Economics at your fingertips  

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 ().

Access Statistics for this journal.
Is something missing from the series or not right? See the RePEc data check for the archive and series.

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