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.

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

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

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

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

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

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

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

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