Mathematical Finance

1991 - 2026

Current editor(s): Jerome Detemple

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Volume 14, issue 4, 2004

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

Volume 14, issue 3, 2004

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

Volume 14, issue 2, 2004

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

Volume 14, issue 1, 2004

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

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