Mathematical Finance

1991 - 2025

Current editor(s): Jerome Detemple

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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

MINIMIZING TRANSACTION COSTS OF OPTION HEDGING STRATEGIES pp. 341-364: E. R. Grannan and G. H. Swindle
PRICING AND HEDGING DOUBLE‐BARRIER OPTIONS: A PROBABILISTIC APPROACH pp. 365-378: Hélyette Geman and Marc Yor
A YIELD‐FACTOR MODEL OF INTEREST RATES pp. 379-406: Darrell Duffie and Rui Kan
ERRATUM TO “A STOCHASTIC EXTENSION OF THE MILLER‐MODIGLIANI FRAMEWORK”1 pp. 407-408: Suresh Sethi, N. A. Derzko and L. P. Lehoczky

PORTFOLIO SELECTION PROBLEMS VIA THE BIVARIATE CHARACTERIZATION OF STOCHASTIC DOMINANCE RELATIONS1 pp. 237-277: Masaaki Kijima and Masamitsu Ohnishi
OPTION HEDGING AND IMPLIED VOLATILITIES IN A STOCHASTIC VOLATILITY MODEL1 pp. 279-302: Eric Renault and Nizar Touzi
MARTINGALE APPROACH TO PRICING PERPETUAL AMERICAN OPTIONS ON TWO STOCKS pp. 303-322: Hans U. Gerber and Hlias S. W. Shiu
CHOQUET PRICING FOR FINANCIAL MARKETS WITH FRICTIONS1 pp. 323-330: Alain Chateauneuf, R. Kast and André Lapied
GENERAL EQUILIBRIUM WITH CONSTANT RELATIVE RISK AVERSION AND VASICEK INTEREST RATES1 pp. 331-340: Robert Goldstein and Fernando Zapatero

INFINITE HORIZON INCOMPLETE MARKETS WITH A CONTINUUM OF STATES pp. 119-132: Aloisio Araujo, Paulo Monteiro and M´rio Rui P´ascoa
HEDGING AND PORTFOLIO OPTIMIZATION UNDER TRANSACTION COSTS: A MARTINGALE APPROACH12 pp. 133-165: Jakša Cvitanić and Ioannis Karatzas
INCOMPLETE MARKETS IN INFINITE HORIZON: DEBT CONSTRAINTS VERSUS NODE PRICES1 pp. 167-196: Monique Florenzano and Pascal Gourdel
WIENER CHAOS: A NEW APPROACH TO OPTION HEDGING pp. 197-213: Vincent Lacoste
EQUILIBRIUM STATE PRICES IN A STOCHASTIC VOLATILITY MODEL1 pp. 215-236: Huyěn Pham and Nizar Touzi

DYNAMIC SPANNING: ARE OPTIONS AN APPROPRIATE INSTRUMENT?1 pp. 1-16: Isabelle Bajeux‐Besnainou and Jean Rochet
PRICING OF AMERICAN PATH‐DEPENDENT CONTINGENT CLAIMS pp. 17-51: Jérôme Barraquand and Thierry Pudet
PRICING CALLABLE BONDS BY MEANS OF GREEN'S FUNCTION1 pp. 53-88: Hans‐Jürg Büttler and Jorg Waldvogel
SOLUTION OF THE EXTENDED CIR TERM STRUCTURE AND BOND OPTION VALUATION pp. 89-109: Yoosef Maghsoodi
DIFFUSION COEFFICIENT ESTIMATION AND ASSET PRICING WHEN RISK PREMIA AND SENSITIVITIES ARE TIME VARYING: A COMMENT pp. 111-117: Sergio Pastorello