Applied Mathematical Finance

1994 - 2025

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

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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

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, 2010

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