Applied Mathematical Finance

1994 - 2025

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

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Volume 32, issue 5, 2025

Statistical Applications of the 20/60/20 Rule in Risk Management and Portfolio Optimization pp. 289-318

Kewin Pączek, Damian Jelito, Marcin Pitera and Agnieszka Wyłomańska

Universal Approximation on Non-geometric Rough Paths and Applications to Financial Derivatives Pricing pp. 319-355

Fred Espen Benth, Fabian A. Harang and Fride Josefine Emberland Straum

Volume 32, issue 4, 2025

Optimal Trading under Instantaneous and Persistent Price Impact, Predictable Returns and Multiscale Stochastic Volatility pp. 219-252

Patrick Chan, Ronnie Sircar and Iosif Zimbidis

Statistical Modeling of SOFR Term Structure pp. 253-288

Teemu Pennanen and Waleed Taoum

Volume 32, issue 3, 2025

Indifference Pricing of Pure Endowments in a Regime-Switching Market Model pp. 157-190

Alessandra Cretarola and Benedetta Salterini

Euler–Maruyama Approximations of a Delayed CIR-Type Interest Rate Model with Non-Lipschitz Diffusion Factor pp. 191-217

Emmanuel Coffie

Volume 32, issue 2, 2025

Robust Detection of Lead-Lag Relationships in Lagged Multi-Factor Models pp. 91-127

Yichi Zhang, Mihai Cucuringu, Alexander Y. Shestopaloff and Stefan Zohren

Event-Based Limit Order Book Simulation under a Neural Hawkes Process: Application in Market-Making pp. 128-155

Luca Lalor and Anatoliy Swishchuk

Volume 32, issue 1, 2025

Optimal Trade Execution Strategy and Implementation with Deterministic Market Impact Parameters pp. 1-29

Ying Chen, Ulrich Horst and Hoang Hai Tran

Control Charts and Multifactor Affine Term Structure Models pp. 30-89

Konstantinos Bisiotis, Stelios Psarakis and Athanasios N. Yannacopoulos

Volume 31, issue 6, 2024

Dynamic Risk Factors and An Intertemporal Capital Asset Pricing pp. 343-364

Bruce Q. Swan, Tina T. Swan and Xinfu Chen

Multi-period Mean–Variance Hedging Problem with Model Risk pp. 365-384

Koichi Matsumoto and Tatsuhiko Suyama

Volume 31, issue 5, 2024

Dynamic Inventory Management with Mean-Field Competition pp. 279-311

Ryan Donnelly and Zi Li

Reinforcement Learning for Optimal Execution When Liquidity Is Time-Varying pp. 312-342

Andrea Macrì and Fabrizio Lillo

Volume 31, issue 4, 2024

VolGAN: A Generative Model for Arbitrage-Free Implied Volatility Surfaces pp. 203-238

Milena Vuletić and Rama Cont

Trade Execution Games in a Markovian Environment pp. 239-277

Masamitsu Ohnishi and Makoto Shimoshimizu

Volume 31, issue 3, 2024

A Global-in-Time Neural Network Approach to Dynamic Portfolio Optimization pp. 131-163

Pieter M. van Staden, Peter A. Forsyth and Yuying Li

Robust Hedging GANs: Towards Automated Robustification of Hedging Strategies pp. 164-201

Yannick Limmer and Blanka Horvath

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