Mathematical Finance

1991 - 2026

Current editor(s): Jerome Detemple

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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

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