Mathematical Finance

1991 - 2026

Current editor(s): Jerome Detemple

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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

Volume 15, issue 4, 2005

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

Volume 15, issue 3, 2005

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

Volume 15, issue 2, 2005

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

Volume 15, issue 1, 2005

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