Mathematical Finance

1991 - 2025

Current editor(s): Jerome Detemple

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CLOSED‐FORM SOLUTIONS FOR OPTIMAL PORTFOLIO SELECTION WITH STOCHASTIC INTEREST RATE AND INVESTMENT CONSTRAINTS pp. 539-568: Jerome Detemple and Marcel Rindisbacher
OPTIONS AND EFFICIENCY IN MULTIDATE SECURITY MARKETS pp. 569-587: Alexandre Baptista
COHERENT ACCEPTABILITY MEASURES IN MULTIPERIOD MODELS pp. 589-612: Berend Roorda, Johannes Schumacher and Jacob Engwerda
A REPRESENTATION RESULT FOR CONCAVE SCHUR CONCAVE FUNCTIONS pp. 613-634: Rose-Anne Dana
LATTICE OPTION PRICING BY MULTIDIMENSIONAL INTERPOLATION pp. 635-647: Vladislav Kargin
A SHORT NOTE ON SECOND‐ORDER STOCHASTIC DOMINANCE PRESERVING COHERENT RISK MEASURES pp. 649-651: Johannes Leitner

PSEUDODIFFUSIONS AND QUADRATIC TERM STRUCTURE MODELS pp. 393-424: Sergei Levendorskiǐ
AN AXIOMATIC APPROACH TO CAPITAL ALLOCATION pp. 425-437: Michael Kalkbrener
CRITICAL PRICE NEAR MATURITY FOR AN AMERICAN OPTION ON A DIVIDEND‐PAYING STOCK IN A LOCAL VOLATILITY MODEL pp. 439-463: Etienne Chevalier
MINIMAL ENTROPY–HELLINGER MARTINGALE MEASURE IN INCOMPLETE MARKETS pp. 465-490: Tahir Choulli and Christophe Stricker
LAGUERRE SERIES IN CONTINGENT CLAIM VALUATION, WITH APPLICATIONS TO ASIAN OPTIONS pp. 491-531: Michael Schröder
MEAN–VARIANCE PORTFOLIO CHOICE: QUADRATIC PARTIAL HEDGING pp. 533-538: Jianming Xia

ON UTILITY‐BASED PRICING OF CONTINGENT CLAIMS IN INCOMPLETE MARKETS pp. 203-212: Julien Hugonnier, Dmitry Kramkov and Walter Schachermayer
CONTINUOUS‐TIME MEAN‐VARIANCE PORTFOLIO SELECTION WITH BANKRUPTCY PROHIBITION pp. 213-244: Tomasz R. Bielecki, Hanqing Jin, Stanley R. Pliska and Xun Yu Zhou
A NEW METHOD OF PRICING LOOKBACK OPTIONS pp. 245-259: Peter Buchen and Otto Konstandatos
OPTIMAL REINSURANCE AND DIVIDEND DISTRIBUTION POLICIES IN THE CRAMÉR‐LUNDBERG MODEL pp. 261-308: Pablo Azcue and Nora Muler
EVALUATING HEDGING ERRORS: AN ASYMPTOTIC APPROACH pp. 309-343: Takaki Hayashi and Per A. Mykland
ON THE ERROR IN THE MONTE CARLO PRICING OF SOME FAMILIAR EUROPEAN PATH‐DEPENDENT OPTIONS pp. 345-357: Per Hörfelt
UNIVERSAL INVESTMENT IN MARKETS WITH TRANSACTION COSTS pp. 359-371: Garud Iyengar
THE BLACK‐SCHOLES EQUATION REVISITED: ASYMPTOTIC EXPANSIONS AND SINGULAR PERTURBATIONS pp. 373-391: Martin Widdicks, Peter W. Duck, Ari D. Andricopoulos and David P. Newton

DEFAULT RISK AND DIVERSIFICATION: THEORY AND EMPIRICAL IMPLICATIONS pp. 1-26: Robert Jarrow, David Lando and Fan Yu
STOCHASTIC HYPERBOLIC DYNAMICS FOR INFINITE‐DIMENSIONAL FORWARD RATES AND OPTION PRICING pp. 27-47: Shin Ichi Aihara and Arunabha Bagchi
ANALYTICAL COMPARISONS OF OPTION PRICES IN STOCHASTIC VOLATILITY MODELS pp. 49-59: Vicky Henderson
MEAN VARIANCE PREFERENCES, EXPECTATIONS FORMATION, AND THE DYNAMICS OF RANDOM ASSET PRICES pp. 61-97: Volker Böhm and Carl Chiarella
EXISTENCE OF AN EQUILIBRIUM WITH DISCONTINUOUS PRICES, ASYMMETRIC INFORMATION, AND NONTRIVIAL INITIAL σ‐FIELDS pp. 99-117: Caroline Hillairet
A QUANTIZATION TREE METHOD FOR PRICING AND HEDGING MULTIDIMENSIONAL AMERICAN OPTIONS pp. 119-168: Vlad Bally, Gilles Pagès and Jacques Printems
ON THE AMERICAN OPTION PROBLEM pp. 169-181: Goran Peskir
A NOTE ON ARBITRAGE AND CLOSED CONVEX CONES pp. 183-189: Walter Schachermayer
A NOTE ON NONAFFINE SOLUTIONS OF TERM STRUCTURE EQUATIONS WITH APPLICATIONS TO POWER EXCHANGES pp. 191-201: Josef Teichmann

THE SQUARED ORNSTEIN‐UHLENBECK MARKET pp. 487-513: J. Aquilina and L. C. G. Rogers
QUADRATIC TERM STRUCTURE MODELS FOR RISK‐FREE AND DEFAULTABLE RATES pp. 515-536: Li Chen, Damir Filipović and H. Vincent Poor
STOCHASTIC VOLATILITY MODELS, CORRELATION, AND THE q‐OPTIMAL MEASURE pp. 537-556: David Hobson
MONTE CARLO METHODS FOR THE VALUATION OF MULTIPLE‐EXERCISE OPTIONS pp. 557-583: N. Meinshausen and B. M. Hambly
VASIČEK BEYOND THE NORMAL pp. 585-604: Ragnar Norberg
Dynamic Minimization of Worst Conditional Expectation of Shortfall pp. 605-618: Jun Sekine

A GENERAL FRAMEWORK FOR PRICING CREDIT RISK pp. 317-350: Alain BÉlanger, Steven E. Shreve and Dennis Wong
SOME REMARKS ON ARBITRAGE AND PREFERENCES IN SECURITIES MARKET MODELS pp. 351-357: Marco Frittelli
PRICING IN AN INCOMPLETE MARKET WITH AN AFFINE TERM STRUCTURE pp. 359-381: Virginia R. Young
OPTIMAL SHOUTING POLICIES OF OPTIONS WITH STRIKE RESET RIGHT pp. 383-401: Min Dai, Yue Kuen Kwok and Lixin Wu
ON THE STABILITY OF CONTINUOUS‐TIME PORTFOLIO PROBLEMS WITH STOCHASTIC OPPORTUNITY SET pp. 403-414: Ralf Korn and Holger Kraft
A FAMILY OF TERM‐STRUCTURE MODELS FOR LONG‐TERM RISK MANAGEMENT AND DERIVATIVE PRICING pp. 415-444: Andrew J. G. Cairns
QUANTO LOOKBACK OPTIONS pp. 445-467: Min Dai, Hoi Ying Wong and Yue Kuen Kwok
THE MOMENT FORMULA FOR IMPLIED VOLATILITY AT EXTREME STRIKES pp. 469-480: Roger W. Lee
CHOQUET INSURANCE PRICING: A CAVEAT pp. 481-485: Erio Castagnoli, Fabio Maccheroni and Massimo Marinacci

Fundamental Theorems of Asset Pricing for Good Deal Bounds pp. 141-161: Jeremy Staum
Pareto Equilibria with coherent measures of risk pp. 163-172: David Heath and Hyejin Ku
Stochastic Volatility Corrections for Interest Rate Derivatives pp. 173-200: Peter Cotton, Jean‐Pierre Fouque, George Papanicolaou and Ronnie Sircar
On The Fundamental Theorem Of Asset Pricing: Random Constraints And Bang‐Bang No‐Arbitrage Criteria pp. 201-221: Igor Evstigneev, Klaus Schürger and Michael I. Taksar
Valuation by Simulation of Contingent Claims with Multiple Early Exercise Opportunities pp. 223-248: Alfredo Ibáñez
Exercise Regions And Efficient Valuation Of American Lookback Options pp. 249-269: Tze Leung Lai and Tiong Wee Lim
Asymptotics of the price oscillations of a European call option in a tree model pp. 271-293: Francine Diener and Diener Marc
A note on completeness in large financial markets pp. 295-315: Marzia De Donno

Hedging and Portfolio Optimization in Financial Markets with a Large Trader pp. 1-18: Peter Bank and Dietmar Baum
The Fundamental Theorem of Asset Pricing under Proportional Transaction Costs in Finite Discrete Time pp. 19-48: Walter Schachermayer
Black's Model of Interest Rates as Options, Eigenfunction Expansions and Japanese Interest Rates pp. 49-78: Viatcheslav Gorovoi and Vadim Linetsky
MultiFactor Valuation of Floating Range Notes pp. 79-97: João Pedro Vidal Nunes
Approximation of Optimal Reinsurance and Dividend Payout Policies pp. 99-113: Nicole Bäuerle
Nonparametric Estimation and Sensitivity Analysis of Expected Shortfall pp. 115-129: Olivier Scaillet
Should Stochastic Volatility Matter to the Cost‐Constrained Investor? pp. 131-139: Scott M. Weiner