Applied Mathematical Finance

1994 - 2025

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

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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

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