Applied Mathematical Finance

1994 - 2025

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

From Taylor & Francis Journals
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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