rates pp. 107-118: D. P. Kennedy
A Note on the Stability of Lognormal Interest Rate Models and the Pricing of Eurodollar Futures pp. 119-125: Klaus Sandmann and Dieter Sondermann
The Market Model of Interest Rate Dynamics pp. 127-155: Alan Brace, Dariusz G¸atarek and Marek Musiela
The Potential Approach to the Term Structure of Interest Rates and Foreign Exchange Rates pp. 157-176: L. C. G. Rogers
A Nonlinear Model of the Term Structure of Interest Rates pp. 177-209: Julian Tice and Nick Webber
Bond Market Structure in the Presence of Marked Point Processes pp. 211-239: Tomas Bjork, Yuri Kabanov and Wolfgang Runggaldier

Backward Stochastic Differential Equations in Finance pp. 1-71: N. El Karoui, S. Peng and M. C. Quenez
Arbitrage and Growth Rate for Riskless Investments in a Stationary Economy pp. 73-81: Ilan Adler and David Gale
Pricing Barrier Options with Time–Dependent Coefficients pp. 83-93: G. O. Roberts and C. F. Shortland
Arbitrage with Fractional Brownian Motion pp. 95-105: L. C. G. Rogers