Applied Mathematical Finance

1994 - 2025

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

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Volume 28, issue 6, 2021

Expected Utility Theory on General Affine GARCH Models pp. 477-507

Marcos Escobar-Anel, Ben Spies and Rudi Zagst

On the Valuation of Discrete Asian Options in High Volatility Environments pp. 508-533

Sascha Desmettre and Jörg Wenzel

Semi-Robust Replication of Barrier-Style Claims on Price and Volatility pp. 534-559

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

Sébastien Bossu

Fragmentation, Price Formation and Cross-Impact in Bitcoin Markets pp. 395-448

Jakob Albers, Mihai Cucuringu, Sam Howison and Alexander Y. Shestopaloff

On a Neural Network to Extract Implied Information from American Options pp. 449-475

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

Marc Sabate Vidales, David Šiška and Lukasz Szpruch

KrigHedge: Gaussian Process Surrogates for Delta Hedging pp. 330-360

Mike Ludkovski and Yuri Saporito

Double Deep Q-Learning for Optimal Execution pp. 361-380

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

Dilip B. Madan and King Wang

Structural Clustering of Volatility Regimes for Dynamic Trading Strategies pp. 236-274

Arjun Prakash, Nick James, Max Menzies and Gilad Francis

Trading Signals in VIX Futures pp. 275-298

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

Philippe Bergault, David Evangelista, Olivier Guéant and Douglas Vieira

Heterogeneity and Competition in Fragmented Markets: Fees Vs Speed pp. 143-177

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

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

Piergiacomo Sabino and Nicola Cufaro Petroni

Explicit Representations for Utility Indifference Prices pp. 23-47

Markus Hess

A Structural Approach to Default Modelling with Pure Jump Processes pp. 48-78

Jean-Philippe Aguilar, Nicolas Pesci and Victor James

Deep Learning for Market by Order Data pp. 79-95

Zihao Zhang, Bryan Lim and Stefan Zohren

Correction pp. 96-99

The Editors

Volume 27, issue 6, 2020

Non-parametric Pricing and Hedging of Exotic Derivatives pp. 457-494

Terry Lyons, Sina Nejad and Imanol Perez Arribas

Spiking the Volatility Punch pp. 495-520

Peter Carr and Gianna Figà-Talamanca

Counterparty Credit Limits: The Impact of a Risk-Mitigation Measure on Everyday Trading pp. 520-548

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

Richard Biegler-König

Volume 27, issue 5, 2020

Detecting and Repairing Arbitrage in Traded Option Prices pp. 345-373

Samuel N. Cohen, Christoph Reisinger and Sheng Wang

Sequential Hypothesis Testing in Machine Learning, and Crude Oil Price Jump Size Detection pp. 374-395

Michael Roberts and Indranil SenGupta

A Multiple Curve Lévy Swap Market Model pp. 396-421

Ernst Eberlein, Christoph Gerhart and Eva Lütkebohmert

Smart Indexing Under Regime-Switching Economic States pp. 422-456

Chanaka Edirisinghe and Yonggan Zhao

Volume 27, issue 4, 2020

Optimal Hedging in Incomplete Markets pp. 265-287

George Bouzianis and Lane P. Hughston

Is the Variance Swap Rate Affine in the Spot Variance? Evidence from S&P500 Data pp. 288-316

Maria Elvira Mancino, S. Scotti and G. Toscano

Optimal Trading with Differing Trade Signals pp. 317-344

Ryan Donnelly and Matthew Lorig

Volume 27, issue 3, 2020

Additive Processes with Bilateral Gamma Marginals pp. 171-188

Dilip B. Madan and King Wang

Electricity Price Forecasting with Neural Networks on EPEX Order Books pp. 189-206

Simon Schnürch and Andreas Wagner

Exact Simulation of Variance Gamma-Related OU Processes: Application to the Pricing of Energy Derivatives pp. 207-227

Piergiacomo Sabino

American Strangle Options pp. 228-263

Shi Qiu

Volume 27, issue 1-2, 2020

Optimal Market Making under Partial Information with General Intensities pp. 1-45

Luciano Campi and Diego Zabaljauregui

Numerical Ross Recovery for Diffusion Processes Using a PDE Approach pp. 46-66

Lina von Sydow and Johan Walden

Spoofing and Price Manipulation in Order-Driven Markets pp. 67-98

Álvaro Cartea, Sebastian Jaimungal and Yixuan Wang

Optimal Generation and Trading in Solar Renewable Energy Certificate (SREC) Markets pp. 99-131

Arvind Shrivats and Sebastian Jaimungal

Limit Order Books, Diffusion Approximations and Reflected SPDEs: From Microscopic to Macroscopic Models pp. 132-170

Ben Hambly, Jasdeep Kalsi and James Newbury

Volume 26, issue 6, 2019

Network Effects in Default Clustering for Large Systems pp. 523-582

Konstantinos Spiliopoulos and Jia Yang

Numerical Method for Model-free Pricing of Exotic Derivatives in Discrete Time Using Rough Path Signatures pp. 583-597

Terry Lyons, Sina Nejad and Imanol Perez Arribas

Portfolio Optimization for Credit-Risky Assets under Marshall–Olkin Dependence pp. 598-618

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

Olivier Guéant and Iuliia Manziuk

Polynomial Processes for Power Prices pp. 453-474

Tony Ware

Structural Electricity Models and Asymptotically Normal Estimators to Quantify Parameter Risk pp. 475-522

Cord Harms and Rüdiger Kiesel

Volume 26, issue 4, 2019

Generalised Lyapunov Functions and Functionally Generated Trading Strategies pp. 293-327

Johannes Ruf and Kangjianan Xie

High-dimensional Statistical Arbitrage with Factor Models and Stochastic Control pp. 328-358

Jorge Guijarro-Ordonez

A Copula-based Markov Reward Approach to the Credit Spread in the European Union pp. 359-386

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

Dan Pirjol, Jing Wang and Lingjiong Zhu

Dual Representation of the Cost of Designing a Portfolio Satisfying Multiple Risk Constraints pp. 222-256

Géraldine Bouveret

Higher-order Discretization Methods of Forward-backward SDEs Using KLNV-scheme and Their Applications to XVA Pricing pp. 257-292

Syoiti Ninomiya and Yuji Shinozaki

Volume 26, issue 2, 2019

Hedging the Risk of Delayed Data in Defaultable Markets pp. 101-130

Ramin Okhrati

On Carr and Lee’s Correlation Immunization Strategy pp. 131-152

Jimin Lin and Matthew Lorig

Mean-Field Game Strategies for Optimal Execution pp. 153-185

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

Peter A. Forsyth and Kenneth R. Vetzal

A Mathematical Analysis of Technical Analysis pp. 38-68

Matthew Lorig, Zhou Zhou and Bin Zou

Non-Linear Interactions and Exchange Rate Prediction: Empirical Evidence Using Support Vector Regression pp. 69-100

Peng Yaohao and Pedro Henrique Melo Albuquerque