Applied Mathematical Finance

1994 - 2025

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

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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

Volume 12, issue 4, 2005

Pricing in Electricity Markets: A Mean Reverting Jump Diffusion Model with Seasonality pp. 313-335

Álvaro Cartea and Marcelo Figueroa

A Series Solution for Bermudan Options pp. 337-349

Ingmar Evers

Interest Guarantees in Banking pp. 351-370

Ragnar Norberg

Calibration of the SABR Model in Illiquid Markets pp. 371-385

Graeme West

Volume 12, issue 3, 2005

Numerical Procedure for Calibration of Volatility with American Options pp. 201-241

Yves Achdou and Olivier Pironneau

Insider Trading in Convergent Markets pp. 243-252

Mattias Jonsson and Jan Vecer

Sharp Upper and Lower Bounds for Basket Options pp. 253-282

Peter Laurence and Tai-Ho Wang

Modelling Specific Interest Rate Risk with Estimation of Missing Data pp. 283-309

Thomas Siegl and Peter Quell

Volume 12, issue 2, 2005

Consistency Problems for Jump-diffusion Models pp. 101-119

Erhan Bayraktar, Li Chen and H. Vincent Poor

Pricing Quanto Equity Swaps in a Stochastic Interest Rate Economy pp. 121-146

San-Lin Chung and Hsiao-Fen Yang

Stochastic Volatility Model with Time-dependent Skew pp. 147-185

Vladimir Piterbarg

Dynamic Principal Component Analysis of Multivariate Volatility via Fourier Analysis pp. 187-199

Maria Elvira Mancino and Roberto Renò

Volume 12, issue 1, 2005

Mean-Semivariance Efficient Frontier: A Downside Risk Model for Portfolio Selection pp. 1-15

Enrique Ballestero

The Dynamic Interaction of Speculation and Diversification pp. 17-52

Carl Chiarella, Roberto Dieci and Laura Gardini

Stochastic Modelling of Temperature Variations with a View Towards Weather Derivatives pp. 53-85

Fred Espen Benth and Jurate Saltyte-Benth

A Re-Examination of Sharpe's Ratio for Log-Normal Prices pp. 87-100

John Knight and Stephen Satchell

Volume 11, issue 4, 2004

Money, prices and interest rates in a non-aggregate stochastic general equilibrium model pp. 283-316

Pedro Gutierrez

On the pricing and hedging of volatility derivatives pp. 317-346

Sam Howison, Avraam Rafailidis and Henrik Rasmussen

Stochastic volatility Gaussian Heath-Jarrow-Morton models pp. 347-368

Stoyan Valchev

Volume 11, issue 3, 2004

Two extensions for fitting discrete time term structure models with normally distributed factors pp. 187-205

Senay Agca and Don Chance

Pricing American currency options in an exponential Levy model pp. 207-225

Marc Chesney and M. Jeanblanc

Valuing risky income streams in incomplete markets pp. 227-258

C. Johnson, Y. Omar and P. Ouwehand

Calculating hedge fund risk: the draw down and the maximum draw down pp. 259-282

Alessio Sancetta and Steve Satchell

Volume 11, issue 2, 2004

Multi-asset portfolio optimization with transaction cost pp. 95-123

C. Atkinson and S. Mokkhavesa

Modelling credit default swap spreads by means of normal mixtures and copulas pp. 125-146

Marco Bee

Comparison of the performance of a time-dependent short-interest rate model with time-independent models pp. 147-164

Joanna Goard and Noel Hansen

A dynamic binomial expansion technique for credit risk measurement: a Bayesian filtering approach pp. 165-186

Wing Hoe Woo and Tak Kuen Siu

Volume 11, issue 1, 2004

Dynamic programming and mean-variance hedging in discrete time pp. 1-25

Aleš Černý

Multiple time scales in volatility and leverage correlations: a stochastic volatility model pp. 27-50

Josep Perelló, Jaume Masoliver and Jean-Philippe Bouchaud

A possible way of estimating options with stable distributed underlying asset prices pp. 51-75

C. Tsibiridi and C. Atkinson

Hitting time and time change pp. 77-94

Victor Vaugirard

Volume 10, issue 4, 2003

Intertemporal portfolio optimization with small transaction costs and stochastic variance pp. 267-302

C. Atkinson and S. Mokkhavesa

On arbitrage-free pricing of weather derivatives based on fractional Brownian motion pp. 303-324

Fred Espen Benth

A note on arbitrage-free pricing of forward contracts in energy markets pp. 325-336

Fred Espen Benth, Lars Ekeland, Ragnar Hauge and BjøRn Fredrik Nielsen

Tail behaviour of credit loss distributions for general latent factor models pp. 337-357

Andre Lucas, Pieter Klaassen, Peter Spreij and Stefan Straetmans

Volume 10, issue 3, 2003

Interest rate model calibration using semidefinite Programming pp. 183-213

A. D'Aspremont

On parabolic equations with gauge function term and applications to the multidimensional Leland equation pp. 215-228

Jorg Kampen and Marco Avellaneda

A valuation model for firms with stochastic earnings pp. 229-243

Steven Li

Multi-asset barrier options and occupation time derivatives pp. 245-266

Hoi Ying Wong and Yue-Kuen Kwok

Volume 10, issue 2, 2003

Tracking error decision rules and accumulated wealth pp. 91-119

Nathan Berg and Donald Lien

Stock options as barrier contingent claims pp. 121-147

Jan Ericsson and Joel Reneby

Modelling day-ahead electricity prices pp. 149-161

Juri Hinz

Minimizing coherent risk measures of shortfall in discrete-time models with cone constraints pp. 163-181

Yumiharu Nakano

Volume 10, issue 1, 2003

Optimal execution with nonlinear impact functions and trading-enhanced risk pp. 1-18

Robert Almgren

Contingent claim pricing using probability distortion operators: methods from insurance risk pricing and their relationship to financial theory pp. 19-47

Mahmoud Hamada and Michael Sherris

A new approximate swaption formula in the LIBOR market model: an asymptotic expansion approach pp. 49-74

Atsushi Kawai

Valuing catastrophe bonds by Monte Carlo simulations pp. 75-90

Victor Vaugirard