Mathematical Finance

1991 - 2025

Current editor(s): Jerome Detemple

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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

Volume 27, issue 4, 2017

ROBUST FUNDAMENTAL THEOREM FOR CONTINUOUS PROCESSES pp. 963-987

Sara Biagini, Bruno Bouchard, Constantinos Kardaras and Marcel Nutz

ON ARBITRAGE AND DUALITY UNDER MODEL UNCERTAINTY AND PORTFOLIO CONSTRAINTS pp. 988-1012

Erhan Bayraktar and Zhou Zhou

THE 4/2 STOCHASTIC VOLATILITY MODEL: A UNIFIED APPROACH FOR THE HESTON AND THE 3/2 MODEL pp. 1013-1034

Martino Grasselli

LEVERAGED ETF IMPLIED VOLATILITIES FROM ETF DYNAMICS pp. 1035-1068

Tim Leung, Matthew Lorig and Andrea Pascucci

DENSITY OF SKEW BROWNIAN MOTION AND ITS FUNCTIONALS WITH APPLICATION IN FINANCE pp. 1069-1088

Alexander Gairat and Vadim Shcherbakov

EFFICIENT PRICING OF BARRIER OPTIONS AND CREDIT DEFAULT SWAPS IN LÉVY MODELS WITH STOCHASTIC INTEREST RATE pp. 1089-1123

Svetlana Boyarchenko and Sergei Levendorskiĭ

Volume 27, issue 3, 2017

SHADOW PRICES FOR CONTINUOUS PROCESSES pp. 623-658

Christoph Czichowsky, Walter Schachermayer and Junjian Yang

THE GENERAL STRUCTURE OF OPTIMAL INVESTMENT AND CONSUMPTION WITH SMALL TRANSACTION COSTS pp. 659-703

Jan Kallsen and Johannes Muhle-Karbe

PORTFOLIO OPTIMIZATION AND STOCHASTIC VOLATILITY ASYMPTOTICS pp. 704-745

Jean-Pierre Fouque, Ronnie Sircar and Thaleia Zariphopoulou

PRICING FOR LARGE POSITIONS IN CONTINGENT CLAIMS pp. 746-778

Scott Robertson

A STATE-CONSTRAINED DIFFERENTIAL GAME ARISING IN OPTIMAL PORTFOLIO LIQUIDATION pp. 779-802

Alexander Schied and Tao Zhang

OPTION PRICING AND HEDGING WITH EXECUTION COSTS AND MARKET IMPACT pp. 803-831

Olivier Guéant and Jiang Pu

APPROXIMATE HEDGING PROBLEM WITH TRANSACTION COSTS IN STOCHASTIC VOLATILITY MARKETS pp. 832-865

Thai Huu Nguyen and Serguei Pergamenshchikov

A PRIMAL–DUAL ALGORITHM FOR BSDES pp. 866-901

Christian Bender, Nikolaus Schweizer and Jia Zhuo

A FIRST-ORDER BSPDE FOR SWING OPTION PRICING: CLASSICAL SOLUTIONS pp. 902-925

Christian Bender and Nikolai Dokuchaev

EXPLICIT IMPLIED VOLATILITIES FOR MULTIFACTOR LOCAL-STOCHASTIC VOLATILITY MODELS pp. 926-960

Matthew Lorig, Stefano Pagliarani and Andrea Pascucci

Volume 27, issue 2, 2017

TUG-OF-WAR, MARKET MANIPULATION, AND OPTION PRICING pp. 279-312

Kaj Nyström and Mikko Parviainen

DYNAMIC TRADING VOLUME pp. 313-349

Paolo Guasoni and Marko Weber

TRADING WITH SMALL PRICE IMPACT pp. 350-400

Ludovic Moreau, Johannes Muhle-Karbe and H. Mete Soner

IMPACT OF TIME ILLIQUIDITY IN A MIXED MARKET WITHOUT FULL OBSERVATION pp. 401-437

Salvatore Federico, Paul Gassiat and Fausto Gozzi

OPTIMAL INVESTMENT FOR ALL TIME HORIZONS AND MARTIN BOUNDARY OF SPACE-TIME DIFFUSIONS pp. 438-470

Sergey Nadtochiy and Michael Tehranchi

MEAN-VARIANCE POLICY FOR DISCRETE-TIME CONE-CONSTRAINED MARKETS: TIME CONSISTENCY IN EFFICIENCY AND THE MINIMUM-VARIANCE SIGNED SUPERMARTINGALE MEASURE pp. 471-504

Xiangyu Cui, Duan Li and Xun Li

RISK-MINIMIZATION FOR LIFE INSURANCE LIABILITIES WITH DEPENDENT MORTALITY RISK pp. 505-533

Francesca Biagini, Camila Botero and Irene Schreiber

MODEL UNCERTAINTY AND SCENARIO AGGREGATION pp. 534-567

Mathieu Cambou and Damir Filipović

NO-ARBITRAGE IN A NUMÉRAIRE-INDEPENDENT MODELING FRAMEWORK pp. 568-603

Martin Herdegen

AN ANALYTICAL SOLUTION FOR THE TWO-SIDED PARISIAN STOPPING TIME, ITS ASYMPTOTICS, AND THE PRICING OF PARISIAN OPTIONS pp. 604-620

Angelos Dassios and Jia Wei Lim

Volume 27, issue 1, 2017

ROBUST PORTFOLIOS AND WEAK INCENTIVES IN LONG-RUN INVESTMENTS pp. 3-37

Paolo Guasoni, Johannes Muhle-Karbe and Hao Xing

STABILITY OF THE EXPONENTIAL UTILITY MAXIMIZATION PROBLEM WITH RESPECT TO PREFERENCES pp. 38-67

Hao Xing

THE NUMÉRAIRE PROPERTY AND LONG-TERM GROWTH OPTIMALITY FOR DRAWDOWN-CONSTRAINED INVESTMENTS pp. 68-95

Constantinos Kardaras, Jan Obłój and Eckhard Platen

OPTIMAL INVESTMENT WITH INTERMEDIATE CONSUMPTION AND RANDOM ENDOWMENT pp. 96-114

Oleksii Mostovyi

SENSITIVITY ANALYSIS OF NONLINEAR BEHAVIOR WITH DISTORTED PROBABILITY pp. 115-150

Xi-Ren Cao and Xiangwei Wan

LOCAL VARIANCE GAMMA AND EXPLICIT CALIBRATION TO OPTION PRICES pp. 151-193

Peter Carr and Sergey Nadtochiy

ON THE MARTINGALE PROPERTY IN STOCHASTIC VOLATILITY MODELS BASED ON TIME-HOMOGENEOUS DIFFUSIONS pp. 194-223

Carole Bernard, Zhenyu Cui and Don McLeish

REAL OPTIONS WITH COMPETITION AND REGIME SWITCHING pp. 224-250

Alain Bensoussan, SingRu Hoe, ZhongFeng Yan and George Yin

PRICE SETTING OF MARKET MAKERS: A FILTERING PROBLEM WITH ENDOGENOUS FILTRATION pp. 251-275

Christoph Kühn and Matthias Riedel