Applied Mathematical Finance

1994 - 2024

Current editor(s): Professor Ben Hambly and Christoph Reisinger

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Volume 31, issue 2, 2024

A Weak MLMC Scheme for Lévy-Copula-Driven SDEs with Applications to the Pricing of Credit, Equity and Interest Rate Derivatives pp. 57-107

Aleksandar Mijatović and Romain Palfray

Model-Free Hedging of Impermanent Loss in Geometric Mean Market Makers with Proportional Transaction Fees pp. 108-129

Masaaki Fukasawa, Basile Maire and Marcus Wunsch

Volume 31, issue 1, 2024

Weak Approximation for a Black-Scholes Type Regime Switching Model pp. 1-36

Arturo Kohatsu-Higa and Akihiro Tanaka

Short Option Maturity Term Structures of Skewness and Excess Kurtosis* pp. 37-56

Dilip B. Madan and King Wang

Volume 30, issue 6, 2023

Risk Valuation of Quanto Derivatives on Temperature and Electricity pp. 275-312

Aurélien Alfonsi and Nerea Vadillo

Mean-variance Dynamic Portfolio Allocation with Transaction Costs: A Wiener Chaos Expansion Approach pp. 313-353

Areski Cousin, J. Lelong and T. Picard

Volume 30, issue 5, 2023

Buy and Hold Golden Strategies in Financial Markets with Frictions and Depth Constraints pp. 231-248

Alejandro Balbás, Beatriz Balbás and Raquel Balbás

On the Implied Volatility of Asian Options Under Stochastic Volatility Models pp. 249-274

Elisa Alòs, Eulalia Nualart and Makar Pravosud

Volume 30, issue 4, 2023

Price Impact Without Averaging pp. 175-206

Claudio Bellani, Damiano Brigo, Mikko S. Pakkanen and Leandro Sánchez-Betancourt

Monte Carlo Simulation for Trading Under a Lévy-Driven Mean-Reverting Framework pp. 207-230

Tim Leung and Kevin W. Lu

Volume 30, issue 3, 2023

Short-Time Asymptotics for Non-Self-Similar Stochastic Volatility Models pp. 123-152

Giacomo Giorgio, Barbara Pacchiarotti and Paolo Pigato

Robust Risk-Aware Option Hedging pp. 153-174

David Wu and Sebastian Jaimungal

Volume 30, issue 2, 2023

Predictable Losses of Liquidity Provision in Constant Function Markets and Concentrated Liquidity Markets pp. 69-93

Álvaro Cartea, Fayçal Drissi and Marcello Monga

Simulation of Arbitrage-Free Implied Volatility Surfaces pp. 94-121

Rama Cont and Milena Vuletić

Volume 30, issue 1, 2023

Arbitrage-Free Neural-SDE Market Models pp. 1-46

Samuel N. Cohen, Christoph Reisinger and Sheng Wang

On the Skew and Curvature of the Implied and Local Volatilities pp. 47-67

Elisa Alòs, David García-Lorite and Makar Pravosud

Volume 29, issue 6, 2022

Policy Gradient Learning Methods for Stochastic Control with Exit Time and Applications to Share Repurchase Pricing pp. 439-456

Mohamed Hamdouche, Pierre Henry-Labordere and Huyên Pham

Solvability of Differential Riccati Equations and Applications to Algorithmic Trading with Signals pp. 457-493

Fayçal Drissi

Exchange Option Pricing Under Variance Gamma-Like Models pp. 494-521

Matteo Gardini and Piergiacomo Sabino

Volume 29, issue 5, 2022

Accelerated Share Repurchases Under Stochastic Volatility pp. 331-365

Nikhil Krishnan and Ronnie Sircar

Hedging Option Books Using Neural-SDE Market Models pp. 366-401

Samuel N. Cohen, Christoph Reisinger and Sheng Wang

Multi-Period Mean Expected-Shortfall Strategies: ‘Cut Your Losses and Ride Your Gains’ pp. 402-438

Peter A. Forsyth and Kenneth R. Vetzal

Volume 29, issue 4, 2022

Electricity Intraday Price Modelling with Marked Hawkes Processes pp. 227-260

Thomas Deschatre and Pierre Gruet

Optimal Execution with Identity Optionality pp. 261-287

René Carmona and Claire Zeng

Strategic Execution Trajectories pp. 288-330

Giuliana Bordigoni, Alessio Figalli, Anthony Ledford and Philipp Ustinov

Volume 29, issue 3, 2022

Optimal Execution: A Review pp. 181-212

Ryan Donnelly

Valuation of European Options Under an Uncertain Market Price of Volatility Risk pp. 213-226

Bartosz Jaroszkowski and Max Jensen

Volume 29, issue 2, 2022

On Regularized Optimal Execution Problems and Their Singular Limits pp. 79-109

Max O. Souza and Y. Thamsten

Solving High-Dimensional Optimal Stopping Problems Using Optimization Based Model Order Reduction pp. 110-140

Martin Redmann

The Impact of Stochastic Volatility on Initial Margin and MVA for Interest Rate Derivatives pp. 141-179

J. H. Hoencamp, J. P. de Kort and B. D. Kandhai

Volume 29, issue 1, 2022

The Role of Binance in Bitcoin Volatility Transmission pp. 1-32

Carol Alexander, Daniel F. Heck and Andreas Kaeck

Pricing the Excess Volatility in Foreign Exchange Risk Premium and Forward Rate Bias pp. 33-61

Tina Swan, Bruce Q. Swan and Xinfu Chen

Deep Q-Learning for Nash Equilibria: Nash-DQN pp. 62-78

Philippe Casgrain, Brian Ning and Sebastian Jaimungal

Volume 28, issue 6, 2021

Expected Utility Theory on General Affine GARCH Models pp. 477-507

Marcos Escobar-Anel, Ben Spies and Rudi Zagst

On the Valuation of Discrete Asian Options in High Volatility Environments pp. 508-533

Sascha Desmettre and Jörg Wenzel

Semi-Robust Replication of Barrier-Style Claims on Price and Volatility pp. 534-559

Peter Carr, Roger Lee and Matthew Lorig

Volume 28, issue 5, 2021

Static Replication of European Multi-Asset Options with Homogeneous Payoff pp. 381-394

Sébastien Bossu

Fragmentation, Price Formation and Cross-Impact in Bitcoin Markets pp. 395-448

Jakob Albers, Mihai Cucuringu, Sam Howison and Alexander Y. Shestopaloff

On a Neural Network to Extract Implied Information from American Options pp. 449-475

Shuaiqiang Liu, Álvaro Leitao, Anastasia Borovykh and Cornelis W. Oosterlee

Volume 28, issue 4, 2021

Unbiased Deep Solvers for Linear Parametric PDEs pp. 299-329

Marc Sabate Vidales, David Šiška and Lukasz Szpruch

KrigHedge: Gaussian Process Surrogates for Delta Hedging pp. 330-360

Mike Ludkovski and Yuri Saporito

Double Deep Q-Learning for Optimal Execution pp. 361-380

Brian Ning, Franco Ho Ting Lin and Sebastian Jaimungal

Volume 28, issue 3, 2021

Risk Neutral Jump Arrival Rates Implied in Option Prices and Their Models pp. 201-235

Dilip B. Madan and King Wang

Structural Clustering of Volatility Regimes for Dynamic Trading Strategies pp. 236-274

Arjun Prakash, Nick James, Max Menzies and Gilad Francis

Trading Signals in VIX Futures pp. 275-298

Marco Avellaneda, Thomas Nanfeng Li, Andrew Papanicolaou and Gaozhan Wang

Volume 28, issue 2, 2021

Closed-form Approximations in Multi-asset Market Making pp. 101-142

Philippe Bergault, David Evangelista, Olivier Guéant and Douglas Vieira

Heterogeneity and Competition in Fragmented Markets: Fees Vs Speed pp. 143-177

Jose S. Penalva and Mikel Tapia

A Bivariate Normal Inverse Gaussian Process with Stochastic Delay: Efficient Simulations and Applications to Energy Markets pp. 178-199

Matteo Gardini, Piergiacomo Sabino and Emanuela Sasso

Volume 28, issue 1, 2021

Fast Pricing of Energy Derivatives with Mean-Reverting Jump-diffusion Processes pp. 1-22

Piergiacomo Sabino and Nicola Cufaro Petroni

Explicit Representations for Utility Indifference Prices pp. 23-47

Markus Hess

A Structural Approach to Default Modelling with Pure Jump Processes pp. 48-78

Jean-Philippe Aguilar, Nicolas Pesci and Victor James

Deep Learning for Market by Order Data pp. 79-95

Zihao Zhang, Bryan Lim and Stefan Zohren

Correction pp. 96-99

The Editors