Applied Mathematical Finance
1994 - 2022
Current editor(s): Professor Ben Hambly and Christoph Reisinger From Taylor & Francis Journals Bibliographic data for series maintained by Chris Longhurst (). Access Statistics for this journal.
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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 T. 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
Volume 27, issue 6, 2020
- Non-parametric Pricing and Hedging of Exotic Derivatives pp. 457-494

- Terry Lyons, Sina Nejad and Imanol Perez Arribas
- Spiking the Volatility Punch pp. 495-520

- Peter Carr and Gianna Figà-Talamanca
- Counterparty Credit Limits: The Impact of a Risk-Mitigation Measure on Everyday Trading pp. 520-548

- Martin D. Gould, Nikolaus Hautsch, Sam D. Howison and Mason A. Porter
- Hedging Strategies in Commodity Markets – Rolling Intrinsic and Delta Hedging for Virtual Power Plants pp. 550-582

- Richard Biegler-König
Volume 27, issue 5, 2020
- Detecting and Repairing Arbitrage in Traded Option Prices pp. 345-373

- Samuel N. Cohen, Christoph Reisinger and Sheng Wang
- Sequential Hypothesis Testing in Machine Learning, and Crude Oil Price Jump Size Detection pp. 374-395

- Michael Roberts and Indranil SenGupta
- A Multiple Curve Lévy Swap Market Model pp. 396-421

- Ernst Eberlein, Christoph Gerhart and Eva Lütkebohmert
- Smart Indexing Under Regime-Switching Economic States pp. 422-456

- Chanaka Edirisinghe and Yonggan Zhao
Volume 27, issue 4, 2020
- Optimal Hedging in Incomplete Markets pp. 265-287

- George Bouzianis and Lane P. Hughston
- Is the Variance Swap Rate Affine in the Spot Variance? Evidence from S&P500 Data pp. 288-316

- Maria Elvira Mancino, S. Scotti and G. Toscano
- Optimal Trading with Differing Trade Signals pp. 317-344

- Ryan Donnelly and Matthew Lorig
Volume 27, issue 3, 2020
- Additive Processes with Bilateral Gamma Marginals pp. 171-188

- Dilip B. Madan and King Wang
- Electricity Price Forecasting with Neural Networks on EPEX Order Books pp. 189-206

- Simon Schnürch and Andreas Wagner
- Exact Simulation of Variance Gamma-Related OU Processes: Application to the Pricing of Energy Derivatives pp. 207-227

- Piergiacomo Sabino
- American Strangle Options pp. 228-263

- Shi Qiu
Volume 27, issue 1-2, 2020
- Optimal Market Making under Partial Information with General Intensities pp. 1-45

- Luciano Campi and Diego Zabaljauregui
- Numerical Ross Recovery for Diffusion Processes Using a PDE Approach pp. 46-66

- Lina von Sydow and Johan Walden
- Spoofing and Price Manipulation in Order-Driven Markets pp. 67-98

- Álvaro Cartea, Sebastian Jaimungal and Yixuan Wang
- Optimal Generation and Trading in Solar Renewable Energy Certificate (SREC) Markets pp. 99-131

- Arvind Shrivats and Sebastian Jaimungal
- Limit Order Books, Diffusion Approximations and Reflected SPDEs: From Microscopic to Macroscopic Models pp. 132-170

- Ben Hambly, Jasdeep Kalsi and James Newbury
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