Applied Mathematical Finance

1994 - 2024

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

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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

Andrey Itkin

Two asset-barrier option under stochastic volatility pp. 520-546

Barbara Goetz, Marcos Escobar Anel and Rudi Zagst

Third-order short-time expansions for close-to-the-money option prices under the CGMY model pp. 547-574

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

Hua-Yi Lin and Arash Fahim

Price manipulation in a market impact model with dark pool pp. 417-450

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

Oliver Janke

Volume 24, issue 4, 2017

The affine inflation market models pp. 281-301

Stefan Waldenberger

On the modelling of nested risk-neutral stochastic processes with applications in insurance pp. 302-336

S. N. Singor, A. Boer, J. S. C. Alberts and Cornelis Oosterlee

Robust barrier option pricing by frame projection under exponential Lévy dynamics pp. 337-386

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

Duy-Minh Dang, Kenneth R. Jackson and Scott Sues

Optimal accelerated share repurchases pp. 216-245

S. Jaimungal, D. Kinzebulatov and D. H. Rubisov

Risk measuring under liquidity risk pp. 246-279

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

Gary Quek and Colin Atkinson

Optimal market making pp. 112-154

Olivier Guéant

Financial jeopardy pp. 155-173

Dilip B. Madan

Volume 24, issue 1, 2017

Sharper asset ranking from total drawdown durations pp. 1-22

Damien Challet

Martingale property of exponential semimartingales: a note on explicit conditions and applications to asset price and Libor models pp. 23-37

David Criens, Kathrin Glau and Zorana Grbac

Regime-switching stochastic volatility model: estimation and calibration to VIX options pp. 38-75

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

Juan Arismendi Zambrano and Marcel Prokopczuk

Eurodollar futures pricing in log-normal interest rate models in discrete time pp. 445-464

Dan Pirjol

Optimal prediction of resistance and support levels pp. 465-483

T. De Angelis and G. Peskir

Skewness Term-Structure Tests pp. 484-504

Thorsten Lehnert and Yuehao Lin

Volume 23, issue 5, 2016

Market calibration under a long memory stochastic volatility model pp. 323-343

Jan Pospíšil and Tomáš Sobotka

Pricing timer options and variance derivatives with closed-form partial transform under the 3/2 model pp. 344-373

Wendong Zheng and Pingping Zeng

Analysis of VIX Markets with a Time-Spread Portfolio pp. 374-408

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

Jostein Tvedt

Indifference fee rate for variable annuities pp. 278-308

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

Young Shin Kim

Volume 23, issue 3, 2016

Counterparty Credit Exposures for Interest Rate Derivatives using the Stochastic Grid Bundling Method pp. 175-196

Patrik Karlsson, Shashi Jain and Cornelis Oosterlee

Approximate indifference pricing in exponential Lévy models pp. 197-235

Clément Ménassé and Peter Tankov

Computation of Greeks in LIBOR models driven by time–inhomogeneous Lévy processes pp. 236-260

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

Sergei Levendorskiĭ

Small-Maturity Asymptotics for the At-The-Money Implied Volatility Slope in Lévy Models pp. 135-157

Stefan Gerhold, I. Cetin Gülüm and Arpad Pinter

On the Method of Optimal Portfolio Choice by Cost-Efficiency pp. 158-173

Ludger Rüschendorf and Viktor Wolf

Volume 23, issue 1, 2016

Pricing Occupation-Time Options in a Mixed-Exponential Jump-Diffusion Model pp. 1-21

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

Mark Joshi and Dan Zhu

Liquidity Costs: A New Numerical Methodology and an Empirical Study pp. 57-79

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

Min Park and Steven Clark

Dimension and variance reduction for Monte Carlo methods for high-dimensional models in finance pp. 522-552

Duy-Minh Dang, Kenneth R. Jackson and Mohammadreza Mohammadi

Pricing Perpetual American Compound Options under a Matrix-Exponential Jump-Diffusion Model pp. 553-575

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

Dorje C. Brody and Yan Tai Law

Pricing Exotic Discrete Variance Swaps under the 3/2-Stochastic Volatility Models pp. 421-449

Chi Hung Yuen, Wendong Zheng and Yue Kuen Kwok

Perpetual Exchange Options under Jump-Diffusion Dynamics pp. 450-462

Gerald H. L. Cheang and Guanghua Lian

Recursive Marginal Quantization of the Euler Scheme of a Diffusion Process pp. 463-498

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

Leung, Nan Chen and Kwok

Optimal Execution and Block Trade Pricing: A General Framework pp. 336-365

Olivier Guéant

A Hybrid Model for Pricing and Hedging of Long-dated Bonds pp. 366-398

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

Tinne Haentjens and Karel J. in 't Hout

The British Lookback Option with Fixed Strike pp. 238-260

Yerkin Kitapbayev

Semi-Markov Model for Market Microstructure pp. 261-295

Pietro Fodra and Huyên Pham

Volume 22, issue 2, 2015

A Note on Dual-Curve Construction: Mr. Crab's Bootstrap pp. 105-132

Roberto Baviera and Alessandro Cassaro

Pricing Path-Dependent Options with Discrete Monitoring under Time-Changed Lévy Processes pp. 133-161

Yuji Umezawa and Akira Yamazaki

Implied Volatility of Leveraged ETF Options pp. 162-188

Tim Leung and Ronnie Sircar

Stochastic Models for Oil Prices and the Pricing of Futures on Oil pp. 189-206

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

Rehez Ahlip and Marek Rutkowski

Pricing of Spread Options on a Bivariate Jump Market and Stability to Model Risk pp. 28-62

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

Rohini Kumar

A New Variance Reduction Technique for Estimating Value-at-Risk pp. 83-98

Ralf Korn and Mykhailo Pupashenko

Correction: Exchange Option under Jump-diffusion Dynamics pp. 99-103

Ruggero Caldana, Gerald H. L. Cheang, Carl Chiarella and Gianluca Fusai