Mathematical Finance

1991 - 2025

Current editor(s): Jerome Detemple

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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

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

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

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

NO-ARBITRAGE PRICING FOR DIVIDEND-PAYING SECURITIES IN DISCRETE-TIME MARKETS WITH TRANSACTION COSTS pp. 673-701: Tomasz R. Bielecki, Igor Cialenco and Rodrigo Rodriguez
OPTION PRICING AND HEDGING WITH SMALL TRANSACTION COSTS pp. 702-723: Jan Kallsen and Johannes Muhle-Karbe
LONG HORIZONS, HIGH RISK AVERSION, AND ENDOGENOUS SPREADS pp. 724-753: Paolo Guasoni and Johannes Muhle-Karbe
OPTIMAL SELLING RULES FOR MONETARY INVARIANT CRITERIA: TRACKING THE MAXIMUM OF A PORTFOLIO WITH NEGATIVE DRIFT pp. 754-788: Romuald Elie and Gilles-Edouard Espinosa
STATIC FUND SEPARATION OF LONG-TERM INVESTMENTS pp. 789-826: Paolo Guasoni and Scott Robertson
A GENERAL EQUILIBRIUM MODEL OF A MULTIFIRM MORAL-HAZARD ECONOMY WITH FINANCIAL MARKETS pp. 827-868: Jaeyoung Sung and Xuhu Wan
MARKETS FOR INFLATION-INDEXED BONDS AS MECHANISMS FOR EFFICIENT MONETARY POLICY pp. 869-889: Christian-Oliver Ewald and Johannes Geissler

GENERAL INTENSITY SHAPES IN OPTIMAL LIQUIDATION pp. 457-495: Olivier Guéant and Charles-Albert Lehalle
PORTFOLIO LIQUIDATION IN DARK POOLS IN CONTINUOUS TIME pp. 496-544: Peter Kratz and Torsten Schöneborn
OPTIMAL HIGH-FREQUENCY TRADING IN A PRO RATA MICROSTRUCTURE WITH PREDICTIVE INFORMATION pp. 545-575: Fabien Guilbaud and Huyên Pham
RISK METRICS AND FINE TUNING OF HIGH-FREQUENCY TRADING STRATEGIES pp. 576-611: Álvaro Cartea and Sebastian Jaimungal
OPTIMAL EXECUTION OF A VWAP ORDER: A STOCHASTIC CONTROL APPROACH pp. 612-639: Christoph Frei and Nicholas Westray
OPTIMAL EXECUTION HORIZON pp. 640-672: David Easley, Marcos Lopez Prado and Maureen O'Hara

OPTIMAL INVESTMENT UNDER RELATIVE PERFORMANCE CONCERNS pp. 221-257: Gilles-Edouard Espinosa and Nizar Touzi
ROBUST UTILITY MAXIMIZATION IN NONDOMINATED MODELS WITH 2BSDE: THE UNCERTAIN VOLATILITY MODEL pp. 258-287: Anis Matoussi, Dylan Possamaï and Chao Zhou
AN ONLINE PORTFOLIO SELECTION ALGORITHM WITH REGRET LOGARITHMIC IN PRICE VARIATION pp. 288-310: Elad Hazan and Satyen Kale
THE EFFECT OF TRADING FUTURES ON SHORT SALE CONSTRAINTS pp. 311-338: Robert Jarrow, Philip Protter and Sergio Pulido
DUAL REPRESENTATIONS FOR GENERAL MULTIPLE STOPPING PROBLEMS pp. 339-370: Christian Bender, John Schoenmakers and Jianing Zhang
ON THE CONSISTENCY OF REGRESSION-BASED MONTE CARLO METHODS FOR PRICING BERMUDAN OPTIONS IN CASE OF ESTIMATED FINANCIAL MODELS pp. 371-399: Andreas Fromkorth and Michael Kohler
FROM SMILE ASYMPTOTICS TO MARKET RISK MEASURES pp. 400-425: Ronnie Sircar and Stephan Sturm
CORRELATION UNDER STRESS IN NORMAL VARIANCE MIXTURE MODELS pp. 426-456: Michael Kalkbrener and Natalie Packham

BILATERAL COUNTERPARTY RISK UNDER FUNDING CONSTRAINTS—PART I: PRICING pp. 1-22: Stéphane Crépey
BILATERAL COUNTERPARTY RISK UNDER FUNDING CONSTRAINTS—PART II: CVA pp. 23-50: Stéphane Crépey
DEFAULT AND SYSTEMIC RISK IN EQUILIBRIUM pp. 51-76: Agostino Capponi and Martin Larsson
LARGE PORTFOLIO ASYMPTOTICS FOR LOSS FROM DEFAULT pp. 77-114: Kay Giesecke, Konstantinos Spiliopoulos, Richard B. Sowers and Justin A. Sirignano
ON OPTIMAL INVESTMENT FOR A BEHAVIORAL INVESTOR IN MULTIPERIOD INCOMPLETE MARKET MODELS pp. 115-153: Laurence Carassus and Miklós Rásonyi
OPTIMAL INSURANCE DESIGN UNDER RANK-DEPENDENT EXPECTED UTILITY pp. 154-186: Carole Bernard, Xuedong He, Jia-An Yan and Xun Yu Zhou
GENERAL PROPERTIES OF ISOELASTIC UTILITY ECONOMIES pp. 187-219: Joel M. Vanden