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Applied Mathematical Finance

1994 - 2018

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

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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

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 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 C. W. 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 W. 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 Levendorskiĭ
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

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
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