Applied Mathematical Finance

1994 - 2025

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

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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

Volume 21, issue 6, 2014

Implied Filtering Densities on the Hidden State of Stochastic Volatility pp. 483-522

Carlos Fuertes and Andrew Papanicolaou

Re-specification of Affine Term Structure Models: The Linkage to Empirical Investigations pp. 523-554

Ting Ting Huang, Bruce Qiang Sun and Xinfu Chen

Stochastic Correlation and Volatility Mean-reversion - Empirical Motivation and Derivatives Pricing via Perturbation Theory pp. 555-594

Marcos Escobar Anel, Barbara G�tz, Daniela Neykova and Rudi Zagst

Asymptotic Solutions for Australian Options with Low Volatility pp. 595-613

Sai Hung Marten Ting and Christian-Oliver Ewald

Volume 21, issue 5, 2014

Option Pricing with Transaction Costs and Stochastic Interest Rate pp. 399-416

Indranil SenGupta

Variational Solutions of the Pricing PIDEs for European Options in Lévy Models pp. 417-450

Ernst Eberlein and Kathrin Glau

On the Approximation of the SABR with Mean Reversion Model: A Probabilistic Approach pp. 451-481

Joanne E. Kennedy and Duy Pham

Volume 21, issue 4, 2014

Consistent Modelling of VIX and Equity Derivatives Using a 3/2 plus Jumps Model pp. 299-312

Jan Baldeaux and Alexander Badran

Approximate Hedging in a Local Volatility Model with Proportional Transaction Costs pp. 313-341

Emmanuel Lépinette and Tuan Tran

Optimal Trade Execution Under Stochastic Volatility and Liquidity pp. 342-362

Patrick Cheridito and Tardu Sepin

Closed-Form Pricing of Two-Asset Barrier Options with Stochastic Covariance pp. 363-397

Barbara G�tz, Marcos Escobar Anel and Rudi Zagst

Volume 21, issue 3, 2014

Optimal Execution and Price Manipulations in Time-varying Limit Order Books pp. 201-237

Aurélien Alfonsi and José Infante Acevedo

A Radial Basis Function Scheme for Option Pricing in Exponential Lévy Models pp. 238-269

Raymond Brummelhuis and Ron T. L. Chan

Tail VaR Measures in a Multi-period Setting pp. 270-297

Yuta Katsuki and Koichi Matsumoto

Volume 21, issue 2, 2014

An Extension of the Chaos Expansion Approximation for the Pricing of Exotic Basket Options pp. 109-139

Hideharu Funahashi and Masaaki Kijima

Prices and Asymptotics for Discrete Variance Swaps pp. 140-173

Carole Bernard and Zhenyu Cui

Perpetual Options on Multiple Underlyings pp. 174-200

Peter W. Duck, Geoffrey W. Evatt and Paul V. Johnson

Volume 21, issue 1, 2014

Saddlepoint Approximation Methods for Pricing Derivatives on Discrete Realized Variance pp. 1-31

Wendong Zheng and Yue Kuen Kwok

Rare Shock, Two-Factor Stochastic Volatility and Currency Option Pricing pp. 32-50

Guanying Wang, Xingchun Wang and Yongjin Wang

A Multivariate Default Model with Spread and Event Risk pp. 51-83

Jan-Frederik Mai, Pablo Olivares, Steffen Schenk and Matthias Scherer

Forward Variance Dynamics: Bergomi's Model Revisited pp. 84-107

S. M. Ould Aly

Volume 20, issue 6, 2013

Modelling Asset Prices for Algorithmic and High-Frequency Trading pp. 512-547

Álvaro Cartea and Sebastian Jaimungal

A Family of Maximum Entropy Densities Matching Call Option Prices pp. 548-577

Cassio Neri and Joel Schneider

From Minority Game to Black&Scholes Pricing pp. 578-598

Matteo Ortisi and Valerio Zuccolo

Optimal Selling of an Asset with Jumps Under Incomplete Information pp. 599-610

Bing Lu

Volume 20, issue 5, 2013

Comparison Between the Mean-Variance Optimal and the Mean-Quadratic-Variation Optimal Trading Strategies pp. 415-449

Tse, Forsyth, Kennedy and Windcliff

Default Times in a Continuous Time Markov Chain Economy pp. 450-460

Elliott and Hoek van der

A Simple Stochastic Rate Model for Rate Equity Hybrid Products pp. 461-488

Eberlein, Madan, Pistorius and Yor

Pricing and Hedging of Lookback Options in Hyper-exponential Jump Diffusion Models pp. 489-511

Hofer and Mayer

Volume 20, issue 4, 2013

Utility Indifference Pricing: A Time Consistent Approach pp. 304-326

Traian A. Pirvu and Huayue Zhang

A Parametric n -Dimensional Markov-Functional Model in the Terminal Measure pp. 327-358

Linus Kaisajuntti

On the Minimal Entropy Martingale Measure and Multinomial Lattices with Cumulants pp. 359-379

Cyrus Seera Ssebugenyi, Ivivi Joseph Mwaniki and Virginie S. Konlack

Local Volatility Pricing Models for Long-Dated FX Derivatives pp. 380-402

Griselda Deelstra and Gr�gory Ray�e

Boundaries of Correlation Adjustment with Applications to Financial Risk Management pp. 403-414

Kawee Numpacharoen and Kornkanok Bunwong

Volume 20, issue 3, 2013

A Path-Independent Humped Volatility Model for Option Pricing pp. 191-210

Massimo Costabile, Ivar Massabó and Emilio Russo

Exponential L�vy Models Extended by a Jump to Default pp. 211-228

Akira Yamazaki

Exotic Geometric Average Options Pricing under Stochastic Volatility pp. 229-245

Nabil Tahani

Vulnerable Derivatives and Good Deal Bounds: A Structural Model pp. 246-263

Agatha Murgoci

Robust Strategies for Optimal Order Execution in the Almgren--Chriss Framework pp. 264-286

Alexander Schied

Robust Hedging and Pathwise Calculus pp. 287-303

Heikki Tikanmäki

Volume 20, issue 2, 2013

Pricing Equity Swaps in an Economy with Jumps pp. 94-117

Mia Hinnerich

Stock Loans in Incomplete Markets pp. 118-136

Matheus R. Grasselli and Cesar Gómez

Stationary and Nonstationary Behaviour of the Term Structure: A Nonparametric Characterization pp. 137-166

Clive Bowsher and Roland Meeks

Option Replication in Discrete Time with Illiquidity pp. 167-190

Koichi Matsumoto

Volume 20, issue 1, 2013

Option Pricing and Filtering with Hidden Markov-Modulated Pure-Jump Processes pp. 1-25

Robert J. Elliott and Tak Kuen Siu

American Options in the Heston Model with Stochastic Interest Rate and Its Generalizations pp. 26-49

Svetlana Boyarchenko and Sergei LevendorskiĬ

Concentrated Equilibrium and Intraday Patterns in Financial Markets pp. 50-68

Ryosuke Ishii and Katsumasa Nishide

Joint Modelling of Gas and Electricity Spot Prices pp. 69-93

Noufel Frikha and Vincent Lemaire