Applied Mathematical Finance

1994 - 2025

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

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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

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