Mathematical Finance

1991 - 2026

Current editor(s): Jerome Detemple

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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

Pricing Options On Risky Assets In A Stochastic Interest Rate Economy1 pp. 217-237: Kaushik I. Amin and Robert Jarrow
A Martingale Representation Result and an Application to Incomplete Financial Markets pp. 239-250: S. D. Jacka
Optimal Consumption‐Portfolio Policies With Habit Formation1 pp. 251-274: Jerome Detemple and Fernando Zapatero
Pricing Options With Curved Boundaries1 pp. 275-298: Naoto Kunitomo and Masayuki Ikeda
Option Pricing When Jump Risk Is Systematic1 pp. 299-308: Chang Mo Ahn

Option Pricing Under Incompleteness and Stochastic Volatility pp. 153-187: Norbert Hofmann, Eckhard Platen and Martin Schweizer
Tax Arbitrage, Existence of Equilibrium, and Bounded Tax Rebates1 pp. 189-196: Chris Jones and Frank Milne
Pricing the Quality Option In Treasury Bond Futures1 pp. 197-214: Peter Ritchken and L. Sankarasubramanian

DERIVATIVE ASSET PRICING WITH TRANSACTION COSTS1 pp. 63-86: Bernard Bensaid, Jean‐Philippe Lesne, Henri Pagès and Jose Scheinkman
ALTERNATIVE CHARACTERIZATIONS OF AMERICAN PUT OPTIONS pp. 87-106: Peter Carr, Robert Jarrow and Ravi Myneni
REPRESENTING MARTINGALE MEASURES WHEN ASSET PRICES ARE CONTINUOUS AND BOUNDED pp. 107-130: Freddy Delbaen
ASYMPTOTICALLY OPTIMAL PORTFOLIOS pp. 131-150: Farshid Jamshidian

From Discrete‐ to Continuous‐Time Finance: Weak Convergence of the Financial Gain Process1 pp. 1-15: Darrell Duffie and Philip Protter
On Modeling Questions In Security Valuation pp. 17-32: Ernst Eberlein
The Relationship Between Risk and Maturity In A Stochastic Setting pp. 33-46: Paul H. Zipkin
Optimality of Stationary Asset Equilibria Under A Stochastic Inflation Tax pp. 47-60: Bernhard Eckwert

A Nonstandard Approach to Option Pricing pp. 1-38: Nigel Cutland, Ekkehard Kopp and Walter Willinger
Option Pricing With V. G. Martingale Components1 pp. 39-55: Dilip B. Madan and Frank Milne
A Stochastic Extension of the Miller‐Modigliani Framework1 pp. 57-76: Suresh Sethi, N. A. Derzko and J. P. Lehoczky
Interest Rate Option Pricing With Poisson‐Gaussian Forward Rate Curve Processes pp. 77-94: Hiroshi Shirakawa

ERRATUM: risk‐Aversion Behavior In Consumption/Investment Problems pp. ii-ii: Ernst Presman and Suresh Sethi
Consumption and Portfolio Policies With Incomplete Markets and Short‐Sale Constraints: the Finite‐Dimensional Case1 pp. 1-10: Hua He and Neil D. Pearson
Equilibrium Models With Singular Asset Prices pp. 11-29: Ioannis Karatzas, John P. Lehoczky and Steven E. Shreve
A Characterization of Complete Security Markets On A Brownian Filtration1 pp. 31-43: Robert Jarrow and Dilip B. Madan
Arbitrage Values Generally Depend On A Parametric Rate of Return pp. 45-52: Robin J. Brenner and J. L. Denny
Optimal Investment and Consumption With Two Bonds and Transaction Costs1 pp. 53-84: S. E. Shreve, H. M. Soner and G.‐L. Xu

Optimal Stopping and the American Put pp. 1-14: S. D. Jacka
Optimal Sure Portfolio Plans pp. 15-55: Lucien Foldes
A Note On Utility Maximization Under Partial Observations1 pp. 57-70: Ioannis Karatzas and Xlng‐Xlong Xue

Universal Portfolios pp. 1-29: Thomas M. Cover
Cash Stream Valuation In the Face of Transaction Costs and Taxes pp. 31-54: Jaime Cuevas Dermody and R. Tyrrell Rockafellar
Toward A Convergence Theory For Continuous Stochastic Securities Market Models1 pp. 55-59: Walter Willinger and Murad S. Taqqu
RISK‐AVERSION BEHAVIOR IN CONSUMPTION/INVESTMENT PROBLEMS1 pp. 100-124: Ernst Presman and Suresh Sethi