Economics at your fingertips  

Applied Mathematical Finance

1994 - 2019

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.
Track citations for all items by RSS feed
Is something missing from the series or not right? See the RePEc data check for the archive and series.

Volume 26, issue 6, 2019

Network Effects in Default Clustering for Large Systems pp. 523-582 Downloads
Konstantinos Spiliopoulos and Jia Yang
Numerical Method for Model-free Pricing of Exotic Derivatives in Discrete Time Using Rough Path Signatures pp. 583-597 Downloads
Terry Lyons, Sina Nejad and Imanol Perez Arribas
Portfolio Optimization for Credit-Risky Assets under Marshall–Olkin Dependence pp. 598-618 Downloads
Jan-Frederik Mai

Volume 26, issue 5, 2019

Deep Reinforcement Learning for Market Making in Corporate Bonds: Beating the Curse of Dimensionality pp. 387-452 Downloads
Olivier Guéant and Iuliia Manziuk
Polynomial Processes for Power Prices pp. 453-474 Downloads
Tony Ware
Structural Electricity Models and Asymptotically Normal Estimators to Quantify Parameter Risk pp. 475-522 Downloads
Cord Harms and Rüdiger Kiesel

Volume 26, issue 4, 2019

Generalised Lyapunov Functions and Functionally Generated Trading Strategies pp. 293-327 Downloads
Johannes Ruf and Kangjianan Xie
High-dimensional Statistical Arbitrage with Factor Models and Stochastic Control pp. 328-358 Downloads
Jorge Guijarro-Ordonez
A Copula-based Markov Reward Approach to the Credit Spread in the European Union pp. 359-386 Downloads
Guglielmo D’Amico, Filippo Petroni, Philippe Regnault, Stefania Scocchera and Loriano Storchi

Volume 26, issue 3, 2019

Short Maturity Forward Start Asian Options in Local Volatility Models pp. 187-221 Downloads
Dan Pirjol, Jing Wang and Lingjiong Zhu
Dual Representation of the Cost of Designing a Portfolio Satisfying Multiple Risk Constraints pp. 222-256 Downloads
Géraldine Bouveret
Higher-order Discretization Methods of Forward-backward SDEs Using KLNV-scheme and Their Applications to XVA Pricing pp. 257-292 Downloads
Syoiti Ninomiya and Yuji Shinozaki

Volume 26, issue 2, 2019

Hedging the Risk of Delayed Data in Defaultable Markets pp. 101-130 Downloads
Ramin Okhrati
On Carr and Lee’s Correlation Immunization Strategy pp. 131-152 Downloads
Jimin Lin and Matthew Lorig
Mean-Field Game Strategies for Optimal Execution pp. 153-185 Downloads
Xuancheng Huang, Sebastian Jaimungal and Mojtaba Nourian

Volume 26, issue 1, 2019

Optimal Asset Allocation for Retirement Saving: Deterministic Vs. Time Consistent Adaptive Strategies pp. 1-37 Downloads
Peter A. Forsyth and Kenneth R. Vetzal
A Mathematical Analysis of Technical Analysis pp. 38-68 Downloads
Matthew Lorig, Zhou Zhou and Bin Zou
Non-Linear Interactions and Exchange Rate Prediction: Empirical Evidence Using Support Vector Regression pp. 69-100 Downloads
Peng Yaohao and Pedro Henrique Melo Albuquerque

Volume 25, issue 3, 2018

Volatility Targeting Using Delayed Diffusions pp. 213-246 Downloads
Lorenzo Torricelli
A numerically efficient closed-form representation of mean-variance hedging for exponential additive processes based on Malliavin calculus pp. 247-267 Downloads
Takuji Arai and Yuto Imai
Outperformance and Tracking: Dynamic Asset Allocation for Active and Passive Portfolio Management pp. 268-294 Downloads
Ali Al-Aradi and Sebastian Jaimungal
Extended Gini-Type Measures of Risk and Variability pp. 295-314 Downloads
Mohammed Berkhouch, Ghizlane Lakhnati and Marcelo Brutti Righi

Volume 25, issue 2, 2018

Optimal Decisions in a Time Priority Queue pp. 107-147 Downloads
Ryan Donnelly and Luhui Gan
Approximation of Non-Lipschitz SDEs by Picard Iterations pp. 148-179 Downloads
Julien Baptiste, Julien Grepat and Emmanuel Lepinette
Dynamic Index Tracking and Risk Exposure Control Using Derivatives pp. 180-212 Downloads
Tim Leung and Brian Ward

Volume 25, issue 1, 2018

Enhancing trading strategies with order book signals pp. 1-35 Downloads
à lvaro Cartea, Ryan Donnelly and Sebastian Jaimungal
A non-Gaussian Ornstein–Uhlenbeck model for pricing wind power futures pp. 36-65 Downloads
Fred Espen Benth and Anca Pircalabu
Optimal Expected-Shortfall Portfolio Selection with Copula-Induced Dependence pp. 66-106 Downloads
Irène Gijbels and Klaus Herrmann

Volume 24, issue 6, 2017

Modelling stochastic skew of FX options using SLV models with stochastic spot/vol correlation and correlated jumps pp. 485-519 Downloads
Andrey Itkin
Two asset-barrier option under stochastic volatility pp. 520-546 Downloads
Barbara Goetz, Marcos Escobar Anel and Rudi Zagst
Third-order short-time expansions for close-to-the-money option prices under the CGMY model pp. 547-574 Downloads
José E. Figueroa-López, Ruoting Gong and Christian Houdré

Volume 24, issue 5, 2017

Optimal portfolio execution under time-varying liquidity constraints pp. 387-416 Downloads
Hua-Yi Lin and Arash Fahim
Price manipulation in a market impact model with dark pool pp. 417-450 Downloads
Florian Klöck, Alexander Schied and Yuemeng Sun
Utility maximization under risk constraints and incomplete information for a market with a change point pp. 451-484 Downloads
Oliver Janke

Volume 24, issue 4, 2017

The affine inflation market models pp. 281-301 Downloads
Stefan Waldenberger
On the modelling of nested risk-neutral stochastic processes with applications in insurance pp. 302-336 Downloads
S. N. Singor, A. Boer, J. S. C. Alberts and Cornelis Oosterlee
Robust barrier option pricing by frame projection under exponential Lévy dynamics pp. 337-386 Downloads
J. Lars Kirkby

Volume 24, issue 3, 2017

A dimension and variance reduction Monte-Carlo method for option pricing under jump-diffusion models pp. 175-215 Downloads
Duy-Minh Dang, Kenneth R. Jackson and Scott Sues
Optimal accelerated share repurchases pp. 216-245 Downloads
S. Jaimungal, D. Kinzebulatov and D. H. Rubisov
Risk measuring under liquidity risk pp. 246-279 Downloads
Erindi Allaj

Volume 24, issue 2, 2017

Portfolio selection in discrete time with transaction costs and power utility function: a perturbation analysis pp. 77-111 Downloads
Gary Quek and Colin Atkinson
Optimal market making pp. 112-154 Downloads
Olivier Guéant
Financial jeopardy pp. 155-173 Downloads
Dilip B. Madan

Volume 24, issue 1, 2017

Sharper asset ranking from total drawdown durations pp. 1-22 Downloads
Damien Challet
Martingale property of exponential semimartingales: a note on explicit conditions and applications to asset price and Libor models pp. 23-37 Downloads
David Criens, Kathrin Glau and Zorana Grbac
Regime-switching stochastic volatility model: estimation and calibration to VIX options pp. 38-75 Downloads
Stéphane Goutte, Amine Ismail and Huyên Pham

Volume 23, issue 6, 2016

A moment-based analytic approximation of the risk-neutral density of American options pp. 409-444 Downloads
Juan Arismendi Zambrano and Marcel Prokopczuk
Eurodollar futures pricing in log-normal interest rate models in discrete time pp. 445-464 Downloads
Dan Pirjol
Optimal prediction of resistance and support levels pp. 465-483 Downloads
T. De Angelis and G. Peskir
Skewness Term-Structure Tests pp. 484-504 Downloads
Thorsten Lehnert and Yuehao Lin

Volume 23, issue 5, 2016

Market calibration under a long memory stochastic volatility model pp. 323-343 Downloads
Jan Pospíšil and Tomáš Sobotka
Pricing timer options and variance derivatives with closed-form partial transform under the 3/2 model pp. 344-373 Downloads
Wendong Zheng and Pingping Zeng
Analysis of VIX Markets with a Time-Spread Portfolio pp. 374-408 Downloads
A. Papanicolaou

Volume 23, issue 4, 2016

Closed form equilibrium evaluation of interest rate caps and related derivatives in a real business cycle setting pp. 261-277 Downloads
Jostein Tvedt
Indifference fee rate for variable annuities pp. 278-308 Downloads
Etienne Chevalier, Thomas Lim and Ricardo Romo Romero
Long-Range Dependence in the Risk-Neutral Measure for the Market on Lehman Brothers Collapse pp. 309-322 Downloads
Young Shin Kim

Volume 23, issue 3, 2016

Counterparty Credit Exposures for Interest Rate Derivatives using the Stochastic Grid Bundling Method pp. 175-196 Downloads
Patrik Karlsson, Shashi Jain and Cornelis Oosterlee
Approximate indifference pricing in exponential Lévy models pp. 197-235 Downloads
Clément Ménassé and Peter Tankov
Computation of Greeks in LIBOR models driven by time–inhomogeneous Lévy processes pp. 236-260 Downloads
Ernst Eberlein, M’hamed Eddahbi and S. M. Lalaoui Ben Cherif

Volume 23, issue 2, 2016

Pitfalls of the Fourier Transform Method in Affine Models, and Remedies pp. 81-134 Downloads
Sergei LevendorskiÄ­
Small-Maturity Asymptotics for the At-The-Money Implied Volatility Slope in Lévy Models pp. 135-157 Downloads
Stefan Gerhold, I. Cetin Gülüm and Arpad Pinter
On the Method of Optimal Portfolio Choice by Cost-Efficiency pp. 158-173 Downloads
Ludger Rüschendorf and Viktor Wolf

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
Page updated 2020-05-28