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Applied Mathematical Finance

1994 - 2020

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 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

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 5-6, 2018

Modelling Credit Risk in the Jump Threshold Framework pp. 411-433 Downloads
Chun-Yuan Chiu and Alec Kercheval
Transition Probability of Brownian Motion in the Octant and its Application to Default Modelling pp. 434-465 Downloads
Vadim Kaushansky, Alexander Lipton and Christoph Reisinger
Real-World Scenarios With Negative Interest Rates Based on the LIBOR Market Model pp. 466-482 Downloads
Sara Dutra Lopes and Carlos Vázquez
The Optimal Interaction between a Hedge Fund Manager and Investor pp. 483-510 Downloads
Hugo Eduardo Ramirez, Paul Johnson, Peter Duck and Sydney Howell
Diffusion Equations: Convergence of the Functional Scheme Derived from the Binomial Tree with Local Volatility for Non Smooth Payoff Functions pp. 511-532 Downloads
Julien Baptiste and Emmanuel Lépinette
Hybrid Lévy Models: Design and Computational Aspects pp. 533-556 Downloads
Ernst Eberlein and Marcus Rudmann
Log-Optimal Portfolios with Memory Effect pp. 557-585 Downloads
Zsolt Nika and Miklos Rásonyi

Volume 25, issue 4, 2018

Risk-Neutral Pricing and Hedging of In-Play Football Bets pp. 315-335 Downloads
Peter Divos, Sebastian Del Bano Rollin, Zsolt Bihari and Tomaso Aste
Sovereign CDS Calibration Under a Hybrid Sovereign Risk Model pp. 336-360 Downloads
Sidy Diop, Andrea Pascucci, Marco Di Francesco and Gian Luca De Marchi
Portfolio Optimization under Fast Mean-Reverting and Rough Fractional Stochastic Environment pp. 361-388 Downloads
Jean-Pierre Fouque and Ruimeng Hu
Option Pricing in Illiquid Markets with Jumps pp. 389-409 Downloads
José M. T. S. Cruz and Daniel Ševčovič
Option Pricing in Illiquid Markets with Jumps pp. 395-415 Downloads
José M. T. S. Cruz and Daniel Ševčovič

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
Álvaro 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
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