Mathematical Finance

1991 - 2025

Current editor(s): Jerome Detemple

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OPTIMAL INVESTMENT OF A LIFE INTEREST pp. 279-296: S. D. Jacka
CERTAINTY EQUIVALENCE AND LOGARITHMIC UTILITIES IN CONSUMPTION/INVESTMENT PROBLEMS pp. 297-309: Yoichi Kuwana
OPTION PRICING USING THE TERM STRUCTURE OF INTEREST RATES TO HEDGE SYSTEMATIC DISCONTINUITIES IN ASSET RETURNS1 pp. 311-336: Robert Jarrow and Dilip Madan
OPTIMAL PORTFOLIO MANAGEMENT WITH FIXED TRANSACTION COSTS pp. 337-356: Andrew J. Morton and Stanley R. Pliska
PORTFOLIO MANAGEMENT WITH TRANSACTION COSTS: AN ASYMPTOTIC ANALYSIS OF THE MORTON AND PLISKA MODEL pp. 357-367: C. Atkinson and P. Wilmott

DEFAULT RISK INSURANCE AND INCOMPLETE MARKETS1 pp. 187-195: Philippe Artzner and Freddy Delbaen
ARBITRAGE IN SECURITIES MARKETS WITH SHORT‐SALES CONSTRAINTS pp. 197-232: Elyès Jouini and Hédi Kallal
EXISTENCE OF A NONNEGATIVE EQUILIBRIUM PRICE VECTOR IN THE MEAN‐VARIANCE CAPITAL MARKET pp. 233-246: Hiroshi Konno and Hiroshi Shirakawa
TAKEOVERS OF DIFFUSELY HELD FIRMS: A NONSTANDARD APPROACH pp. 247-277: Thomas Noe

CRITICAL STOCK PRICE NEAR EXPIRATION pp. 77-95: Guy Barles, Julien Burdeau, Marc Romano and Nicolas Samsoen
TAX BASIS AND NONLINEARITY IN CASH STREAM VALUATION pp. 97-119: Jaime Cuevas Dermody and R. Tyrrell Rockafellar
ATTAINABLE CLAIMS IN A MARKOV MARKET1 pp. 121-131: Alain Bensoussan and Robert J. Elliott
MULTIVARIATE STABLE FUTURES PRICES pp. 133-153: B. N. Cheng and S. T. Rachev
ISOLATING THE WILD CARD OPTION pp. 155-165: Hugh Cohen
FACTOR MODELS OF DOMESTIC AND FOREIGN INTEREST RATES WITH STOCHASTIC VOLATILITIES pp. 167-185: Antoine Frachot

APPROXIMATE COMPLETENESS WITH MULTIPLE MARTINGALE MEASURES pp. 1-11: Philippe Artzner and David Heath
THE GARCH OPTION PRICING MODEL pp. 13-32: Jin‐Chuan Duan
ARBITRAGE AND INFORMATION IN A SEQUENTIAL ECONOMY WITH MANY CREDIT AGENCIES pp. 33-54: Dale Stahl
VOLATILITY STRUCTURES OF FORWARD RATES AND THE DYNAMICS OF THE TERM STRUCTURE1 pp. 55-72: Peter Ritchken and L. Sankarasubramanian

CONVERGENCE OF AMERICAN OPTION VALUES FROM DISCRETE‐ TO CONTINUOUS‐TIME FINANCIAL MODELS1 pp. 289-304: Kaushik Amin and Ajay Khanna
WHEN IS THE SHORT RATE MARKOVIAN? pp. 305-312: Andrew Carverhill
THE EARLY EXERCISE PREMIUM REPRESENTATION OF FOREIGN MARKET AMERICAN OPTIONS1 pp. 313-325: Marek Rutkowski
RISK‐MINIMIZING HEDGING STRATEGIES UNDER RESTRICTED INFORMATION pp. 327-342: Martin Schweizer
ARBITRAGE AND FREE LUNCH WITH BOUNDED RISK FOR UNBOUNDED CONTINUOUS PROCESSES pp. 343-348: Freddy Delbaen and Walter Schachermayer

CONTINGENT CLAIMS VALUED AND HEDGED BY PRICING AND INVESTING IN A BASIS pp. 223-245: Dilip B. Madan and Frank Milne
THE TERM STRUCTURE OF INTEREST RATES AS A GAUSSIAN RANDOM FIELD pp. 247-258: D. P. Kennedy
A MULTIFACTOR GAUSS MARKOV IMPLEMENTATION OF HEATH, JARROW, AND MORTON pp. 259-283: Alan Brace and Marek Musiela

THE STATISTICS OF LONG‐HORIZON REGRESSIONS REVISITED1 pp. 103-119: Jacob Boudouk and Matthew Richardson
A PRICING OPERATOR‐BASED TESTING FOUNDATION FOR A CLASS OF FACTOR PRICING MODELS pp. 121-141: Zhiwu Chen and Peter J. Knez
EFFICIENCY GAINS IN BETA‐PRICING MODELS1 pp. 143-154: Bent Jesper Christensen
MAXIMUM LIKELIHOOD ESTIMATION USING PRICE DATA OF THE DERIVATIVE CONTRACT pp. 155-167: Jin‐Chuan Duan
ASYMPTOTIC INFERENCE FOR THE PARAMETERS OF A DISCRETE‐TIME SQUARE‐ROOT PROCESS pp. 169-181: Halina Frydman
MODELING STOCHASTIC VOLATILITY: A REVIEW AND COMPARATIVE STUDY pp. 183-204: Stephen J. Taylor
THRESHOLD AUTOREGRESSIVE MODELING IN FINANCE: THE PRICE DIFFERENCES OF EQUIVALENT ASSETS1 pp. 205-221: Pradeep K. Yadav, Peter F. Pope and Krishna Paudyal

OPTIMAL CONSUMPTION AND PORTFOLIO SELECTION WITH INCOMPLETE MARKETS AND UPPER AND LOWER BOUND CONSTRAINTS pp. 1-24: Hiroshi Shirakawa
MARTINGALE MEASURES FOR DISCRETE‐TIME PROCESSES WITH INFINITE HORIZON pp. 25-55: W. Schachermayer
ON COMPONENTWISE and VECTOR STOCHASTIC INTEGRATION pp. 57-65: Michel Chatelain and Christophe Stricker
A NOTE ON THE GENERALIZED MULTIBETA CAPM pp. 67-68: Cheng Few Lee, Haim Reisman and Yusif Simaan
CONSUMPTION AND PORTFOLIO POLICIES WITH INCOMPLETE MARKETS AND SHORT‐SALE CONSTRAINTS IN THE FINITE‐DIMENSIONAL CASE: SOME REMARKS pp. 69-73: Bruno Girotto and Fulvio Ortu

A TEST OF A GENERAL EQUILIBRIUM STOCK OPTION PRICING MODEL pp. 311-347: Peter Bossaerts and Pierre Hillion
BESSEL PROCESSES, ASIAN OPTIONS, AND PERPETUITIES pp. 349-375: Hélyette Geman and Marc Yor

OPTIMAL INVESTMENT STRATEGIES FOR CONTROLLING DRAWDOWNS pp. 241-276: Sanford Grossman and Zhongquan Zhou
ANAYTICAL SOLUTIONS FOR THE PRICING OF AMERICAN BOND AND YIELD OPTIONS1 pp. 277-294: Marc Chesney, Robert J. Elliott and Rajna Gibson
DISCONTINUOUS ASSET PRICES AND NON‐ATTAINABLE CONTINGENT CLAIMS1 pp. 295-308: David B. Colwell and Robert J. Elliott

A Jump/Diffusion Consumption‐Based Capital Asset Pricing Model and the Equity Premium Puzzle pp. 65-84: Knut Aase
Diffusion Coefficient Estimation and Asset Pricing When Risk Premia and Sensitivities Are Time Varying1 pp. 85-99: Marc Chesney, Robert J. Elliott, Dilip Madan and Hailiang Yang
From Discrete to Continuous Financial Models: New Convergence Results For Option Pricing pp. 101-123: Nigel J. Cutland, Ekkehard Kopp and Walter Willinger
Consols In the Cir Model pp. 125-134: Freddy Delsaen
Optimal Investment With Undiversifiable Income Risk pp. 135-148: Darrell Duffie and Thaleia Zariphopoulou
Option and Futures Evaluation With Deterministic Volatilities1 pp. 149-159: Farshid Jamshidian
Impulse Control Method and Exchange Rate pp. 161-177: Monique Jeanblanc‐Picqué
Convergence of the Critical Price In the Approximation of American Options pp. 179-190: Damien Lamberton
Option Pricing For Jump Diffusions: Approximations and Their Interpretation pp. 191-200: Fabio Mercurio and Wolfgang J. Runggaldier
The Pricing of Options With an Uncertain Interest Rate: A Discrete‐Time Approach1 pp. 201-216: Klaus Sandmann
A Counterexample to Several Problems In the Theory of Asset Pricing pp. 217-229: Walter Schachermayer
On Some Exponential‐Integral Functionals of Bessel Processes pp. 231-240: Marc Yor

A Microeconomic Approach to Diffusion Models For Stock Prices pp. 1-23: Hans Föllmer and Martin Schweizer
Hedging Index Options With Few Assets1 pp. 25-41: Damien Lamberton and Bernard Lapeyre
Martingale Measures For A Class of Right‐Continuous Processes pp. 43-53: Peter Lakner
Exact Ruin Probabilities and the Evaluation of Program Trading On Financial Markets pp. 55-63: D. P. Kennedy