Mathematical Finance

1991 - 2026

Current editor(s): Jerome Detemple

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Volume 25, issue 4, 2015

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

Volume 25, issue 3, 2015

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

Volume 25, issue 2, 2015

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

Volume 25, issue 1, 2015

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

Volume 24, issue 4, 2014

LIQUIDATION IN LIMIT ORDER BOOKS WITH CONTROLLED INTENSITY pp. 627-650

Erhan Bayraktar and Michael Ludkovski

OPTIMAL TRADE EXECUTION AND PRICE MANIPULATION IN ORDER BOOKS WITH TIME-VARYING LIQUIDITY pp. 651-695

Antje Fruth, Torsten Schöneborn and Mikhail Urusov

OPTIMAL LIQUIDATION IN A LIMIT ORDER BOOK FOR A RISK-AVERSE INVESTOR pp. 696-727

Arne Løkka

ADMISSIBILITY OF GENERIC MARKET MODELS OF FORWARD SWAP RATES pp. 728-761

Libo Li and Marek Rutkowski

PRICING SWAPTIONS UNDER MULTIFACTOR GAUSSIAN HJM MODELS pp. 762-789

João Pedro Vidal Nunes and Pedro Miguel Silva Prazeres

SWAPTION PRICING IN AFFINE AND OTHER MODELS pp. 790-820

Don H. Kim

ARBITRAGE BOUNDS FOR PRICES OF WEIGHTED VARIANCE SWAPS pp. 821-854

Mark Davis, Jan Obłój and Vimal Raval

CLOSED FORM PRICING FORMULAS FOR DISCRETELY SAMPLED GENERALIZED VARIANCE SWAPS pp. 855-881

Wendong Zheng and Yue Kuen Kwok

Volume 24, issue 1, 2014

MEAN–VARIANCE PORTFOLIO OPTIMIZATION WITH STATE-DEPENDENT RISK AVERSION pp. 1-24

Tomas Bjork, Agatha Murgoci and Xun Yu Zhou

TIME-CONSISTENT AND MARKET-CONSISTENT EVALUATIONS pp. 25-65

Antoon Pelsser and Mitja Stadje

RETHINKING DYNAMIC CAPITAL STRUCTURE MODELS WITH ROLL-OVER DEBT pp. 66-96

Jean-Paul Décamps and Stéphane Villeneuve

NO-ARBITRAGE PRICING UNDER SYSTEMIC RISK: ACCOUNTING FOR CROSS-OWNERSHIP pp. 97-124

Tom Fischer

ARBITRAGE-FREE BILATERAL COUNTERPARTY RISK VALUATION UNDER COLLATERALIZATION AND APPLICATION TO CREDIT DEFAULT SWAPS pp. 125-146

Damiano Brigo, Agostino Capponi and Andrea Pallavicini

ON THE LOWER ARBITRAGE BOUND OF AMERICAN CONTINGENT CLAIMS pp. 147-155

Beatrice Acciaio and Gregor Svindland

A METHOD FOR PRICING AMERICAN OPTIONS USING SEMI-INFINITE LINEAR PROGRAMMING pp. 156-172

Sören Christensen

GAME CALL OPTIONS REVISITED pp. 173-206

S. C. P. Yam, S. P. Yung and W. Zhou

Volume 19, issue 3, 2009

CREDIT SPREADS, OPTIMAL CAPITAL STRUCTURE, AND IMPLIED VOLATILITY WITH ENDOGENOUS DEFAULT AND JUMP RISK pp. 343-378

Nan Chen and S. G. Kou

CONSTANT PROPORTION PORTFOLIO INSURANCE IN THE PRESENCE OF JUMPS IN ASSET PRICES pp. 379-401

Rama Cont and Peter Tankov

PRICING CORPORATE SECURITIES UNDER NOISY ASSET INFORMATION pp. 403-421

Rüdiger Frey and Thorsten Schmidt

MAXIMIZING THE GROWTH RATE UNDER RISK CONSTRAINTS pp. 423-455

Traian A. Pirvu and Gordan Žitković

SINGULAR PERTURBATION TECHNIQUES APPLIED TO MULTIASSET OPTION PRICING pp. 457-486

Peter W. Duck, Chao Yang, David P. Newton and Martin Widdicks

PORTFOLIO SELECTION WITH MONOTONE MEAN‐VARIANCE PREFERENCES pp. 487-521

Fabio Maccheroni, Massimo Marinacci, Aldo Rustichini and Marco Taboga

Volume 19, issue 2, 2009

NO‐FREE‐LUNCH EQUIVALENCES FOR EXPONENTIAL LÉVY MODELS UNDER CONVEX CONSTRAINTS ON INVESTMENT pp. 161-187

Constantinos Kardaras

RISK MEASURES ON ORLICZ HEARTS pp. 189-214

Patrick Cheridito and Tianhui Li

OPTIMAL CONSUMPTION AND PORTFOLIO DECISIONS WITH PARTIALLY OBSERVED REAL PRICES pp. 215-236

Alain Bensoussan, Jussi Keppo and Suresh Sethi

CONTINUITY OF UTILITY‐MAXIMIZATION WITH RESPECT TO PREFERENCES pp. 237-250

Kasper Larsen

EXPLICIT SOLUTIONS OF CONSUMPTION‐INVESTMENT PROBLEMS IN FINANCIAL MARKETS WITH REGIME SWITCHING pp. 251-279

Luz Rocío Sotomayor and Abel Cadenillas

ESTIMATION OF VALUE AT RISK AND RUIN PROBABILITY FOR DIFFUSION PROCESSES WITH JUMPS pp. 281-302

Laurent Denis, Begoña Fernández and Ana Meda

IMPLIED VOLATILITY IN THE HULL–WHITE MODEL pp. 303-327

Archil Gulisashvili and Elias M. Stein

RISK MEASURES FOR NON‐INTEGRABLE RANDOM VARIABLES pp. 329-333

Freddy Delbaen

AN AXIOMATIZATION OF QUANTILES ON THE DOMAIN OF DISTRIBUTION FUNCTIONS pp. 335-342

Christopher Chambers

Volume 19, issue 1, 2009

REGULAR VARIATION AND SMILE ASYMPTOTICS pp. 1-12

S. Benaim and P. Friz

CAPITAL ALLOCATION AND RISK CONTRIBUTION WITH DISCRETE‐TIME COHERENT RISK pp. 13-40

Alexander S. Cherny

CONSISTENT MARKET EXTENSIONS UNDER THE BENCHMARK APPROACH pp. 41-52

Damir Filipović and Eckhard Platen

TRUE UPPER BOUNDS FOR BERMUDAN PRODUCTS VIA NON‐NESTED MONTE CARLO pp. 53-71

Denis Belomestny, Christian Bender and John Schoenmakers

MODELING THE RECOVERY RATE IN A REDUCED FORM MODEL pp. 73-97

Xin Guo, Robert Jarrow and Yan Zeng

ACCOUNTING FOR RISK AVERSION, VESTING, JOB TERMINATION RISK AND MULTIPLE EXERCISES IN VALUATION OF EMPLOYEE STOCK OPTIONS pp. 99-128

Tim Leung and Ronnie Sircar

OPTIMAL INVESTMENT WITH AN UNBOUNDED RANDOM ENDOWMENT AND UTILITY‐BASED PRICING pp. 129-159

Mark P. Owen and Gordan Žitković