Applied Mathematical Finance

1994 - 2024

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

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Volume 18, issue 6, 2011

Option Valuation with a Discrete-Time Double Markovian Regime-Switching Model pp. 473-490

Tak Kuen Siu, Eric S. Fung and Michael K. Ng

Good-Deal Bounds in a Regime-Switching Diffusion Market pp. 491-515

Catherine Donnelly

Small-Time Asymptotics for an Uncorrelated Local-Stochastic Volatility Model pp. 517-535

Martin Forde and Antoine Jacquier

The British Put Option pp. 537-563

Goran Peskir and Farman Samee

Volume 18, issue 5, 2011

Early Exercise Boundary for American Type of Floating Strike Asian Option and Its Numerical Approximation pp. 367-394

Tomáš Bokes and Daniel Ševčovič

Mean--Variance Optimal Adaptive Execution pp. 395-422

Julian Lorenz and Robert Almgren

Arithmetic Asian Options under Stochastic Delay Models pp. 423-446

Nairn McWilliams and Sotirios Sabanis

Closed Form Approximations for Spread Options pp. 447-472

Aanand Venkatramanan and Carol Alexander

Volume 18, issue 4, 2011

Valuation of Two-Factor Interest Rate Contingent Claims Using Green's Theorem pp. 277-289

Ghulam Sorwar and Giovanni Barone-Adesi

Optimal Asset Allocation for Passive Investing with Capital Loss Harvesting pp. 291-329

Daniel Ostrov and Thomas Wong

An Affine Two-Factor Heteroskedastic Macro-Finance Term Structure Model pp. 331-352

Peter Spreij, Enno Veerman and Peter Vlaar

Characterization of the American Put Option Using Convexity pp. 353-365

Dejun Xie, David Edwards, Gilberto Schleiniger and Qinghua Zhu

Volume 18, issue 3, 2011

The Tick-by-Tick Dynamical Consistency of Price Impact in Limit Order Books pp. 189-205

Damien Challet

One-Dimensional Pricing of CPPI pp. 207-225

Louis Paulot and Xavier Lacroze

The S&P 500 Index as a Sato Process Travelling at the Speed of the VIX pp. 227-244

Dilip Madan and Marc Yor

Exchange Options Under Jump-Diffusion Dynamics pp. 245-276

Gerald Cheang and Carl Chiarella

Volume 18, issue 2, 2011

Hedging of Spatial Temperature Risk with Market-Traded Futures pp. 93-117

Andrea Barth, Fred Espen Benth and Jurgen Potthoff

Calibration of Stock Betas from Skews of Implied Volatilities pp. 119-137

Jean-Pierre Fouque and Eli Kollman

A Coherent Aggregation Framework for Stress Testing and Scenario Analysis pp. 139-154

Jan Kwiatkowski and Riccardo Rebonato

Corrections to the Prices of Derivatives due to Market Incompleteness pp. 155-187

David German

Volume 18, issue 1, 2011

Variance-Optimal Hedging for Time-Changed Levy Processes pp. 1-28

Jan Kallsen and Arnd Pauwels

Markowitz's Mean-Variance Asset-Liability Management with Regime Switching: A Multi-Period Model pp. 29-50

Ping Chen and Hailiang Yang

A Time-Dependent Variance Model for Pricing Variance and Volatility Swaps pp. 51-70

Joanna Goard

On Modelling and Pricing Rainfall Derivatives with Seasonality pp. 71-91

Gunther Leobacher and Philip Ngare

Volume 17, issue 6, 2010

Optimal Basket Liquidation for CARA Investors is Deterministic pp. 471-489

Alexander Schied, Torsten Schoneborn and Michael Tehranchi

Approximate Hedging of Contingent Claims under Transaction Costs for General Pay-offs pp. 491-518

Emmanuel Denis

Utility-Based Valuation and Hedging of Basis Risk With Partial Information pp. 519-551

Michael Monoyios

Volume 17, issue 5, 2010

Sato Processes in Default Modelling pp. 377-397

Thomas Kokholm and Elisa Nicolato

Time Charters with Purchase Options in Shipping: Valuation and Risk Management pp. 399-430

Peter Jørgensen and Domenico De Giovanni

Optimal Execution in a Market with Small Investors pp. 431-451

Ryosuke Ishii

Calibration of the Libor Market Model Using Correlations Implied by CMS Spread Options pp. 453-469

Reik Borger and Jan van Heys

Volume 17, issue 4, 2010

Computation of Greeks and Multidimensional Density Estimation for Asset Price Models with Time-Changed Brownian Motion pp. 301-321

Reiichiro Kawai and Arturo Kohatsu-Higa

Building an Optimal Portfolio in Discrete Time in the Presence of Transaction Costs pp. 323-357

Colin Atkinson and Emmeline Storey

Optimal Market Making in the Foreign Exchange Market pp. 359-372

Luitgard Veraart

Comment on: A Note on the Discontinuity Problem in Heston's Stochastic Volatility Model pp. 373-376

Roger Lord

Volume 17, issue 3, 2010

Two Useful Techniques for Financial Modelling Problems pp. 201-210

Paul Doust

Analysis of Fourier Transform Valuation Formulas and Applications pp. 211-240

Ernst Eberlein, Kathrin Glau and Antonis Papapantoleon

Robust Approximations for Pricing Asian Options and Volatility Swaps Under Stochastic Volatility pp. 241-259

Martin Forde and Antoine Jacquier

Asymptotics of Barrier Option Pricing Under the CEV Process pp. 261-300

Fannu Hu and Charles Knessl

Volume 17, issue 2, 2010

Static Replication of Forward-Start Claims and Realized Variance Swaps pp. 99-131

Jan Baldeaux and Marek Rutkowski

Comment on 'Correcting for Simulation Bias in Monte Carlo Methods to Value Exotic Options in Models Driven by Levy Processes' by C. Ribeiro and N. Webber pp. 133-146

Martin Becker

Real-World Pricing for a Modified Constant Elasticity of Variance Model pp. 147-175

Shane Miller and Eckhard Platen

Risk Minimization for a Filtering Micromovement Model of Asset Price pp. 177-199

Kiseop Lee and Yong Zeng

Volume 17, issue 1, 2010

Optimal Weak Static Hedging of Equity and Credit Risk Using Derivatives pp. 1-28

Dirk Becherer and Ian Ward

Mean Variance Hedging in a General Jump Model pp. 29-57

Michael Kohlmann, Dewen Xiong and Zhongxing Ye

Numerical Methods for Non-Linear Black-Scholes Equations pp. 59-81

Pascal Heider

Short Positions, Rally Fears and Option Markets pp. 83-98

Ernst Eberlein and Dilip Madan

Volume 16, issue 6, 2009

Valuing the Guaranteed Minimum Death Benefit Clause with Partial Withdrawals pp. 451-496

A. C. Belanger, P. A. Forsyth and G. Labahn

A New Approach to Pricing Double-Barrier Options with Arbitrary Payoffs and Exponential Boundaries pp. 497-515

Peter Buchen and Otto Konstandatos

Closed Formula for Options with Discrete Dividends and Its Derivatives pp. 517-531

Carlos Veiga and Uwe Wystup

Volume 16, issue 5, 2009

Strategic Pricing of Commodities pp. 385-399

Kurt Jörnsten and Jan Ubøe

Valuation of Mortgage-Backed Securities and Mortgage Derivatives: A Closed-Form Approximation pp. 401-427

Andreas Kolbe and Rudi Zagst

Multi-Scale Time-Changed Birth Processes for Pricing Multi-Name Credit Derivatives pp. 429-449

Erhan Bayraktar and Bo Yang

Volume 16, issue 4, 2009

Computing the Volume of n-Dimensional Copulas pp. 307-314

Umberto Cherubini and Silvia Romagnoli

A Note on the Suboptimality of Path-Dependent Pay-Offs in Levy Markets pp. 315-330

Steven Vanduffel, Andrew Chernih, Matheusz Maj and Wim Schoutens

Partial Hedging in Financial Markets with a Large Agent pp. 331-346

Jungmin Choi and Mattias Jonsson

Employee Stock Options: An Up-and-Out Protected Barrier Call pp. 347-352

Chris Anderson and Neil Brisley

Multiscale Intensity Models and Name Grouping for Valuation of Multi-Name Credit Derivatives pp. 353-383

Evan Papageorgiou and Ronnie Sircar

Volume 16, issue 3, 2009

Mean-Variance Hedging with Uncertain Trade Execution pp. 219-252

Koichi Matsumoto

Boundary Values and Finite Difference Methods for the Single Factor Term Structure Equation pp. 253-259

Erik Ekstrom, Per Lotstedt and Johan Tysk

Numerical Approximation of the Implied Volatility Under Arithmetic Brownian Motion pp. 261-268

Jaehyuk Choi, Kwangmoon Kim and Minsuk Kwak

Displaced Diffusion as an Approximation of the Constant Elasticity of Variance pp. 269-286

Simona Svoboda-Greenwood

The Valuation of American Options with Stochastic Stopping Time Constraints pp. 287-305

Daniel Egloff and Markus Leippold

Volume 16, issue 2, 2009

Modelling Electricity Prices with Forward Looking Capacity Constraints pp. 103-122

Álvaro Cartea, Marcelo Figueroa and Helyette Geman

Convergence of a Least-Squares Monte Carlo Algorithm for Bounded Approximating Sets pp. 123-150

Daniel Zanger

Trader Behavior and its Effect on Asset Price Dynamics pp. 151-181

James Primbs and Muruhan Rathinam

Optimal Quantization for the Pricing of Swing Options pp. 183-217

Olivier Bardou, Sandrine Bouthemy and Gilles Pages

Volume 16, issue 1, 2009

On Markov-modulated Exponential-affine Bond Price Formulae pp. 1-15

Robert Elliott and Tak Kuen Siu

A Numerical Method to Price Defaultable Bonds Based on the Madan and Unal Credit Risk Model pp. 17-36

Luca Vincenzo Ballestra and Graziella Pacelli

American Call Options Under Jump-Diffusion Processes - A Fourier Transform Approach pp. 37-79

Carl Chiarella and Andrew Ziogas

Orderings and Probability Functionals Consistent with Preferences pp. 81-102

Sergio Ortobelli, Svetlozar Rachev, Haim Shalit and Frank Fabozzi