Mathematical Finance

1991 - 2025

Current editor(s): Jerome Detemple

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Volume 13, issue 4, 2003

Option Pricing in Stochastic Volatility Models of the Ornstein‐Uhlenbeck type pp. 445-466

Elisa Nicolato and Emmanouil Venardos

Nonconvergence in the Variation of the Hedging Strategy of a European Call Option pp. 467-480

R. Th. Peters

A Dynamic Investment Model with Control on the Portfolio's Worst Case Outcome pp. 481-501

Yonggan Zhao, Ulrich Haussmann and William T. Ziemba

Pricing Discrete European Barrier Options Using Lattice Random Walks pp. 503-524

Per Hörfelt

Volume 13, issue 3, 2003

Stochastic Volatility for Lévy Processes pp. 345-382

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

The Term Structure of Simple Forward Rates with Jump Risk pp. 383-410

Paul Glasserman and S. G. Kou

A Partially Observed Model for Micromovement of Asset Prices with Bayes Estimation via Filtering pp. 411-444

Yong Zeng

Volume 13, issue 2, 2003

Merton's portfolio optimization problem in a Black and Scholes market with non‐Gaussian stochastic volatility of Ornstein‐Uhlenbeck type pp. 215-244

Fred Espen Benth, Kenneth Hvistendahl Karlsen and Kristin Reikvam

Efficient Universal Portfolios for Past‐Dependent Target Classes pp. 245-276

Jason E. Cross and Andrew R. Barron

The Defaultable Lévy Term Structure: Ratings and Restructuring pp. 277-300

Ernst Eberlein and Fehmi Özkan

A General Fractional White Noise Theory And Applications To Finance pp. 301-330

Robert J. Elliott and John Van Der Hoek

An optimal Strategy for Hedging with Short‐Term Futures Contracts pp. 331-344

G. Larcher and G. Leobacher

Volume 13, issue 1, 2003

Preface pp. iii-v

D. Lamberton, B. Lapeyre and A. Sulem

First‐Order Schemes in the Numerical Quantization Method pp. 1-16

V. Bally, G. Pagès and J. Printems

The Price‐Volatility Feedback Rate: An Implementable Mathematical Indicator of Market Stability pp. 17-35

Emilio Barucci, Paul Malliavin, Maria Elvira Mancino, Roberto Renò and Anton Thalmaier

Optimal Malliavin Weighting Function for the Computation of the Greeks pp. 37-53

Eric Benhamou

Explicit Representation of the Minimal Variance Portfolio in Markets Driven by Lévy Processes pp. 55-72

Fred Espen Benth, Giulia Di Nunno, Arne Løkka, Bernt Øksendal and Frank Proske

Hedging Options: The Malliavin Calculus Approach versus the Δ‐Hedging Approach pp. 73-84

Hans‐Peter Bermin

Local Vega Index and Variance Reduction Methods pp. 85-97

Hans‐Peter Bermin, Arturo Kohatsu‐Higa and Miquel Montero

Monte Carlo Evaluation of Greeks for Multidimensional Barrier and Lookback Options pp. 99-113

Guillaume Bernis, Emmanuel Gobet and Arturo Kohatsu‐Higa

Error Calculus and Path Sensitivity in Financial Models pp. 115-134

Nicolas Bouleau

Efficient Computation of Hedging Portfolios for Options with Discontinuous Payoffs pp. 135-151

Jakša Cvitanić, Jin Ma and Jianfeng Zhang

Malliavin's Calculus in Insider Models: Additional Utility and Free Lunches pp. 153-169

Peter Imkeller

An Anticipating Calculus Approach to the Utility Maximization of an Insider pp. 171-185

Jorge A. León, Reyla Navarro and David Nualart

Quantiles of the Euler Scheme for Diffusion Processes and Financial Applications pp. 187-199

Denis Talay and Ziyu Zheng

Analysis of Error with Malliavin Calculus: Application to Hedging pp. 201-214

E. Temam

Volume 12, issue 4, 2002

A DIFFUSION MODEL FOR ELECTRICITY PRICES pp. 287-298

M. T. Barlow

PASSPORT OPTIONS pp. 299-328

Freddy Delbaen and Marc Yor

MARKET SELECTION OF FINANCIAL TRADING STRATEGIES: GLOBAL STABILITY pp. 329-339

Igor Evstigneev, Thorsten Hens and Klaus Reiner Schenk‐Hoppé

SEPARABLE TERM STRUCTURES AND THE MAXIMAL DEGREE PROBLEM pp. 341-349

Damir Filipović

VALUATION OF CLAIMS ON NONTRADED ASSETS USING UTILITY MAXIMIZATION pp. 351-373

Vicky Henderson

PARTIAL HEDGING IN A STOCHASTIC VOLATILITY ENVIRONMENT pp. 375-409

Mattias Jonsson and K. Ronnie Sircar

MONOTONICITY AND CONVEXITY OF OPTION PRICES REVISITED pp. 411-425

Masaaki Kijima

PRICING COUPON‐BOND OPTIONS AND SWAPTIONS IN AFFINE TERM STRUCTURE MODELS pp. 427-446

Kenneth Singleton and Len Umantsev

A GENERAL PROOF OF THE DYBVIG‐INGERSOLL‐ROSS THEOREM: LONG FORWARD RATES CAN NEVER FALL pp. 447-451

Friedrich Hubalek, Irene Klein and Josef Teichmayn

Volume 12, issue 3, 2002

Equilibrium Pricing in the Presence of Cumulative Dividends Following a Diffusion pp. 173-198

Knut Aase

A General Approach to Hedging Options: Applications to Barrier and Partial Barrier Options pp. 199-218

Hans‐Peter Bermin

American options on assets with dividends near expiry pp. 219-237

J. D. Evans, R. Kuske and Joseph B. Keller

Portfolio Value‐at‐Risk with Heavy‐Tailed Risk Factors pp. 239-269

Paul Glasserman, Philip Heidelberger and Perwez Shahabuddin

Monte Carlo valuation of American options pp. 271-286

L. C. G. Rogers

Volume 12, issue 2, 2002

Exponential Hedging and Entropic Penalties pp. 99-123

Freddy Delbaen, Peter Grandits, Thorsten Rheinländer, Dominick Samperi, Martin Schweizer and Christophe Stricker

On the optimal portfolio for the exponential utility maximization: remarks to the six‐author paper pp. 125-134

Yuri M. Kabanov and Christophe Stricker

Put Option Premiums and Coherent Risk Measures pp. 135-142

Robert Jarrow

The Use of Archimedean Copulas to Model Portfolio Allocations pp. 143-154

David Hennessy and Harvey Lapan

Optimal Financing of a Corporation Subject To Random Returns pp. 155-172

Suresh Sethi and Michael I. Taksar

Volume 12, issue 1, 2002

On the Existence of Minimax Martingale Measures pp. 1-21

Fabio Bellini and Marco Frittelli

Principal Component Value at Risk pp. 23-43

R. Brummelhuis, A. Córdoba, M. Quintanilla and L. Seco

Hedging under Transaction Costs in Currency Markets: a Discrete‐Time Model pp. 45-61

Freddy Delbaen, Yuri M. Kabanov and Esko Valkeila

Hedging under Transaction Costs in Currency Markets: a Continuous‐Time Model pp. 63-70

Yuri M. Kabanov and Günter Last

Calibrating a Diffusion Pricing Model with Uncertain Volatility: Regularization and Stability pp. 71-87

Dominick Samperi

Dynamic Arbitrage‐Free Asset Pricing with Proportional Transaction Costs pp. 89-97

Shunming Zhang, Chunlei Xu and Xiaotie Deng