Mathematical Finance

1991 - 2026

Current editor(s): Jerome Detemple

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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

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