Mathematical Finance

1991 - 2025

Current editor(s): Jerome Detemple

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Volume 11, issue 4, 2001

Optimal Portfolios with Bounded Capital at Risk pp. 365-384

Susanne Emmer, Claudia Klüppelberg and Ralf Korn

A Comparison of Two Quadratic Approaches to Hedging in Incomplete Markets pp. 385-413

David Heath, Eckhard Platen and Martin Schweizer

Return Dynamics when Persistence is Unobservable pp. 415-445

Timothy C. Johnson

The Liquidity Discount pp. 447-474

Ajay Subramanian and Robert Jarrow

A Generalized Cameron–Martin Formula with Applications to Partially Observed Dynamic Portfolio Optimization pp. 475-494

Gady Zohar

Volume 11, issue 3, 2001

Pricing of New Securities in an Incomplete Market: the Catch 22 of No‐Arbitrage Pricing pp. 267-284

Phelim Boyle and Tan Wang

Robust Hedging of Barrier Options pp. 285-314

Haydyn Brown, David Hobson and L. C. G. Rogers

No Arbitrage in Discrete Time Under Portfolio Constraints pp. 315-329

Laurence Carassus, Huye^n Pham and Nizar Touzi

Bounds on Derivative Prices in an Intertemporal Setting with Proportional Transaction Costs and Multiple Securities pp. 331-346

George Constantinides and Thaleia Zariphopoulou

Leland's Approach to Option Pricing: The Evolution of a Discontinuity pp. 347-355

Peter Grandits and Werner Schachinger

A Note on the Boyle–Vorst Discrete‐Time Option Pricing Model with Transactions Costs pp. 357-363

Ken Palmer

Volume 11, issue 2, 2001

Dynamic Optimization of Long‐Term Growth Rate for a Portfolio with Transaction Costs and Logarithmic Utility pp. 153-188

Marianne Akian, Agnès Sulem and Michael I. Taksar

MSM Estimators of European Options on Assets with Jumps pp. 189-203

João Amaro de Matos

On the Existence of Finite‐Dimensional Realizations for Nonlinear Forward Rate Models pp. 205-243

Tomas Bjork and Lars Svensson

Finding Generators for Markov Chains via Empirical Transition Matrices, with Applications to Credit Ratings pp. 245-265

Robert B. Israel, Jeffrey S. Rosenthal and Jason Z. Wei

Volume 11, issue 1, 2001

On the Existence of Linear Equilibria in Models of Market Making pp. 1-31

Mark Bagnoli, S Viswanathan and Craig Holden

Randomized Stopping Times and American Option Pricing with Transaction Costs pp. 33-77

Prasad Chalasani and Somesh Jha

Time Changes for Lévy Processes pp. 79-96

Hélyette Geman, Dilip B. Madan and Marc Yor

Analytical Valuation of American Options on Jump‐Diffusion Processes pp. 97-115

Chandrasekhar Reddy Gukhal

The Asymptotic Expansion Approach to the Valuation of Interest Rate Contingent Claims pp. 117-151

Naoto Kunitomo and Akihiko Takahashi

Volume 10, issue 4, 2000

Laguerre Series for Asian and Other Options pp. 407-428

Daniel Dufresne

Generic Existence and Robust Nonexistence of Numéraires in Finite Dimensional Securities Markets pp. 429-442

Bruno Girotto and Fulvio Ortu

A Fundamental Theorem of Asset Pricing for Large Financial Markets pp. 443-458

Irene Klein

Correction: Pricing Options with Curved Boundaries (Mathematical Finance 1992, 2, 275–297) pp. 459-459

Naoto Kunitomo and Masayuki Ikeda

Correction: Maximum Likelihood Estimation Using Price Data of the Derivative Contract (Mathematical Finance 1994, 4/2, 155–167) pp. 461-462

Jin‐Chuan Duan

Volume 10, issue 3, 2000

Louis Bachelier on the Centenary of Théorie de la Spéculation pp. 339-353

Jean-Michel Courtault, Yuri Kabanov, Bernard Bru, Pierre Crépel, Isabelle Lebon and Arnaud Le Marchand

A Martingale Characterization of Consumption Choices and Hedging Costs with Margin Requirements pp. 355-385

Domenico Cuoco and Hong Liu

Optimal Dynamic Portfolio Selection: Multiperiod Mean‐Variance Formulation pp. 387-406

Duan Li and Wan‐Lung Ng

Volume 10, issue 2, 2000

On the Pricing of Contingent Claims with Frictions pp. 89-108

A. Bensoussan and H. Julien

Mean‐Variance Hedging for Stochastic Volatility Models pp. 109-123

Francesca Biagini, Paolo Guasoni and Maurizio Pratelli

Multiple Ratings Model of Defaultable Term Structure pp. 125-139

Tomasz R. Bielecki and Marek Rutkowski

Classical and Impulse Stochastic Control of the Exchange Rate Using Interest Rates and Reserves pp. 141-156

Abel Cadenillas and Fernando Zapatero

Pricing American Options Fitting the Smile pp. 157-177

M. A. H. Dempster and D. G. Richards

On Models of Default Risk pp. 179-195

R. J. Elliott, M. Jeanblanc and M. Yor

Risk‐Sensitive Control and an Optimal Investment Model pp. 197-213

W. H. Fleming and S. J. Sheu

Risk Minimization with Incomplete Information in a Model for High‐Frequency Data pp. 215-225

Rüdiger Frey

Value Preserving Strategies and a General Framework for Local Approaches to Optimal Portfolios pp. 227-241

Ralf Korn

Multidimensional Variance‐Optimal Hedging in Discrete‐Time Model—A General Approach pp. 243-257

M. Motoczyński

Pricing Via Utility Maximization and Entropy pp. 259-276

Richard Rouge and Nicole El Karoui

A Stochastic Control Approach to Risk Management Under Restricted Information pp. 277-288

Wolfgang J. Runggaldier and Anna Zaccaria

Portfolio Optimization and Martingale Measures pp. 289-303

Manfred Schäl

Option Pricing in Discrete‐Time Incomplete Market Models pp. 305-321

Lukasz Stettner

On Level Curves of Value Functions in Optimization Models of Expected Utility pp. 323-338

Cristian‐Ioan Tiu and Thaleia Zariphopoulou

Volume 10, issue 1, 2000

Equilibrium with Default and Endogenous Collateral pp. 1-21

Aloisio Araujo, Jaime Orrillo and Mario Pascoa

Endogenous Random Asset Prices in Overlapping Generations Economies pp. 23-38

Volker Böhm, Nicole Deutscher and Jan Wenzelburger

The Minimal Entropy Martingale Measure and the Valuation Problem in Incomplete Markets pp. 39-52

Marco Frittelli

On the Rate of Convergence of Discrete‐Time Contingent Claims pp. 53-75

Steve Heston and Guofu Zhou

Approximating Large Diversified Portfolios pp. 77-88

Norbert Hofmann and Eckhard Platen

Volume 9, issue 4, 1999

Pricing General Barrier Options: A Numerical Approach Using Sharp Large Deviations pp. 293-321

Paolo Baldi, Lucia Caramellino and Maria Gabriella Iovino

Interest Rate Dynamics and Consistent Forward Rate Curves pp. 323-348

Tomas Bjork and Bent Jesper Christensen

A Note on the Nelson–Siegel Family pp. 349-359

Damir Filipović

Self‐Financing Trading Strategies for Sliding, Rolling‐Horizon, and Consol Bonds pp. 361-385

Marek Rutkowski

European‐Type Contingent Claims in an Incomplete Market with Constrained Wealth and Portfolio pp. 387-412

Jiongmin Yong

Volume 9, issue 3, 1999

Coherent Measures of Risk pp. 203-228

Philippe Artzner, Freddy Delbaen, Jean‐Marc Eber and David Heath

Pricing American Stock Options by Linear Programming pp. 229-254

M. A. H. Dempster and J. P. Hutton

The Second Fundamental Theorem of Asset Pricing pp. 255-273

Robert Jarrow, Xing Jin and Dilip B. Madan

Viability and Equilibrium in Securities Markets with Frictions pp. 275-292

Elyès Jouini and Hédi Kallal

Volume 9, issue 2, 1999

Bounds on European Option Prices under Stochastic Volatility pp. 97-116

Rüdiger Frey and Carlos A. Sin

Asymptotically Optimal Importance Sampling and Stratification for Pricing Path‐Dependent Options pp. 117-152

Paul Glasserman, Philip Heidelberger and Perwez Shahabuddin

Controlling Risk Exposure and Dividends Payout Schemes:Insurance Company Example pp. 153-182

Bjarne Hø Jgaard and Michael Taksar

Generalized Hyperbolic Diffusion Processes with Applications in Finance pp. 183-201

Tina Hviid Rydberg

Volume 9, issue 1, 1999

Currency Prices, the Nominal Exchange Rate, and Security Prices in a Two‐Country Dynamic Monetary Equilibrium pp. 1-30

Suleyman Basak and Michael Gallmeyer

Term Structure Models Driven by General Lévy Processes pp. 31-53

Ernst Eberlein and Sebastian Raible

Step Options pp. 55-96

Vadim Linetsky