Applied Mathematical Finance

1994 - 2024

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

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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

Volume 25, issue 5-6, 2018

Modelling Credit Risk in the Jump Threshold Framework pp. 411-433

Chun-Yuan Chiu and Alec Kercheval

Transition Probability of Brownian Motion in the Octant and its Application to Default Modelling pp. 434-465

Vadim Kaushansky, Alexander Lipton and Christoph Reisinger

Real-World Scenarios With Negative Interest Rates Based on the LIBOR Market Model pp. 466-482

Sara Dutra Lopes and Carlos Vázquez

The Optimal Interaction between a Hedge Fund Manager and Investor pp. 483-510

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

Julien Baptiste and Emmanuel Lépinette

Hybrid Lévy Models: Design and Computational Aspects pp. 533-556

Ernst Eberlein and Marcus Rudmann

Log-Optimal Portfolios with Memory Effect pp. 557-585

Zsolt Nika and Miklos Rásonyi

Volume 25, issue 4, 2018

Risk-Neutral Pricing and Hedging of In-Play Football Bets pp. 315-335

Peter Divos, Sebastian Del Bano Rollin, Zsolt Bihari and Tomaso Aste

Sovereign CDS Calibration Under a Hybrid Sovereign Risk Model pp. 336-360

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

Jean-Pierre Fouque and Ruimeng Hu

Option Pricing in Illiquid Markets with Jumps pp. 389-409

José M. T. S. Cruz and Daniel Ševčovič

Option Pricing in Illiquid Markets with Jumps pp. 395-415

José M. T. S. Cruz and Daniel Ševčovič

Volume 25, issue 3, 2018

Volatility Targeting Using Delayed Diffusions pp. 213-246

Lorenzo Torricelli

A numerically efficient closed-form representation of mean-variance hedging for exponential additive processes based on Malliavin calculus pp. 247-267

Takuji Arai and Yuto Imai

Outperformance and Tracking: Dynamic Asset Allocation for Active and Passive Portfolio Management pp. 268-294

Ali Al-Aradi and Sebastian Jaimungal

Extended Gini-Type Measures of Risk and Variability pp. 295-314

Mohammed Berkhouch, Ghizlane Lakhnati and Marcelo Righi

Volume 25, issue 2, 2018

Optimal Decisions in a Time Priority Queue pp. 107-147

Ryan Donnelly and Luhui Gan

Approximation of Non-Lipschitz SDEs by Picard Iterations pp. 148-179

Julien Baptiste, Julien Grepat and Emmanuel Lepinette

Dynamic Index Tracking and Risk Exposure Control Using Derivatives pp. 180-212

Tim Leung and Brian Ward

Volume 25, issue 1, 2018

Enhancing trading strategies with order book signals pp. 1-35

Álvaro Cartea, Ryan Donnelly and Sebastian Jaimungal

A non-Gaussian Ornstein–Uhlenbeck model for pricing wind power futures pp. 36-65

Fred Espen Benth and Anca Pircalabu

Optimal Expected-Shortfall Portfolio Selection with Copula-Induced Dependence pp. 66-106

Irène Gijbels and Klaus Herrmann