Mathematical Finance

1991 - 2026

Current editor(s): Jerome Detemple

From Wiley Blackwell
Bibliographic data for series maintained by Wiley Content Delivery ().

Access Statistics for this journal.
Is something missing from the series or not right? See the RePEc data check for the archive and series.

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

Volume 26, issue 4, 2016

MULTIVARIATE SUBORDINATION OF MARKOV PROCESSES WITH FINANCIAL APPLICATIONS pp. 699-747

Rafael Mendoza-Arriaga and Vadim Linetsky

EXPECTATIONS OF FUNCTIONS OF STOCHASTIC TIME WITH APPLICATION TO CREDIT RISK MODELING pp. 748-784

Ovidiu Costin, Michael Gordy, Min Huang and Pawel J. Szerszen

OPTIMAL INVESTMENT IN CREDIT DERIVATIVES PORTFOLIO UNDER CONTAGION RISK pp. 785-834

Lijun Bo and Agostino Capponi

FIRE SALES FORENSICS: MEASURING ENDOGENOUS RISK pp. 835-866

Rama Cont and Lakshithe Wagalath

MULTIVARIATE RISK MEASURES: A CONSTRUCTIVE APPROACH BASED ON SELECTIONS pp. 867-900

Ilya Molchanov and Ignacio Cascos

COHERENCE AND ELICITABILITY pp. 901-918

Johanna F. Ziegel

PRICE-ADMISSIBILITY CONDITIONS FOR ARBITRAGE-FREE LINEAR PRICE FUNCTION MODELS FOR THE TERM STRUCTURE OF INTEREST RATES pp. 919-938

Andrew F. Siegel

MODEL-INDEPENDENT LOWER BOUND ON VARIANCE SWAPS pp. 939-961

Nabil Kahalé

FAST SWAPTION PRICING IN GAUSSIAN TERM STRUCTURE MODELS pp. 962-982

Jaehyuk Choi and Sungchan Shin

Volume 26, issue 3, 2016

A FIRST-ORDER BSPDE FOR SWING OPTION PRICING pp. 461-491

Christian Bender and Nikolai Dokuchaev

VALUATION OF BARRIER OPTIONS VIA A GENERAL SELF-DUALITY pp. 492-515

Elisa Alòs, Zhanyu Chen and Thorsten Rheinländer

HIGH-ORDER SHORT-TIME EXPANSIONS FOR ATM OPTION PRICES OF EXPONENTIAL LÉVY MODELS pp. 516-557

José E. Figueroa-López, Ruoting Gong and Christian Houdré

ARROW–DEBREU EQUILIBRIA FOR RANK-DEPENDENT UTILITIES pp. 558-588

Jianming Xia and Xun Yu Zhou

A NOTE ON THE QUANTILE FORMULATION pp. 589-601

Zuo Quan Xu

DO ARBITRAGE-FREE PRICES COME FROM UTILITY MAXIMIZATION? pp. 602-616

Pietro Siorpaes

BENCHMARKED RISK MINIMIZATION pp. 617-637

Ke Du and Eckhard Platen

MULTIDIMENSIONAL DYNAMIC RISK MEASURE VIA CONDITIONAL g-EXPECTATION pp. 638-673

Yuhong Xu

GAMBLING IN CONTESTS WITH REGRET pp. 674-695

Han Feng and David Hobson

Volume 26, issue 2, 2016

A MODEL-FREE VERSION OF THE FUNDAMENTAL THEOREM OF ASSET PRICING AND THE SUPER-REPLICATION THEOREM pp. 233-251

B. Acciaio, M. Beiglböck, F. Penkner and W. Schachermayer

UTILITY MAXIMIZATION UNDER MODEL UNCERTAINTY IN DISCRETE TIME pp. 252-268

Marcel Nutz

THE INCENTIVES OF HEDGE FUND FEES AND HIGH-WATER MARKS pp. 269-295

Paolo Guasoni and Jan Obłój

ON VALUING STOCHASTIC PERPETUITIES USING NEW LONG HORIZON STOCK PRICE MODELS DISTINGUISHING BOOMS, BUSTS, AND BALANCED MARKETS pp. 296-328

Dilip B. Madan and Marc Yor

RESILIENCE TO CONTAGION IN FINANCIAL NETWORKS pp. 329-365

Hamed Amini, Rama Cont and Andreea Minca

STOCHASTIC LOCAL INTENSITY LOSS MODELS WITH INTERACTING PARTICLE SYSTEMS pp. 366-394

Aurélien Alfonsi, Céline Labart and Jérôme Lelong

MEASURING DISTRIBUTION MODEL RISK pp. 395-411

Thomas Breuer and Imre Csiszár

COMPARING LOCAL RISKS BY ACCEPTANCE AND REJECTION pp. 412-430

Amnon Schreiber

MODEL-INDEPENDENT NO-ARBITRAGE CONDITIONS ON AMERICAN PUT OPTIONS pp. 431-458

Alexander M. G. Cox and Christoph Hoeggerl

Volume 26, issue 1, 2016

HOPE, FEAR, AND ASPIRATIONS pp. 3-50

Xue Dong He and Xun Yu Zhou

BEHAVIORAL PORTFOLIO SELECTION: ASYMPTOTICS AND STABILITY ALONG A SEQUENCE OF MODELS pp. 51-85

Christian Reichlin

LINKED RECURSIVE PREFERENCES AND OPTIMALITY pp. 86-121

Shlomo Levental, Sumit Sinha and Mark Schroder

BESSEL PROCESSES, STOCHASTIC VOLATILITY, AND TIMER OPTIONS pp. 122-148

Chenxu Li

A NEW LOOK AT SHORT-TERM IMPLIED VOLATILITY IN ASSET PRICE MODELS WITH JUMPS pp. 149-183

Aleksandar Mijatović and Peter Tankov

CVaR HEDGING USING QUANTIZATION-BASED STOCHASTIC APPROXIMATION ALGORITHM pp. 184-229

O. Bardou, N. Frikha and G. Pagès