Applied Mathematical Finance

1994 - 2024

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

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Valuation formulae for window barrier options pp. 197-208: Grant Armstrong
valuation of options on joint minima and maxima pp. 209-233: Tristan Guillaume
The pricing of derivatives on assets with quadratic volatility pp. 235-262: Christian Zuhlsdorff

A note on the α-quantile option pp. 137-144: Laura Ballotta and Andreas Kyprianou
On pricing and reserving with-profits life insurance contracts pp. 145-166: David Prieul, Vladislav Putyatin and Tarek Nassar
Statistical bootstrapping methods in VaR calculation pp. 167-181: Thomas Siegl and Ansgar West
Monte Carlo applied to exotic digital options pp. 183-196: Victor Vaugirard

Liquidity and credit risk pp. 79-95: Umberto Cherubini and Giovanni Della Lunga
Passport options with stochastic volatility pp. 97-118: Vicky Henderson and David Hobson
Trading volume in models of financial derivatives pp. 119-135: Sam Howison and David Lamper

Towards the determination of utility preference from optimal portfolio selections pp. 1-26: Colin Atkinson and Sutee Mokkhavesa
Calibrating the Black-Derman-Toy model: some theoretical results pp. 27-48: Phelim Boyle, Ken Seng Tan and Weidong Tian
A numerical PDE approach for pricing callable bonds pp. 49-77: Y. D'Halluin, P. A. Forsyth, K. R. Vetzal and G. Labahn

Maxentropic construction of risk neutral measures: discrete market models pp. 229-239: Henryk Gzyl
Laplace transforms and American options pp. 241-256: Roland Mallier and Ghada Alobaidi
A generalized bootstrap method to determine the yield curve pp. 257-270: Richard Deaves and Mahmut Parlar
The role of index bonds in universal currency hedging pp. 271-284: Ryle Perera

Estimation of stochastic volatility in the Hull-White model pp. 153-181: Shinichi Aihara
A square root interest rate model fitting discrete initial term structure data pp. 183-209: Erik Schlogl and Lutz Schlogl
A PDE approach to risk measures of derivatives pp. 211-228: Tak Kuen Siu and Hailiang Yang

Hedging lookback and partial lookback options using Malliavin calculus pp. 75-100: Hans-Peter Bermin
Obtaining distributional information from valuation lattices pp. 101-114: C. Douglas Howard
Estimating fees for managed futures: a continuous-time model with a knockout feature pp. 115-125: Francisca Richter and B Brorsen
Exponential risk measure with application to UK asset allocation pp. 127-152: Stephen Satchell, David Damant and Soosung Hwang

Volatility skews and extensions of the Libor market model pp. 1-32: Leif Andersen and Jesper Andreasen
Unstructured meshing for two asset barrier options pp. 33-60: D. M. Pooley, P. A. Forsyth, K. R. Vetzal and R. B. Simpson
Valuation of European options in the market with daily price limit pp. 61-74: Junhwa Ban, Hyeong In Choi and Hyejin Ku

Markov interest rate models pp. 233-260: Patrick Hagan and Diana Woodward
The pricing of risky coupon bonds pp. 261-273: Lilly Choong and George McKenzie
Various passport options and their valuation pp. 275-292: Hyungsok Ahn, Antony Penaud and Paul Wilmott
Arbitrage valuation and bounds for sinking-fund bonds with multiple sinking-fund dates pp. 293-312: Anna Rita Bacinello and Fulvio Ortu

Equivalent Black volatilities pp. 147-157: Patrick Hagan and Diana Woodward
On hedging in finite security markets pp. 159-176: Silvia Florio and Wolfgang Runggaldier
Multigrid for American option pricing with stochastic volatility pp. 177-195: Nigel Clarke and Kevin Parrott
Optimal hedging strategies for misspecified asset price models pp. 197-208: Hyungsok Ahn, Adviti Muni and Glen Swindle
Phenomenology of the interest rate curve pp. 209-232: Jean-Philippe Bouchaud, Nicolas Sagna, Rama Cont, Nicole El-Karoui and Marc Potters

A hybrid method for pricing European options based on multiple assets with transaction costs pp. 61-85: Graziella Pacelli, Maria Recchioni and Francesco Zirilli
A finite element approach to the pricing of discrete lookbacks with stochastic volatility pp. 87-106: P. A. Forsyth, K. R. Vetzal and R. Zvan
Stochastic volatility, smile & asymptotics pp. 107-145: K. Ronnie Sircar and George Papanicolaou

Combinatorial implications of nonlinear uncertain volatility models: the case of barrier options pp. 1-18: Marco Avellaneda and Robert Buff
Numerical integration of mean reverting stochastic systems with applications to interest rate term structure simulation pp. 19-28: William Morokoff
Models of forward Libor and swap rates pp. 29-60: Marek Rutkowski

A framework for valuing corporate securities pp. 143-163: Jan Ericsson and Joel Reneby
Option pricing in incomplete discrete markets pp. 165-179: Grazyna Wolczynska
The predictive power of price patterns pp. 181-205: G. Caginalp and H. Laurent
Pricing stock and bond derivatives with a multi-factor Gaussian model pp. 207-225: Isabelle Bajeux-Besnainou and Roland Portait
Random walk duality and the valuation of discrete lookback options pp. 227-240: Farid Aitsahlia and Tzeung Le Lai

Good point methods for computing prices and sensitivities of multi-asset European style options pp. 83-106: Raymond Ross
Optimal exercise boundary for an American put option pp. 107-116: Rachel Kuske and Joseph Keller
A theoretical investigation of randomized asset allocation strategies pp. 117-130: Moshe Milevsky and Steven Posner
Coupling backward induction with Monte Carlo simulations: a fast Fourier transform (FFT) approach pp. 131-141: Riccardo Rebonato and Ian Cooper

Detecting mean reversion within reflecting barriers: application to the European Exchange Rate Mechanism pp. 1-15: Clifford Ball and Antonio Roma
An explicit finite difference approach to the pricing of barrier options pp. 17-43: Phelim Boyle and Yisong Tian
General Black-Scholes models accounting for increased market volatility from hedging strategies pp. 45-82: K. Ronnie Sircar and George Papanicolaou