Applied Mathematical Finance

1994 - 2024

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

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Interest rate futures: estimation of volatility parameters in an arbitrage-free framework pp. 181-199: Ramaprasad Bhar and Carl Chiarella
Moment condition failure in stock returns: UK evidence pp. 201-206: M. F. Omran
On the relative efficiency of nth order and DARA stochastic dominance rules pp. 207-222: Antonella Basso and Paolo Pianca
A class of arbitrage-free log-normal-short-rate two-factor models pp. 223-236: Riccardo Rebonato

Fuzzy measures and asset prices: accounting for information ambiguity pp. 135-149: Umberto Cherubini
A note on the Flesaker-Hughston model of the term structure of interest rates pp. 151-163: Marek Rutkowski
A theoretical analysis of trading rules: an application to the moving average case with Markovian returns pp. 165-180: Emmanuel Acar and Stephen Satchell

An E-ARCH model for the term structure of implied volatility of FX options pp. 81-100: Yingzi Zhu and Marco Avellaneda
Markovian spot rate dynamics with stochastic volatility structures pp. 101-108: K. T. Au, A. B. Sim and D. C. Thurston
On an investment-consumption model with transaction costs: an asymptotic analysis pp. 109-133: C. Atkinson and B. Al-Ali

Fast numerical valuation of American, exotic and complex options pp. 1-20: M. A. H. Dempster and J. P. Hutton
Misspecified asset price models and robust hedging strategies pp. 21-36: Hyungsok Ahn Adviti and Glen Swindle
Calibrating volatility surfaces via relative-entropy minimization pp. 37-64: Marco Avellaneda, Craig Friedman, Richard Holmes and Dominick Samperi
Some applications of L2-hedging with a non-negative wealth process pp. 65-79: Ralf Korn

Valuation of sinking-fund bonds in the Vasicek and CIR frameworks*Financial support from Murst Fondo 40% on 'Modelli di struttura a termine dei tassi d'interesse' is gratefully acknowledged pp. 269-394: Anna Rita Bacinello, Fulvio Ortu and Patrizia Stucchi
A systematic approach to pricing and hedging international derivatives with interest rate risk: analysis of international derivatives under stochastic interest rates pp. 295-317: Rudiger Frey and Daniel Sommer
Binomial models for option valuation - examining and improving convergence pp. 319-346: Dietmar Leisen and Matthias Reimer
Arbitrage pricing with incomplete markets pp. 347-363: Mark Britten-Jones and Anthony Neuberger

The use and pricing of convertible bonds pp. 167-190: Kjell Nyborg
Financial leverage strategy with transaction costs pp. 191-208: C. N. Bagley and U. Yaari
The pricing of Asian options under stochastic interest rates pp. 209-236: J. A. Nielsen and Klaus Sandmann
Valuation and hedging of contingent claims in the HJM model with deterministic volatilities pp. 237-267: M. Rutkowski

Bond, futures and option evaluation in the quadratic interest rate model pp. 93-115: Farshid Jamshidian
Investment diversification and investment specialization and the assumed holding period pp. 117-134: Haim Levy
Option pricing with hedging at fixed trading dates pp. 135-158: Fabio Mercurio and Ton Vorst
Models of information aggregation in financial markets: a review pp. 159-166: Michel Habib and Narayan Naik

Toward real-time pricing of complex financial derivatives pp. 1-20: S. Ninomiya and S. Tezuka
Managing the volatility risk of portfolios of derivative securities: the Lagrangian uncertain volatility model pp. 21-52: Marco Avellaneda and Antonio ParAS
Default risk and derivative products pp. 53-70: Ian Cooper and Marcel Martin
Compound and exchange options in the affine term structure model pp. 75-92: Olivier Scaillet

PDE Models for Pricing Stocks and Options With Memory Feedback pp. 211-224: Robert Peszek
Statistical inference and modelling of momentum in stock prices pp. 225-242: G. Caginalp and G. Constantine
Risk arbitrage in the Nikkei put warrant market of 1989-1990 pp. 243-272: J. Shaw, E. O. Thorp and W. T. Ziemba
Lookback options with discrete and partial monitoring of the underlying price pp. 273-284: R. C. Heynen and Harry Kat

A multiplicative model for volume and volatility pp. 135-154: Rob Bauer and Fred Nieuwland
Statistical modelling of asymmetric risk in asset returns pp. 155-172: John Knight, S. E. Satchell and Kien Tran
Two extensions to barrier option valuation pp. 173-209: Peter Carr

Pricing and hedging derivative securities in markets with uncertain volatilities pp. 73-88: M. Avellaneda, A. Levy and A. ParAS
Genetic algorithms and applications to finance pp. 89-116: J. Kingdon and K. Feldman
Uncertain volatility and the risk-free synthesis of derivatives pp. 117-133: Terry Lyons

Options in and on interest rate futures contracts: results from martingale pricing theory pp. 1-16: U. Cherubini and M. Esposito
Neural networks and some applications to finance pp. 17-42: K. Feldman and J. Kingdon
Stochastic equity volatility related to the leverage effect II: valuation of European equity options and warrants pp. 43-60: A. Bensoussan, M. Crouhy and D. Galai
A simple class of square-root interest-rate models pp. 61-72: Farshid Jamshidian

Stock market bubbles in the laboratory pp. 111-128: David Porter and Vernon Smith
Market oscillations induced by the competition between value-based and trend-based investment strategies pp. 129-164: G. Caginalp and D. Balenovich
Dynamic hedging portfolios for derivative securities in the presence of large transaction costs pp. 165-194: Avellaneda Marco and ParaS Antonio
Intelligent systems in finance pp. 195-207: Feldman Konrad and Treleaven Philip

Hedging quantos, differential swaps and ratios pp. 1-20: Farshid Jamshidian
Delta, gamma and bucket hedging of interest rate derivatives pp. 21-48: Robert Jarrow and Stuart Turnbull
Simulations of transaction costs and optimal rehedging pp. 49-62: Benjamin Mohamed
Stochastic equity volatility related to the leverage effect pp. 63-85: Alain Bensoussan, Michel Crouhy and Dan Galai
Optimal pricing, use and exploration of uncertain natural resources pp. 87-108: Patrick Hagan, Diana Woodward, Russel Caflisch and Joseph Keller
Book Reviews pp. 109-110: Jesse Jones
Book Reviews pp. 110-110: Jesse Jones