Mathematical Finance

1991 - 2025

Current editor(s): Jerome Detemple

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Volume 17, issue 4, 2007

A NOTE ON THE EFFECTS OF TAXES ON OPTIMAL INVESTMENT pp. 477-485

Cristin Buescu, Abel Cadenillas and Stanley R. Pliska

CALLABLE PUTS AS COMPOSITE EXOTIC OPTIONS pp. 487-502

Christoph Kühn and Andreas E. Kyprianou

THE EIGENFUNCTION EXPANSION METHOD IN MULTI‐FACTOR QUADRATIC TERM STRUCTURE MODELS pp. 503-539

Nina Boyarchenko and Sergei Levendorskiǐ

INTENSITY‐BASED VALUATION OF RESIDENTIAL MORTGAGES: AN ANALYTICALLY TRACTABLE MODEL pp. 541-573

Vyacheslav Gorovoy and Vadim Linetsky

LINEAR‐QUADRATIC JUMP‐DIFFUSION MODELING pp. 575-598

Peng Cheng and Olivier Scaillet

DYNAMIC INDIFFERENCE VALUATION VIA CONVEX RISK MEASURES pp. 599-627

Susanne Klöppel and Martin Schweizer

Volume 17, issue 3, 2007

PORTFOLIO MANAGEMENT WITH CONSTRAINTS pp. 319-343

Phelim Boyle and Weidong Tian

LARGE DEVIATIONS IN MULTIFACTOR PORTFOLIO CREDIT RISK pp. 345-379

Paul Glasserman, Wanmo Kang and Perwez Shahabuddin

PROPERTIES OF OPTION PRICES IN MODELS WITH JUMPS pp. 381-397

Erik Ekström and Johan Tysk

A STATE‐SPACE PARTITIONING METHOD FOR PRICING HIGH‐DIMENSIONAL AMERICAN‐STYLE OPTIONS pp. 399-426

Xing Jin, Hwee Huat Tan and Junhua Sun

HEATH–JARROW–MORTON INTEREST RATE DYNAMICS AND APPROXIMATELY CONSISTENT FORWARD RATE CURVES pp. 427-447

Claudia La Chioma and Benedetto Piccoli

AN OLD‐NEW CONCEPT OF CONVEX RISK MEASURES: THE OPTIMIZED CERTAINTY EQUIVALENT pp. 449-476

Aharon Ben‐Tal and Marc Teboulle

Volume 17, issue 2, 2007

CORRELATED DEFAULTS IN INTENSITY‐BASED MODELS pp. 155-173

Fan Yu

OPTIMAL CONTINUOUS‐TIME HEDGING WITH LEPTOKURTIC RETURNS pp. 175-203

Aleš Černý

PORTFOLIO OPTIMIZATION WITH JUMPS AND UNOBSERVABLE INTENSITY PROCESS pp. 205-224

Nicole Bäuerle and Ulrich Rieder

DUALITY IN OPTIMAL INVESTMENT AND CONSUMPTION PROBLEMS WITH MARKET FRICTIONS pp. 225-247

I. Klein and L. C. G. Rogers

EXACT SOLUTION OF A MARTINGALE STOCHASTIC VOLATILITY OPTION PROBLEM AND ITS EMPIRICAL EVALUATION pp. 249-265

Y. Maghsoodi

ON THE TIMING OPTION IN A FUTURES CONTRACT pp. 267-283

Francesca Biagini and Tomas Bjork

DIFFUSION MODELS FOR EXCHANGE RATES IN A TARGET ZONE pp. 285-306

Kristian Stegenborg Larsen and Michael Sørensen

STOCK LOANS pp. 307-317

Jianming Xia and Xun Yu Zhou

Volume 17, issue 1, 2007

THE RANGE OF TRADED OPTION PRICES pp. 1-14

Mark H. A. Davis and David G. Hobson

MODELING LIQUIDITY EFFECTS IN DISCRETE TIME pp. 15-29

Umut Çetin and L. C. G. Rogers

SELF‐DECOMPOSABILITY AND OPTION PRICING pp. 31-57

Peter Carr, Hélyette Geman, Dilip B. Madan and Marc Yor

HEDGING UNDER GAMMA CONSTRAINTS BY OPTIMAL STOPPING AND FACE‐LIFTING pp. 59-79

H. Mete Soner and Nizar Touzi

OPTIMAL DIVIDEND POLICY WITH MEAN‐REVERTING CASH RESERVOIR pp. 81-109

Abel Cadenillas, Sudipto Sarkar and Fernando Zapatero

THEORY AND CALIBRATION OF SWAP MARKET MODELS pp. 111-141

Stefano Galluccio, J.‐M. Ly, Z. Huang and Olivier Scaillet

MONOTONICITY PROPERTIES OF OPTIMAL INVESTMENT STRATEGIES FOR LOG‐BROWNIAN ASSET PRICES pp. 143-153

Christer Borell

Volume 16, issue 4, 2006

RISK MEASURES AND CAPITAL REQUIREMENTS FOR PROCESSES pp. 589-612

Marco Frittelli and Giacomo Scandolo

A MULTINOMIAL APPROXIMATION FOR AMERICAN OPTION PRICES IN LÉVY PROCESS MODELS pp. 613-633

Ross A. Maller, David H. Solomon and Alex Szimayer

LIFTING QUADRATIC TERM STRUCTURE MODELS TO INFINITE DIMENSION pp. 635-645

Jiro Akahori and Keisuke Hara

ASSET ALLOCATION AND ANNUITY‐PURCHASE STRATEGIES TO MINIMIZE THE PROBABILITY OF FINANCIAL RUIN pp. 647-671

Moshe Milevsky, Kristen S. Moore and Virginia R. Young

PRICING SWAPTIONS AND COUPON BOND OPTIONS IN AFFINE TERM STRUCTURE MODELS pp. 673-694

David F. Schrager and Antoon Pelsser

Volume 16, issue 3, 2006

PRICING A CLASS OF EXOTIC OPTIONS VIA MOMENTS AND SDP RELAXATIONS pp. 469-494

J. B. Lasserre, T. Prieto‐Rumeau and M. Zervos

HEDGING WITH ENERGY pp. 495-517

Francesco Corielli

MODEL UNCERTAINTY AND ITS IMPACT ON THE PRICING OF DERIVATIVE INSTRUMENTS pp. 519-547

Rama Cont

NEWS‐GENERATED DEPENDENCE AND OPTIMAL PORTFOLIOS FOR n STOCKS IN A MARKET OF BARNDORFF‐NIELSEN AND SHEPHARD TYPE pp. 549-568

Carl Lindberg

NO ARBITRAGE UNDER TRANSACTION COSTS, WITH FRACTIONAL BROWNIAN MOTION AND BEYOND pp. 569-582

Paolo Guasoni

A COMMENT ON MARKET FREE LUNCH AND FREE LUNCH pp. 583-588

Irene Klein

Volume 16, issue 2, 2006

VALUATION OF FLOATING RANGE NOTES IN LÉVY TERM‐STRUCTURE MODELS pp. 237-254

Ernst Eberlein and Wolfgang Kluge

PRICING EQUITY DERIVATIVES SUBJECT TO BANKRUPTCY pp. 255-282

Vadim Linetsky

PORTFOLIO OPTIMIZATION WITH DOWNSIDE CONSTRAINTS pp. 283-299

Peter Lakner and Lan Ma Nygren

MULTIDIMENSIONAL PORTFOLIO OPTIMIZATION WITH PROPORTIONAL TRANSACTION COSTS pp. 301-335

Kumar Muthuraman and Sunil Kumar

NONPARAMETRIC KERNEL‐BASED SEQUENTIAL INVESTMENT STRATEGIES pp. 337-357

László Györfi, Gabor Lugosi and Frederic Udina

OPTIMAL STATIC–DYNAMIC HEDGES FOR BARRIER OPTIONS pp. 359-385

Aytaç İlhan and Ronnie Sircar

PORTFOLIO INSURANCE AND VOLATILITY REGIME SWITCHING pp. 387-417

Joel M. Vanden

DISTRIBUTION‐INVARIANT RISK MEASURES, INFORMATION, AND DYNAMIC CONSISTENCY pp. 419-441

Stefan Weber

DISUTILITY, OPTIMAL RETIREMENT, AND PORTFOLIO SELECTION pp. 443-467

Kyoung Jin Choi and Gyoocheol Shim

Volume 16, issue 1, 2006

PREFACE pp. iii-iii

Xun Yu Zhou and Shuguang Zhang

MORE ON MINIMAL ENTROPY–HELLINGER MARTINGALE MEASURE pp. 1-19

Tahir Choulli and Christophe Stricker

APPROXIMATING GARCH‐JUMP MODELS, JUMP‐DIFFUSION PROCESSES, AND OPTION PRICING pp. 21-52

Jin‐Chuan Duan, Peter Ritchken and Zhiqiang Sun

A NOTE ON SEMIVARIANCE pp. 53-61

Hanqing Jin, Harry Markowitz and Xun Yu Zhou

CHARACTERIZATION OF OPTIMAL STOPPING REGIONS OF AMERICAN ASIAN AND LOOKBACK OPTIONS pp. 63-82

Min Dai and Yue Kuen Kwok

OPTIMAL LOT SOLUTION TO CARDINALITY CONSTRAINED MEAN–VARIANCE FORMULATION FOR PORTFOLIO SELECTION pp. 83-101

Duan Li, Xiaoling Sun and Jun Wang

CONSTRAINED OPTIMIZATION WITH RESPECT TO STOCHASTIC DOMINANCE: APPLICATION TO PORTFOLIO INSURANCE pp. 103-117

Nicole El Karoui and Asma Meziou

A UNIVERSAL OPTIMAL CONSUMPTION RATE FOR AN INSIDER pp. 119-129

Bernt Øksendal

A BENCHMARK APPROACH TO FINANCE pp. 131-151

Eckhard Platen

UTILITY MAXIMIZATION IN AN INSIDER INFLUENCED MARKET pp. 153-179

Arturo Kohatsu‐Higa and Agnès Sulem

CLASSICAL AND IMPULSE STOCHASTIC CONTROL FOR THE OPTIMIZATION OF THE DIVIDEND AND RISK POLICIES OF AN INSURANCE FIRM pp. 181-202

Abel Cadenillas, Tahir Choulli, Michael Taksar and Lei Zhang

MARKOWITZ'S PORTFOLIO OPTIMIZATION IN AN INCOMPLETE MARKET pp. 203-216

Jianming Xia and Jia‐An Yan

STOCK LIQUIDATION VIA STOCHASTIC APPROXIMATION USING NASDAQ DAILY AND INTRA‐DAY DATA pp. 217-236

G. Yin, Q. Zhang, F. Liu, R. H. Liu and Y. Cheng