Mathematical Finance

1991 - 2026

Current editor(s): Jerome Detemple

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Volume 29, issue 4, 2019

Mean field and n‐agent games for optimal investment under relative performance criteria pp. 1003-1038

Daniel Lacker and Thaleia Zariphopoulou

Periodic strategies in optimal execution with multiplicative price impact pp. 1039-1065

Daniel Hernández‐Hernández, Harold A. Moreno‐Franco and José‐Luis Pérez

Portfolio choice with small temporary and transient price impact pp. 1066-1115

Ibrahim Ekren and Johannes Muhle‐Karbe

A variation of the Azéma martingale and drawdown options pp. 1116-1130

Angelos Dassios and Jia Wei Lim

An efficient approach to quantile capital allocation and sensitivity analysis pp. 1131-1156

Vali Asimit, Liang Peng, Ruodu Wang and Alex Yu

A rational asset pricing model for premiums and discounts on closed‐end funds: The bubble theory pp. 1157-1170

Robert Jarrow and Philip Protter

Volume 29, issue 3, 2019

Optimal portfolio under fractional stochastic environment pp. 697-734

Jean‐Pierre Fouque and Ruimeng Hu

Trading algorithms with learning in latent alpha models pp. 735-772

Philippe Casgrain and Sebastian Jaimungal

Cover's universal portfolio, stochastic portfolio theory, and the numéraire portfolio pp. 773-803

Christa Cuchiero, Walter Schachermayer and Ting‐Kam Leonard Wong

On the relation between linearity‐generating processes and linear‐rational models pp. 804-826

Damir Filipović, Martin Larsson and Anders B. Trolle

Unspanned stochastic volatility in the multifactor CIR model pp. 827-836

Damir Filipović, Martin Larsson and Francesco Statti

Superreplication with proportional transaction cost under model uncertainty pp. 837-860

Bruno Bouchard, Shuoqing Deng and Xiaolu Tan

The robust pricing–hedging duality for American options in discrete time financial markets pp. 861-897

Anna Aksamit, Shuoqing Deng, Jan Obłój and Xiaolu Tan

Arrow–Debreu equilibria for rank‐dependent utilities with heterogeneous probability weighting pp. 898-927

Hanqing Jin, Jianming Xia and Xun Yu Zhou

The short‐time behavior of VIX‐implied volatilities in a multifactor stochastic volatility framework pp. 928-966

Andrea Barletta, Elisa Nicolato and Stefano Pagliarani

Value‐at‐Risk bounds with two‐sided dependence information pp. 967-1000

Thibaut Lux and Ludger Rüschendorf

Volume 29, issue 2, 2019

Realization utility with adaptive reference points pp. 409-447

Xuedong He and Linan Yang

Who should sell stocks? pp. 448-482

Paolo Guasoni, Ren Liu and Johannes Muhle‐Karbe

Optimal consumption and investment under transaction costs pp. 483-506

David Hobson, Alex S. L. Tse and Yeqi Zhu

Optimal trade execution in order books with stochastic liquidity pp. 507-541

Antje Fruth, Torsten Schöneborn and Mikhail Urusov

Trading co‐integrated assets with price impact pp. 542-567

Álvaro Cartea, Luhui Gan and Sebastian Jaimungal

Affine multiple yield curve models pp. 568-611

Christa Cuchiero, Claudio Fontana and Alessandro Gnoatto

Static hedging and pricing of exotic options with payoff frames pp. 612-658

Justin Lars Kirkby and Shijie Deng

Optimal insurance under rank‐dependent utility and incentive compatibility pp. 659-692

Zuo Quan Xu, Xun Yu Zhou and Sheng Chao Zhuang

Volume 29, issue 1, 2019

The characteristic function of rough Heston models pp. 3-38

Omar El Euch and Mathieu Rosenbaum

Option pricing under fast‐varying long‐memory stochastic volatility pp. 39-83

Josselin Garnier and Knut Sølna

Corporate security prices in structural credit risk models with incomplete information pp. 84-116

Rüdiger Frey, Lars Rösler and Dan Lu

Financial models with defaultable numéraires pp. 117-136

Travis Fisher, Sergio Pulido and Johannes Ruf

Credit portfolio selection with decaying contagion intensities pp. 137-173

Lijun Bo, Agostino Capponi and Peng‐Chu Chen

Robust Markowitz mean‐variance portfolio selection under ambiguous covariance matrix pp. 174-207

Amine Ismail and Huyên Pham

Backward SDEs for control with partial information pp. 208-248

Andrew Papanicolaou

The limits of leverage pp. 249-284

Paolo Guasoni and Eberhard Mayerhofer

Strict local martingales and optimal investment in a Black–Scholes model with a bubble pp. 285-328

Martin Herdegen and Sebastian Herrmann

A unified approach to systemic risk measures via acceptance sets pp. 329-367

Francesca Biagini, Jean‐Pierre Fouque, Marco Frittelli and Thilo Meyer‐Brandis

Distribution‐constrained optimal stopping pp. 368-406

Erhan Bayraktar and Christopher W. Miller

Volume 28, issue 4, 2018

Convex duality for Epstein–Zin stochastic differential utility pp. 991-1019

Anis Matoussi and Hao Xing

Risk management with weighted VaR pp. 1020-1060

Pengyu Wei

Semi‐efficient valuations and put‐call parity pp. 1061-1106

Martin Herdegen and Martin Schweizer

The valuation of American options in a multidimensional exponential Lévy model pp. 1107-1142

Tomasz Klimsiak and Andrzej Rozkosz

The optimal method for pricing Bermudan options by simulation pp. 1143-1180

Alfredo Ibáñez and Carlos Velasco

Volume 28, issue 3, 2018

Consistent recalibration of yield curve models pp. 757-799

Philipp Harms, David Stefanovits, Josef Teichmann and Mario V. Wüthrich

On the market viability under proportional transaction costs pp. 800-838

Erhan Bayraktar and Xiang Yu

Liquidity effects of trading frequency pp. 839-876

Roman Gayduk and Sergey Nadtochiy

Error analysis of finite difference and Markov chain approximations for option pricing pp. 877-919

Lingfei Li and Gongqiu Zhang

Analytical approximations of local†Heston volatility model and error analysis pp. 920-961

R. Bompis and E. Gobet

Option pricing in the moderate deviations regime pp. 962-988

Peter Friz, Stefan Gerhold and Arpad Pinter

Volume 28, issue 2, 2018

Super†replication in fully incomplete markets pp. 483-515

Yan Dolinsky and Ariel Neufeld

Conic martingales from stochastic integrals pp. 516-535

Monique Jeanblanc and Frédéric Vrins

On peacocks and lyrebirds: Australian options, Brownian bridges, and the average of submartingales pp. 536-549

Christian-Oliver Ewald and Marc Yor

On American VIX options under the generalized 3/2 and 1/2 models pp. 550-581

Jerome Detemple and Yerkin Kitapbayev

Arbitrage†free XVA pp. 582-620

Maxim Bichuch, Agostino Capponi and Stephan Sturm

Fair bilateral pricing under funding costs and exogenous collateralization pp. 621-655

Tianyang Nie and Marek Rutkowski

A note on the long rate in factor models of the term structure pp. 656-667

Jan de Kort

Small†cost asymptotics for long†term growth rates in incomplete markets pp. 668-711

Yaroslav Melnyk and Frank Thomas Seifried

Optimal cash holdings under heterogeneous beliefs pp. 712-747

Robert Jarrow, Andrey Krishenik and Andreea Minca

On the C†property and w∗†representations of risk measures pp. 748-754

Niushan Gao and Foivos Xanthos

Volume 28, issue 1, 2018

SHAREHOLDER RISK MEASURES pp. 5-28

Delia Coculescu and Jean Rochet

ASYMPTOTIC EQUIVALENCE OF RISK MEASURES UNDER DEPENDENCE UNCERTAINTY pp. 29-49

Jun Cai, Haiyan Liu and Ruodu Wang

PROFIT SHARING IN HEDGE FUNDS pp. 50-81

Xue Dong He and Steven Kou

ROBUST UTILITY MAXIMIZATION WITH LÉVY PROCESSES pp. 82-105

Ariel Neufeld and Marcel Nutz

UTILITY MAXIMIZATION IN A LARGE MARKET pp. 106-118

Oleksii Mostovyi

INVESTING WITH LIQUID AND ILLIQUID ASSETS pp. 119-152

Maxim Bichuch and Paolo Guasoni

LIQUIDATION OF AN INDIVISIBLE ASSET WITH INDEPENDENT INVESTMENT pp. 153-176

Emilie Fabre, Guillaume Royer and Nizar Touzi

OPTIMAL LIQUIDATION AND ADVERSE SELECTION IN DARK POOLS pp. 177-210

Peter Kratz and Torsten Schöneborn

DYNAMIC DEFAULTABLE TERM STRUCTURE MODELING BEYOND THE INTENSITY PARADIGM pp. 211-239

Frank Gehmlich and Thorsten Schmidt

MODELING SOVEREIGN RISKS: FROM A HYBRID MODEL TO THE GENERALIZED DENSITY APPROACH pp. 240-267

Ying Jiao and Shanqiu Li

BOUNDING WRONG†WAY RISK IN CVA CALCULATION pp. 268-305

Paul Glasserman and Linan Yang

SOCIAL DISCOUNTING AND THE LONG RATE OF INTEREST pp. 306-334

Dorje C. Brody and Lane P. Hughston

INDIFFERENCE PRICING FOR CONTINGENT CLAIMS: LARGE DEVIATIONS EFFECTS pp. 335-371

Scott Robertson and Konstantinos Spiliopoulos

INDIFFERENCE PRICES AND IMPLIED VOLATILITIES pp. 372-408

Matthew Lorig

INTERNATIONAL RESERVE MANAGEMENT: A DRIFT†SWITCHING REFLECTED JUMP†DIFFUSION MODEL pp. 409-446

Ning Cai and Xuewei Yang

CONVERGENCE OF A LEAST†SQUARES MONTE CARLO ALGORITHM FOR AMERICAN OPTION PRICING WITH DEPENDENT SAMPLE DATA pp. 447-479

Daniel Z. Zanger