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Applied Mathematical Finance

1994 - 2023

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

From Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().

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Volume 30, issue 4, 2023

Price Impact Without Averaging pp. 175-206 Downloads
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 Downloads
Tim Leung and Kevin W. Lu

Volume 30, issue 3, 2023

Short-Time Asymptotics for Non-Self-Similar Stochastic Volatility Models pp. 123-152 Downloads
Giacomo Giorgio, Barbara Pacchiarotti and Paolo Pigato
Robust Risk-Aware Option Hedging pp. 153-174 Downloads
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 Downloads
Álvaro Cartea, Fayçal Drissi and Marcello Monga
Simulation of Arbitrage-Free Implied Volatility Surfaces pp. 94-121 Downloads
Rama Cont and Milena Vuletić

Volume 30, issue 1, 2023

Arbitrage-Free Neural-SDE Market Models pp. 1-46 Downloads
Samuel N. Cohen, Christoph Reisinger and Sheng Wang
On the Skew and Curvature of the Implied and Local Volatilities pp. 47-67 Downloads
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 Downloads
Mohamed Hamdouche, Pierre Henry-Labordere and Huyên Pham
Solvability of Differential Riccati Equations and Applications to Algorithmic Trading with Signals pp. 457-493 Downloads
Fayçal Drissi
Exchange Option Pricing Under Variance Gamma-Like Models pp. 494-521 Downloads
Matteo Gardini and Piergiacomo Sabino

Volume 29, issue 5, 2022

Accelerated Share Repurchases Under Stochastic Volatility pp. 331-365 Downloads
Nikhil Krishnan and Ronnie Sircar
Hedging Option Books Using Neural-SDE Market Models pp. 366-401 Downloads
Samuel N. Cohen, Christoph Reisinger and Sheng Wang
Multi-Period Mean Expected-Shortfall Strategies: ‘Cut Your Losses and Ride Your Gains’ pp. 402-438 Downloads
Peter A. Forsyth and Kenneth R. Vetzal

Volume 29, issue 4, 2022

Electricity Intraday Price Modelling with Marked Hawkes Processes pp. 227-260 Downloads
Thomas Deschatre and Pierre Gruet
Optimal Execution with Identity Optionality pp. 261-287 Downloads
René Carmona and Claire Zeng
Strategic Execution Trajectories pp. 288-330 Downloads
Giuliana Bordigoni, Alessio Figalli, Anthony Ledford and Philipp Ustinov

Volume 29, issue 3, 2022

Optimal Execution: A Review pp. 181-212 Downloads
Ryan Donnelly
Valuation of European Options Under an Uncertain Market Price of Volatility Risk pp. 213-226 Downloads
Bartosz Jaroszkowski and Max Jensen

Volume 29, issue 2, 2022

On Regularized Optimal Execution Problems and Their Singular Limits pp. 79-109 Downloads
Max O. Souza and Y. Thamsten
Solving High-Dimensional Optimal Stopping Problems Using Optimization Based Model Order Reduction pp. 110-140 Downloads
Martin Redmann
The Impact of Stochastic Volatility on Initial Margin and MVA for Interest Rate Derivatives pp. 141-179 Downloads
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 Downloads
Carol Alexander, Daniel F. Heck and Andreas Kaeck
Pricing the Excess Volatility in Foreign Exchange Risk Premium and Forward Rate Bias pp. 33-61 Downloads
Tina Swan, Bruce Q. Swan and Xinfu Chen
Deep Q-Learning for Nash Equilibria: Nash-DQN pp. 62-78 Downloads
Philippe Casgrain, Brian Ning and Sebastian Jaimungal

Volume 28, issue 6, 2021

Expected Utility Theory on General Affine GARCH Models pp. 477-507 Downloads
Marcos Escobar-Anel, Ben Spies and Rudi Zagst
On the Valuation of Discrete Asian Options in High Volatility Environments pp. 508-533 Downloads
Sascha Desmettre and Jörg Wenzel
Semi-Robust Replication of Barrier-Style Claims on Price and Volatility pp. 534-559 Downloads
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 Downloads
Sébastien Bossu
Fragmentation, Price Formation and Cross-Impact in Bitcoin Markets pp. 395-448 Downloads
Jakob Albers, Mihai Cucuringu, Sam Howison and Alexander Y. Shestopaloff
On a Neural Network to Extract Implied Information from American Options pp. 449-475 Downloads
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 Downloads
Marc Sabate Vidales, David Šiška and Lukasz Szpruch
KrigHedge: Gaussian Process Surrogates for Delta Hedging pp. 330-360 Downloads
Mike Ludkovski and Yuri Saporito
Double Deep Q-Learning for Optimal Execution pp. 361-380 Downloads
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 Downloads
Dilip B. Madan and King Wang
Structural Clustering of Volatility Regimes for Dynamic Trading Strategies pp. 236-274 Downloads
Arjun Prakash, Nick James, Max Menzies and Gilad Francis
Trading Signals in VIX Futures pp. 275-298 Downloads
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 Downloads
Philippe Bergault, David Evangelista, Olivier Guéant and Douglas Vieira
Heterogeneity and Competition in Fragmented Markets: Fees Vs Speed pp. 143-177 Downloads
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 Downloads
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 Downloads
Piergiacomo Sabino and Nicola Cufaro Petroni
Explicit Representations for Utility Indifference Prices pp. 23-47 Downloads
Markus Hess
A Structural Approach to Default Modelling with Pure Jump Processes pp. 48-78 Downloads
Jean-Philippe Aguilar, Nicolas Pesci and Victor James
Deep Learning for Market by Order Data pp. 79-95 Downloads
Zihao Zhang, Bryan Lim and Stefan Zohren
Correction pp. 96-99 Downloads
The Editors

Volume 27, issue 6, 2020

Non-parametric Pricing and Hedging of Exotic Derivatives pp. 457-494 Downloads
Terry Lyons, Sina Nejad and Imanol Perez Arribas
Spiking the Volatility Punch pp. 495-520 Downloads
Peter Carr and Gianna Figà-Talamanca
Counterparty Credit Limits: The Impact of a Risk-Mitigation Measure on Everyday Trading pp. 520-548 Downloads
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 Downloads
Richard Biegler-König

Volume 27, issue 5, 2020

Detecting and Repairing Arbitrage in Traded Option Prices pp. 345-373 Downloads
Samuel N. Cohen, Christoph Reisinger and Sheng Wang
Sequential Hypothesis Testing in Machine Learning, and Crude Oil Price Jump Size Detection pp. 374-395 Downloads
Michael Roberts and Indranil SenGupta
A Multiple Curve Lévy Swap Market Model pp. 396-421 Downloads
Ernst Eberlein, Christoph Gerhart and Eva Lütkebohmert
Smart Indexing Under Regime-Switching Economic States pp. 422-456 Downloads
Chanaka Edirisinghe and Yonggan Zhao

Volume 27, issue 4, 2020

Optimal Hedging in Incomplete Markets pp. 265-287 Downloads
George Bouzianis and Lane P. Hughston
Is the Variance Swap Rate Affine in the Spot Variance? Evidence from S&P500 Data pp. 288-316 Downloads
Maria Elvira Mancino, S. Scotti and G. Toscano
Optimal Trading with Differing Trade Signals pp. 317-344 Downloads
Ryan Donnelly and Matthew Lorig

Volume 27, issue 3, 2020

Additive Processes with Bilateral Gamma Marginals pp. 171-188 Downloads
Dilip B. Madan and King Wang
Electricity Price Forecasting with Neural Networks on EPEX Order Books pp. 189-206 Downloads
Simon Schnürch and Andreas Wagner
Exact Simulation of Variance Gamma-Related OU Processes: Application to the Pricing of Energy Derivatives pp. 207-227 Downloads
Piergiacomo Sabino
American Strangle Options pp. 228-263 Downloads
Shi Qiu

Volume 27, issue 1-2, 2020

Optimal Market Making under Partial Information with General Intensities pp. 1-45 Downloads
Luciano Campi and Diego Zabaljauregui
Numerical Ross Recovery for Diffusion Processes Using a PDE Approach pp. 46-66 Downloads
Lina von Sydow and Johan Walden
Spoofing and Price Manipulation in Order-Driven Markets pp. 67-98 Downloads
Álvaro Cartea, Sebastian Jaimungal and Yixuan Wang
Optimal Generation and Trading in Solar Renewable Energy Certificate (SREC) Markets pp. 99-131 Downloads
Arvind Shrivats and Sebastian Jaimungal
Limit Order Books, Diffusion Approximations and Reflected SPDEs: From Microscopic to Macroscopic Models pp. 132-170 Downloads
Ben Hambly, Jasdeep Kalsi and James Newbury
Page updated 2024-05-27