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Applied Mathematical Finance

1994 - 2016

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

From Taylor & Francis Journals
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Volume 23, issue 1, 2016

Pricing Occupation-Time Options in a Mixed-Exponential Jump-Diffusion Model pp. 1-21 Downloads
Djilali Ait Aoudia and Jean-François Renaud
Optimal Partial Proxy Method for Computing Gammas of Financial Products with Discontinuous and Angular Payoffs pp. 22-56 Downloads
Mark Joshi and Dan Zhu
Liquidity Costs: A New Numerical Methodology and an Empirical Study pp. 57-79 Downloads
Christophe Michel, Victor Reutenauer, Denis Talay and Etienne Tanré

Volume 22, issue 6, 2015

A Reduced-Form Model for Valuing Bonds with Make-Whole Call Provisions pp. 499-521 Downloads
Min Park and Steven Clark
Dimension and variance reduction for Monte Carlo methods for high-dimensional models in finance pp. 522-552 Downloads
Duy-Minh Dang, Kenneth R. Jackson and Mohammadreza Mohammadi
Pricing Perpetual American Compound Options under a Matrix-Exponential Jump-Diffusion Model pp. 553-575 Downloads
Ming-Chi Chang, Yuan-Chung Sheu and Ming-Yao Tsai

Volume 22, issue 5, 2015

Pricing of Defaultable Bonds with Random Information Flow pp. 399-420 Downloads
Dorje C. Brody and Yan Tai Law
Pricing Exotic Discrete Variance Swaps under the 3/2-Stochastic Volatility Models pp. 421-449 Downloads
Chi Hung Yuen, Wendong Zheng and Yue Kuen Kwok
Perpetual Exchange Options under Jump-Diffusion Dynamics pp. 450-462 Downloads
Gerald H. L. Cheang and Guanghua Lian
Recursive Marginal Quantization of the Euler Scheme of a Diffusion Process pp. 463-498 Downloads
Gilles Pagès and Abass Sagna

Volume 22, issue 4, 2015

Game Options Analysis of the Information Role of Call Policies in Convertible Bonds pp. 297-335 Downloads
Leung, Nan Chen and Kwok
Optimal Execution and Block Trade Pricing: A General Framework pp. 336-365 Downloads
Olivier Guéant
A Hybrid Model for Pricing and Hedging of Long-dated Bonds pp. 366-398 Downloads
Jan Baldeaux, Fung, Katja Ignatieva and Eckhard Platen

Volume 22, issue 3, 2015

ADI Schemes for Pricing American Options under the Heston Model pp. 207-237 Downloads
Tinne Haentjens and Karel J. in 't Hout
The British Lookback Option with Fixed Strike pp. 238-260 Downloads
Yerkin Kitapbayev
Semi-Markov Model for Market Microstructure pp. 261-295 Downloads
Pietro Fodra and Huyên Pham

Volume 22, issue 2, 2015

A Note on Dual-Curve Construction: Mr. Crab's Bootstrap pp. 105-132 Downloads
Roberto Baviera and Alessandro Cassaro
Pricing Path-Dependent Options with Discrete Monitoring under Time-Changed Lévy Processes pp. 133-161 Downloads
Yuji Umezawa and Akira Yamazaki
Implied Volatility of Leveraged ETF Options pp. 162-188 Downloads
Tim Leung and Ronnie Sircar
Stochastic Models for Oil Prices and the Pricing of Futures on Oil pp. 189-206 Downloads
Mohammed A. Aba Oud and Joanna Goard

Volume 22, issue 1, 2015

Semi-analytical Pricing of Currency Options in the Heston/CIR Jump-Diffusion Hybrid Model pp. 1-27 Downloads
Rehez Ahlip and Marek Rutkowski
Pricing of Spread Options on a Bivariate Jump Market and Stability to Model Risk pp. 28-62 Downloads
Fred Espen Benth, Giulia Di Nunno, Asma Khedher and Maren Diane Schmeck
Effect of Volatility Clustering on Indifference Pricing of Options by Convex Risk Measures pp. 63-82 Downloads
Rohini Kumar
A New Variance Reduction Technique for Estimating Value-at-Risk pp. 83-98 Downloads
Ralf Korn and Mykhailo Pupashenko
Correction: Exchange Option under Jump-diffusion Dynamics pp. 99-103 Downloads
Ruggero Caldana, Gerald H. L. Cheang, Carl Chiarella and Gianluca Fusai

Volume 21, issue 6, 2014

Implied Filtering Densities on the Hidden State of Stochastic Volatility pp. 483-522 Downloads
Carlos Fuertes and Andrew Papanicolaou
Re-specification of Affine Term Structure Models: The Linkage to Empirical Investigations pp. 523-554 Downloads
Ting Huang, Bruce Qiang Sun and Xinfu Chen
Stochastic Correlation and Volatility Mean-reversion - Empirical Motivation and Derivatives Pricing via Perturbation Theory pp. 555-594 Downloads
Marcos Escobar Anel, Barbara Götz, Daniela Neykova and Rudi Zagst
Asymptotic Solutions for Australian Options with Low Volatility pp. 595-613 Downloads
Sai Hung Marten Ting and Christian-Oliver Ewald

Volume 21, issue 5, 2014

Option Pricing with Transaction Costs and Stochastic Interest Rate pp. 399-416 Downloads
Indranil SenGupta
Variational Solutions of the Pricing PIDEs for European Options in Lévy Models pp. 417-450 Downloads
Ernst Eberlein and Kathrin Glau
On the Approximation of the SABR with Mean Reversion Model: A Probabilistic Approach pp. 451-481 Downloads
Joanne E. Kennedy and Duy Pham

Volume 21, issue 4, 2014

Consistent Modelling of VIX and Equity Derivatives Using a 3/2 plus Jumps Model pp. 299-312 Downloads
Jan Baldeaux and Alexander Badran
Approximate Hedging in a Local Volatility Model with Proportional Transaction Costs pp. 313-341 Downloads
Emmanuel Lépinette and Tuan Tran
Optimal Trade Execution Under Stochastic Volatility and Liquidity pp. 342-362 Downloads
Patrick Cheridito and Tardu Sepin
Closed-Form Pricing of Two-Asset Barrier Options with Stochastic Covariance pp. 363-397 Downloads
Barbara Götz, Marcos Escobar Anel and Rudi Zagst

Volume 21, issue 3, 2014

Optimal Execution and Price Manipulations in Time-varying Limit Order Books pp. 201-237 Downloads
Aurélien Alfonsi and José Infante Acevedo
A Radial Basis Function Scheme for Option Pricing in Exponential Lévy Models pp. 238-269 Downloads
Raymond Brummelhuis and Ron T. L. Chan
Tail VaR Measures in a Multi-period Setting pp. 270-297 Downloads
Yuta Katsuki and Koichi Matsumoto

Volume 21, issue 2, 2014

An Extension of the Chaos Expansion Approximation for the Pricing of Exotic Basket Options pp. 109-139 Downloads
Hideharu Funahashi and Masaaki Kijima
Prices and Asymptotics for Discrete Variance Swaps pp. 140-173 Downloads
Carole Bernard and Zhenyu Cui
Perpetual Options on Multiple Underlyings pp. 174-200 Downloads
Peter W. Duck, Geoffrey W. Evatt and Paul V. Johnson

Volume 21, issue 1, 2014

Saddlepoint Approximation Methods for Pricing Derivatives on Discrete Realized Variance pp. 1-31 Downloads
Wendong Zheng and Yue Kuen Kwok
Rare Shock, Two-Factor Stochastic Volatility and Currency Option Pricing pp. 32-50 Downloads
Guanying Wang, Xingchun Wang and Yongjin Wang
A Multivariate Default Model with Spread and Event Risk pp. 51-83 Downloads
Jan-Frederik Mai, Pablo Olivares, Steffen Schenk and Matthias Scherer
Forward Variance Dynamics: Bergomi's Model Revisited pp. 84-107 Downloads
S. M. Ould Aly

Volume 20, issue 6, 2013

Modelling Asset Prices for Algorithmic and High-Frequency Trading pp. 512-547 Downloads
Álvaro Cartea and Sebastian Jaimungal
A Family of Maximum Entropy Densities Matching Call Option Prices pp. 548-577 Downloads
Cassio Neri and Lorenz Schneider
From Minority Game to Black&Scholes Pricing pp. 578-598 Downloads
Matteo Ortisi and Valerio Zuccolo
Optimal Selling of an Asset with Jumps Under Incomplete Information pp. 599-610 Downloads
Bing Lu

Volume 20, issue 5, 2013

Comparison Between the Mean-Variance Optimal and the Mean-Quadratic-Variation Optimal Trading Strategies pp. 415-449 Downloads
Tse, Forsyth, Kennedy and Windcliff
Default Times in a Continuous Time Markov Chain Economy pp. 450-460 Downloads
Elliott and Hoek van der
A Simple Stochastic Rate Model for Rate Equity Hybrid Products pp. 461-488 Downloads
Eberlein, Madan, Pistorius and Yor
Pricing and Hedging of Lookback Options in Hyper-exponential Jump Diffusion Models pp. 489-511 Downloads
Hofer and Mayer

Volume 20, issue 4, 2013

Utility Indifference Pricing: A Time Consistent Approach pp. 304-326 Downloads
Traian A. Pirvu and Huayue Zhang
A Parametric n -Dimensional Markov-Functional Model in the Terminal Measure pp. 327-358 Downloads
Linus Kaisajuntti
On the Minimal Entropy Martingale Measure and Multinomial Lattices with Cumulants pp. 359-379 Downloads
Cyrus Seera Ssebugenyi, Ivivi Joseph Mwaniki and Virginie S. Konlack
Local Volatility Pricing Models for Long-Dated FX Derivatives pp. 380-402 Downloads
Griselda Deelstra and Grégory Rayée
Boundaries of Correlation Adjustment with Applications to Financial Risk Management pp. 403-414 Downloads
Kawee Numpacharoen and Kornkanok Bunwong

Volume 20, issue 3, 2013

A Path-Independent Humped Volatility Model for Option Pricing pp. 191-210 Downloads
Massimo Costabile, Ivar Massabó and Emilio Russo
Exponential Lévy Models Extended by a Jump to Default pp. 211-228 Downloads
Akira Yamazaki
Exotic Geometric Average Options Pricing under Stochastic Volatility pp. 229-245 Downloads
Nabil Tahani
Vulnerable Derivatives and Good Deal Bounds: A Structural Model pp. 246-263 Downloads
Agatha Murgoci
Robust Strategies for Optimal Order Execution in the Almgren--Chriss Framework pp. 264-286 Downloads
Alexander Schied
Robust Hedging and Pathwise Calculus pp. 287-303 Downloads
Heikki Tikanmäki

Volume 20, issue 2, 2013

Pricing Equity Swaps in an Economy with Jumps pp. 94-117 Downloads
Mia Hinnerich
Stock Loans in Incomplete Markets pp. 118-136 Downloads
Matheus R. Grasselli and Cesar Gómez
Stationary and Nonstationary Behaviour of the Term Structure: A Nonparametric Characterization pp. 137-166 Downloads
Clive G. Bowsher and Roland Meeks
Option Replication in Discrete Time with Illiquidity pp. 167-190 Downloads
Koichi Matsumoto

Volume 20, issue 1, 2013

Option Pricing and Filtering with Hidden Markov-Modulated Pure-Jump Processes pp. 1-25 Downloads
Robert J. Elliott and Tak Kuen Siu
American Options in the Heston Model with Stochastic Interest Rate and Its Generalizations pp. 26-49 Downloads
Svetlana Boyarchenko and Sergei LevendorskiĬ
Concentrated Equilibrium and Intraday Patterns in Financial Markets pp. 50-68 Downloads
Ryosuke Ishii and Katsumasa Nishide
Joint Modelling of Gas and Electricity Spot Prices pp. 69-93 Downloads
Noufel Frikha and Vincent Lemaire
Page updated 2017-11-24