Applied Mathematical Finance

1994 - 2024

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

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Volume 15, issue 5-6, 2008

INTRODUCTION pp. 403-404

Helyette Geman

Pricing Asset Scheduling Flexibility using Optimal Switching pp. 405-447

Rene Carmona and Michael Ludkovski

Asymptotic Pricing of Commodity Derivatives using Stochastic Volatility Spot Models pp. 449-477

Samuel Hikspoors and Sebastian Jaimungal

Pricing of Swing Options in a Mean Reverting Model with Jumps pp. 479-502

Mats Kjaer

Hydropower with Financial Information pp. 503-529

E. Nasakkala and J. Keppo

A Lattice-Based Method for Pricing Electricity Derivatives Under the Threshold Model pp. 531-567

Helyette Geman and Stelios Kourouvakalis

Volume 15, issue 4, 2008

Risk-based Decisions on the Asset Structure of a Bank under Partial Economic Information pp. 305-329

Grzegorz Halaj

Finite-dimensional Realizations of Regime-switching HJM Models pp. 331-354

Mikael Elhouar

Modelling the Temperature Time-dependent Speed of Mean Reversion in the Context of Weather Derivatives Pricing pp. 355-386

A. Zapranis and A. Alexandridis

Two Exotic Lookback Options pp. 387-402

Hans-Peter Bermin, Peter Buchen and Otto Konstandatos

Volume 15, issue 3, 2008

Return and Value at Risk using the Dirichlet Process pp. 205-218

Mahmoud Zarepour, Thierry Bedard and Andre Dabrowski

Empirical Evaluation of Hybrid Defaultable Bond Pricing Models pp. 219-249

S. Antes, M. Ilg, B. Schmid and R. Zagst

Hedging Large Portfolios of Options in Discrete Time pp. 251-275

B. Peeters, C. L. Dert and Andre Lucas

Pricing Options on Defaultable Stocks pp. 277-304

Erhan Bayraktar

Volume 15, issue 2, 2008

Weak Approximation of Stochastic Differential Equations and Application to Derivative Pricing pp. 107-121

Syoiti Ninomiya and Nicolas Victoir

General Lower Bounds for Arithmetic Asian Option Prices pp. 123-149

H. Albrecher, P. A. Mayer and W. Schoutens

Stochastic Volatility: Option Pricing using a Multinomial Recombining Tree pp. 151-181

Ionuţ Florescu and Frederi Viens

A Structural Model with Unobserved Default Boundary pp. 183-203

Thorsten Schmidt and Alexander Novikov

Volume 15, issue 1, 2008

Valuation of Performance-Dependent Options pp. 1-20

Thomas Gerstner and Markus Holtz

Market Influence of Portfolio Optimizers pp. 21-40

Suhas Nayak and George Papanicolaou

Using Affine Jump Diffusion Models for Modelling and Pricing Electricity Derivatives pp. 41-71

N. K. Nomikos and O. Soldatos

Multiscale Intensity Models for Single Name Credit Derivatives pp. 73-105

E. Papageorgiou and R. Sircar

Volume 14, issue 5, 2007

A Control Variate Method for Monte Carlo Simulations of Heath-Jarrow-Morton Models with Jumps pp. 365-399

Carl Chiarella, Christina Nikitopoulos-Sklibosios and Erik Schlogl

Optimal Financial Portfolios pp. 401-436

S. V. Stoyanov, S. T. Rachev and Frank Fabozzi

Convex Hedging in Incomplete Markets pp. 437-452

Birgit Rudloff

An Improved Binomial Lattice Method for Multi-Dimensional Options pp. 453-475

Andrea Gamba and Lenos Trigeorgis

Volume 14, issue 4, 2007

Mean Reversion Level Extensions of Time-Homogeneous Affine Term Structure Models pp. 291-302

Oh Kang Kwon

Indifference Pricing and Hedging for Volatility Derivatives pp. 303-317

M. R. Grasselli and T. R. Hurd

Mean-Reverting Market Model: Speculative Opportunities and Non-Arbitrage pp. 319-337

Nikolai Dokuchaev

A Note on the Discontinuity Problem in Heston's Stochastic Volatility Model pp. 339-345

Jia-Hau Guo and Mao-Wei Hung

Valuing Volatility and Variance Swaps for a Non-Gaussian Ornstein-Uhlenbeck Stochastic Volatility Model pp. 347-363

Fred Espen Benth, Martin Groth and Rodwell Kufakunesu

Volume 14, issue 3, 2007

A Simple Derivation of and Improvements to Jamshidian's and Rogers' Upper Bound Methods for Bermudan Options pp. 197-205

Mark Joshi

Approximate Formulas for Zero-coupon Bonds pp. 207-226

Fabricio Tourrucoo, Patrick S. Hagan and Gilberto F. Schleiniger

Changing Correlation and Equity Portfolio Diversification Failure for Linear Factor Models during Market Declines* pp. 227-242

Alessio Sancetta and Steve E. Satchell

Term Structure Models with Parallel and Proportional Shifts pp. 243-260

Fredrik Armerin, Bjarne Astrup Jensen and Tomas Bjork

Using Utility Functions to Model Risky Bonds pp. 261-289

Joanna Goard

Volume 14, issue 2, 2007

Level-Slope-Curvature - Fact or Artefact? pp. 105-130

Roger Lord and Antoon Pelsser

On American Options Under the Variance Gamma Process pp. 131-152

Ariel Almendral and Cornelis Oosterlee

A Non-Gaussian Ornstein-Uhlenbeck Process for Electricity Spot Price Modeling and Derivatives Pricing pp. 153-169

Fred Espen Benth, Jan Kallsen and Thilo Meyer-Brandis

The Levy Swap Market Model pp. 171-196

E. Eberlein and J. Liinev

Volume 14, issue 1, 2007

Option Pricing with a Pentanomial Lattice Model that Incorporates Skewness and Kurtosis pp. 1-17

James Primbs, Muruhan Rathinam and Yuji Yamada

Pricing of Multi-Defaultable Bonds with a Two-Correlated-Factor Hull-White Model pp. 19-39

Leonard Tchuindjo

Pricing Volatility Swaps Under Heston's Stochastic Volatility Model with Regime Switching pp. 41-62

Robert Elliott, Tak Kuen Siu and Leunglung Chan

A Matched Asymptotic Expansions Approach to Continuity Corrections for Discretely Sampled Options. Part 1: Barrier Options pp. 63-89

Sam Howison and Mario Steinberg

A Matched Asymptotic Expansions Approach to Continuity Corrections for Discretely Sampled Options. Part 2: Bermudan Options pp. 91-104

Sam Howison

Volume 13, issue 4, 2006

Optimum Constrained Portfolio Rules in a Diffusion Market pp. 285-307

Fernando Durrell

An EZI Method to Reduce the Rank of a Correlation Matrix in Financial Modelling pp. 309-331

Massimo Morini and Nick Webber

Correcting for Simulation Bias in Monte Carlo Methods to Value Exotic Options in Models Driven by Levy Processes pp. 333-352

Claudia Ribeiro and Nick Webber

Numerical Methods and Volatility Models for Valuing Cliquet Options pp. 353-386

H. A. Windcliff, P. A. Forsyth and K. R. Vetzal

Volume 13, issue 3, 2006

Pricing a European Basket Option in the Presence of Proportional Transaction Costs pp. 191-214

C. Atkinson and C. A. Alexandropoulos

Stochastic Volatility Effects on Defaultable Bonds pp. 215-244

Jean-Pierre Fouque, Ronnie Sircar and Knut Sølna

On Estimation of Volatility Surface and Prediction of Future Spot Volatility pp. 245-263

Fima Klebaner, Truc Le and Robert Liptser

Efficient Pricing of Derivatives on Assets with Discrete Dividends pp. 265-284

M. H. Vellekoop and J. W. Nieuwenhuis

Volume 13, issue 2, 2006

Interpolation Methods for Curve Construction pp. 89-129

Patrick Hagan and Graeme West

Liquidity Risk with Coherent Risk Measures pp. 131-141

Hyejin Ku

Arbitrary Initial Term Structure within the CIR Model: A Perturbative Solution pp. 143-153

Carlo Mari and Roberto Renò

Pricing Lookback Options with Knock-out Boundaries pp. 155-190

Yoshifumi Muroi

Volume 13, issue 1, 2006

A Semi-Explicit Approach to Canary Swaptions in HJM One-Factor Model pp. 1-18

Marc Henrard

On the Distributional Characterization of Daily Log-Returns of a World Stock Index pp. 19-38

Kevin Fergusson and Eckhard Platen

A Theoretically Consistent Version of the Nelson and Siegel Class of Yield Curve Models pp. 39-59

Leo Krippner

Exact Superreplication Strategies for a Class of Derivative Assets pp. 61-87

Joel Vanden