Applied Mathematical Finance

1994 - 2024

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

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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

Volume 19, issue 6, 2012

Assessing the Costs of Protection in a Context of Switching Stochastic Regimes pp. 495-511

Pauline Barrieu, Nadine Bellamy and Jean-Michel Sahut

Bonds and Options in Exponentially Affine Bond Models pp. 513-534

Hans-Peter Bermin

Assessing the Performance of Different Volatility Estimators: A Monte Carlo Analysis pp. 535-552

Álvaro Cartea and Dimitrios Karyampas

On the Approximation of the SABR Model: A Probabilistic Approach pp. 553-586

Joanne E. Kennedy, Subhankar Mitra and Duy Pham

Volume 19, issue 5, 2012

The Stochastic Intrinsic Currency Volatility Model: A Consistent Framework for Multiple FX Rates and Their Volatilities pp. 381-445

Paul Doust

The Endogenous Price Dynamics of Emission Allowances and an Application to CO 2 Option Pricing pp. 447-475

Marc Chesney and Luca Taschini

Options on Realized Variance in Log-OU Models pp. 477-494

Gabriel G. Drimus

Volume 19, issue 4, 2012

Determination of the Probability Distribution Measures from Market Option Prices Using the Method of Maximum Entropy in the Mean pp. 299-312

Henryk Gzyl and Silvia Mayoral

A General Formula for Option Prices in a Stochastic Volatility Model pp. 313-340

Stephen Chin and Daniel Dufresne

On the Spurious Correlation Between Sample Betas and Mean Returns pp. 341-360

Moshe Levy

Pricing Fixed-Income Securities in an Information-Based Framework pp. 361-379

Lane P. Hughston and Andrea Macrina

Volume 19, issue 3, 2012

Bias Reduction for Pricing American Options by Least-Squares Monte Carlo pp. 195-217

Kin Hung (Felix) Kan and R. Mark Reesor

Viterbi-Based Estimation for Markov Switching GARCH Model pp. 219-231

Robert J. Elliott, John W. Lau, Hong Miao and Tak Kuen Siu

Stochastic Expansion for the Pricing of Call Options with Discrete Dividends pp. 233-264

Pierre Étor� and Emmanuel Gobet

Dynamic Portfolio Optimization in Discrete-Time with Transaction Costs pp. 265-298

Colin Atkinson and Gary Quek

Volume 19, issue 2, 2012

Pricing of Parisian Options for a Jump-Diffusion Model with Two-Sided Jumps pp. 97-129

Hansjörg Albrecher, Dominik Kortschak and Xiaowen Zhou

The Effect of Correlation and Transaction Costs on the Pricing of Basket Options pp. 131-179

C. Atkinson and P. Ingpochai

Comparison of Two Methods for Superreplication pp. 181-193

Erik Ekström and Johan Tysk

Volume 19, issue 1, 2012

On Cross-Currency Models with Stochastic Volatility and Correlated Interest Rates pp. 1-35

Lech Grzelak and Cornelis Oosterlee

New Analytic Approach to Address Put--Call Parity Violation due to Discrete Dividends pp. 37-58

Alexander Buryak and Ivan Guo

The Implied Market Price of Weather Risk pp. 59-95

Wolfgang Härdle and Brenda López Cabrera