Mathematical Finance

1991 - 2025

Current editor(s): Jerome Detemple

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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

Volume 18, issue 4, 2008

PREFACE pp. iii-iii

Wenjiang Jiang and Xun Yu Zhou

DEFAULTABLE OPTIONS IN A MARKOVIAN INTENSITY MODEL OF CREDIT RISK pp. 493-518

Tomasz R. Bielecki, Stéphane Crépey, Monique Jeanblanc and Marek Rutkowski

AN EQUILIBRIUM GUIDE TO DESIGNING AFFINE PRICING MODELS pp. 519-543

Bjørn Eraker and Ivan Shaliastovich

OPTIMAL TIMING FOR AN INDIVISIBLE ASSET SALE pp. 545-567

Jonathan Evans, Vicky Henderson and David Hobson

OPTIONED PORTFOLIO SELECTION: MODELS AND ANALYSIS pp. 569-593

Jianfeng Liang, Shuzhong Zhang and Duan Li

GUARANTEED MINIMUM WITHDRAWAL BENEFIT IN VARIABLE ANNUITIES pp. 595-611

Min Dai, Yue Kuen Kwok and Jianping Zong

A MODEL OF OPTIMAL CONSUMPTION UNDER LIQUIDITY RISK WITH RANDOM TRADING TIMES pp. 613-627

Huyên Pham and Peter Tankov

LIQUIDATION OF A LARGE BLOCK OF STOCK WITH REGIME SWITCHING pp. 629-648

Moustapha Pemy, Zhang Qing and G. George Yin

OPTIMAL MULTI‐AGENT PERFORMANCE MEASURES FOR TEAM CONTRACTS pp. 649-667

Hyeng Keun Koo, Gyoocheol Shim and Jaeyoung Sung

Volume 18, issue 3, 2008

PRICING DISCRETELY MONITORED BARRIER OPTIONS AND DEFAULTABLE BONDS IN LÉVY PROCESS MODELS: A FAST HILBERT TRANSFORM APPROACH pp. 337-384

Liming Feng and Vadim Linetsky

BEHAVIORAL PORTFOLIO SELECTION IN CONTINUOUS TIME pp. 385-426

Hanqing Jin and Xun Yu Zhou

BIVARIATE SUPPORT OF FORWARD LIBOR AND SWAP RATES pp. 427-443

Farshid Jamshidian

OPTIMAL PORTFOLIO, CONSUMPTION‐LEISURE AND RETIREMENT CHOICE PROBLEM WITH CES UTILITY pp. 445-472

Kyoung Jin Choi, Gyoocheol Shim and Yong Hyun Shin

MEAN–VARIANCE HEDGING AND OPTIMAL INVESTMENT IN HESTON'S MODEL WITH CORRELATION pp. 473-492

Aleš Černý and Jan Kallsen

Volume 18, issue 2, 2008

OPTIMALITY AND STATE PRICING IN CONSTRAINED FINANCIAL MARKETS WITH RECURSIVE UTILITY UNDER CONTINUOUS AND DISCONTINUOUS INFORMATION pp. 199-238

Mark Schroder and Costis Skiadas

OPTIMAL MULTIPLE STOPPING AND VALUATION OF SWING OPTIONS pp. 239-268

René Carmona and Nizar Touzi

OPTIMAL RISK SHARING FOR LAW INVARIANT MONETARY UTILITY FUNCTIONS pp. 269-292

Elyès Jouini, W. Schachermayer and N. Touzi

ON THE CONSISTENCY OF THE LUCAS PRICING FORMULA pp. 293-303

Knut Aase

A COUNTEREXAMPLE CONCERNING THE VARIANCE‐OPTIMAL MARTINGALE MEASURE pp. 305-316

Aleš Černý and Jan Kallsen

OPTIMAL PORTFOLIOS WITH LOWER PARTIAL MOMENT CONSTRAINTS AND LPM‐RISK‐OPTIMAL MARTINGALE MEASURES pp. 317-331

Johannes Leitner

OPTIMAL NUMERAIRES FOR RISK MEASURES pp. 333-336

Damir Filipović

Volume 18, issue 1, 2008

VALUATIONS AND DYNAMIC CONVEX RISK MEASURES pp. 1-22

A. Jobert and L. C. G. Rogers

ASSET PRICING WITH NO EXOGENOUS PROBABILITY MEASURE pp. 23-54

Gianluca Cassese

OPTIMAL CAPITAL AND RISK TRANSFERS FOR GROUP DIVERSIFICATION pp. 55-76

Damir Filipović and Michael Kupper

TERM STRUCTURES OF IMPLIED VOLATILITIES: ABSENCE OF ARBITRAGE AND EXISTENCE RESULTS pp. 77-114

Martin Schweizer and Johannes Wissel

SIMULATION‐BASED PORTFOLIO OPTIMIZATION FOR LARGE PORTFOLIOS WITH TRANSACTION COSTS pp. 115-134

Kumar Muthuraman and Haining Zha

SOLVABLE AFFINE TERM STRUCTURE MODELS pp. 135-153

Martino Grasselli and Claudio Tebaldi

HOW CLOSE ARE THE OPTION PRICING FORMULAS OF BACHELIER AND BLACK–MERTON–SCHOLES? pp. 155-170

Walter Schachermayer and Josef Teichmann

A CONVEX STOCHASTIC OPTIMIZATION PROBLEM ARISING FROM PORTFOLIO SELECTION pp. 171-183

Hanqing Jin, Zuo Quan Xu and Xun Yu Zhou

CONVEXITY OF THE EXERCISE BOUNDARY OF THE AMERICAN PUT OPTION ON A ZERO DIVIDEND ASSET pp. 185-197

Xinfu Chen, John Chadam, Lishang Jiang and Weian Zheng