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Taylor and Francis Journals

Applied Mathematical Finance

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Series handle: repec:taf:apmtfi

2008, Volume 15, Issue 2

107-121 Weak Approximation of Stochastic Differential Equations and Application to Derivative Pricing
by Syoiti Ninomiya & Nicolas Victoir [Downloadable! (restricted)]
123-149 General Lower Bounds for Arithmetic Asian Option Prices
by H. Albrecher & P. A. Mayer & W. Schoutens [Downloadable! (restricted)]
151-181 Stochastic Volatility: Option Pricing using a Multinomial Recombining Tree
by Ionut Florescu & Frederi Viens [Downloadable! (restricted)]
183-203 A Structural Model with Unobserved Default Boundary
by Thorsten Schmidt & Alexander Novikov [Downloadable! (restricted)]

2008, Volume 15, Issue 1

1-20 Valuation of Performance-Dependent Options
by Thomas Gerstner & Markus Holtz [Downloadable! (restricted)]
21-40 Market Influence of Portfolio Optimizers
by Suhas Nayak & George Papanicolaou [Downloadable! (restricted)]
41-71 Using Affine Jump Diffusion Models for Modelling and Pricing Electricity Derivatives
by N. K. Nomikos & O. Soldatos [Downloadable! (restricted)]
73-105 Multiscale Intensity Models for Single Name Credit Derivatives
by E. Papageorgiou & R. Sircar [Downloadable! (restricted)]

2007, Volume 14, Issue 5

365-399 A Control Variate Method for Monte Carlo Simulations of Heath-Jarrow-Morton Models with Jumps
by Carl Chiarella & Christina Nikitopoulos Sklibosios & Erik Schlögl [Downloadable! (restricted)]
401-436 Optimal Financial Portfolios
by S. V. Stoyanov & S. T. Rachev & F. J. Fabozzi [Downloadable! (restricted)]
437-452 Convex Hedging in Incomplete Markets
by Birgit Rudloff [Downloadable! (restricted)]
453-475 An Improved Binomial Lattice Method for Multi-Dimensional Options
by Andrea Gamba & Lenos Trigeorgis [Downloadable! (restricted)]

2007, Volume 14, Issue 4

291-302 Mean Reversion Level Extensions of Time-Homogeneous Affine Term Structure Models
by Oh Kang Kwon [Downloadable! (restricted)]
303-317 Indifference Pricing and Hedging for Volatility Derivatives
by M. R. Grasselli & T. R. Hurd [Downloadable! (restricted)]
319-337 Mean-Reverting Market Model: Speculative Opportunities and Non-Arbitrage
by Nikolai Dokuchaev [Downloadable! (restricted)]
339-345 A Note on the Discontinuity Problem in Heston's Stochastic Volatility Model
by Jia-Hau Guo & Mao-Wei Hung [Downloadable! (restricted)]
347-363 Valuing Volatility and Variance Swaps for a Non-Gaussian Ornstein-Uhlenbeck Stochastic Volatility Model
by Fred Espen Benth & Martin Groth & Rodwell Kufakunesu [Downloadable! (restricted)]

2007, Volume 14, Issue 3

197-205 A Simple Derivation of and Improvements to Jamshidian's and Rogers' Upper Bound Methods for Bermudan Options
by Mark S. Joshi [Downloadable! (restricted)]
207-226 Approximate Formulas for Zero-coupon Bonds
by Fabricio Tourrucôo & Patrick S. Hagan & Gilberto F. Schleiniger [Downloadable! (restricted)]
227-242 Changing Correlation and Equity Portfolio Diversification Failure for Linear Factor Models during Market Declines
by Alessio Sancetta & Steve E. Satchell [Downloadable! (restricted)]
243-260 Term Structure Models with Parallel and Proportional Shifts
by Fredrik Armerin & Bjarne Astrup Jensen & Tomas Björk [Downloadable! (restricted)]
261-289 Using Utility Functions to Model Risky Bonds
by Joanna Goard [Downloadable! (restricted)]

2007, Volume 14, Issue 2

105-130 Level-Slope-Curvature - Fact or Artefact?
by Roger Lord & Antoon Pelsser [Downloadable! (restricted)]
131-152 On American Options Under the Variance Gamma Process
by Ariel Almendral & Cornelis W. Oosterlee [Downloadable! (restricted)]
153-169 A Non-Gaussian Ornstein-Uhlenbeck Process for Electricity Spot Price Modeling and Derivatives Pricing
by Fred Espen Benth & Jan Kallsen & Thilo Meyer-Brandis [Downloadable! (restricted)]
171-196 The Lévy Swap Market Model
by E. Eberlein & J. Liinev [Downloadable! (restricted)]

2007, Volume 14, Issue 1

1-17 Option Pricing with a Pentanomial Lattice Model that Incorporates Skewness and Kurtosis
by James Primbs & Muruhan Rathinam & Yuji Yamada [Downloadable! (restricted)]
19-39 Pricing of Multi-Defaultable Bonds with a Two-Correlated-Factor Hull-White Model
by Leonard Tchuindjo [Downloadable! (restricted)]
41-62 Pricing Volatility Swaps Under Heston's Stochastic Volatility Model with Regime Switching
by Robert Elliott & Tak Kuen Siu & Leunglung Chan [Downloadable! (restricted)]
63-89 A Matched Asymptotic Expansions Approach to Continuity Corrections for Discretely Sampled Options. Part 1: Barrier Options
by Sam Howison & Mario Steinberg [Downloadable! (restricted)]
91-104 A Matched Asymptotic Expansions Approach to Continuity Corrections for Discretely Sampled Options. Part 2: Bermudan Options
by Sam Howison [Downloadable! (restricted)]

2006, Volume 13, Issue 4

285-307 Optimum Constrained Portfolio Rules in a Diffusion Market
by Fernando Durrell [Downloadable! (restricted)]
309-331 An EZI Method to Reduce the Rank of a Correlation Matrix in Financial Modelling
by Massimo Morini & Nick Webber [Downloadable! (restricted)]
333-352 Correcting for Simulation Bias in Monte Carlo Methods to Value Exotic Options in Models Driven by Lévy Processes
by Claudia Ribeiro & Nick Webber [Downloadable! (restricted)]
353-386 Numerical Methods and Volatility Models for Valuing Cliquet Options
by H. A. Windcliff & P. A. Forsyth & K. R. Vetzal [Downloadable! (restricted)]

2006, Volume 13, Issue 3

191-214 Pricing a European Basket Option in the Presence of Proportional Transaction Costs
by C. Atkinson & C. A. Alexandropoulos [Downloadable! (restricted)]
215-244 Stochastic Volatility Effects on Defaultable Bonds
by Jean-Pierre Fouque & Ronnie Sircar & Knut Sølna [Downloadable! (restricted)]
245-263 On Estimation of Volatility Surface and Prediction of Future Spot Volatility
by Fima Klebaner & Truc Le & Robert Liptser [Downloadable! (restricted)]
265-284 Efficient Pricing of Derivatives on Assets with Discrete Dividends
by M. H. Vellekoop & J. W. Nieuwenhuis [Downloadable! (restricted)]

2006, Volume 13, Issue 2

89-129 Interpolation Methods for Curve Construction
by Patrick Hagan & Graeme West [Downloadable! (restricted)]
131-141 Liquidity Risk with Coherent Risk Measures
by Hyejin Ku [Downloadable! (restricted)]
143-153 Arbitrary Initial Term Structure within the CIR Model: A Perturbative Solution
by Carlo Mari & Roberto Renò [Downloadable! (restricted)]
155-190 Pricing Lookback Options with Knock-out Boundaries
by Yoshifumi Muroi [Downloadable! (restricted)]

2006, Volume 13, Issue 1

1-18 A Semi-Explicit Approach to Canary Swaptions in HJM One-Factor Model
by Marc Henrard [Downloadable! (restricted)]
19-38 On the Distributional Characterization of Daily Log-Returns of a World Stock Index
by Kevin Fergusson & Eckhard Platen [Downloadable! (restricted)]
39-59 A Theoretically Consistent Version of the Nelson and Siegel Class of Yield Curve Models
by Leo Krippner [Downloadable! (restricted)]
61-87 Exact Superreplication Strategies for a Class of Derivative Assets
by Joel Vanden [Downloadable! (restricted)]

2005, Volume 12, Issue 4

313-335 Pricing in Electricity Markets: A Mean Reverting Jump Diffusion Model with Seasonality
by Álvaro Cartea & Marcelo Figueroa [Downloadable! (restricted)]
337-349 A Series Solution for Bermudan Options
by Ingmar Evers [Downloadable! (restricted)]
351-370 Interest Guarantees in Banking
by Ragnar Norberg [Downloadable! (restricted)]
371-385 Calibration of the SABR Model in Illiquid Markets
by Graeme West [Downloadable! (restricted)]

2005, Volume 12, Issue 1

1-15 Mean-Semivariance Efficient Frontier: A Downside Risk Model for Portfolio Selection
by Enrique Ballestero [Downloadable! (restricted)]
17-52 The Dynamic Interaction of Speculation and Diversification
by Carl Chiarella & Roberto Dieci & Laura Gardini [Downloadable! (restricted)]
53-85 Stochastic Modelling of Temperature Variations with a View Towards Weather Derivatives
by Fred Espen Benth & Jūratė Šaltytė-Benth [Downloadable! (restricted)]
87-100 A Re-Examination of Sharpe's Ratio for Log-Normal Prices
by John Knight & Stephen Satchell [Downloadable! (restricted)]

2004, Volume 11, Issue 4

283-316 Money, prices and interest rates in a non-aggregate stochastic general equilibrium model
by Pedro J. Gutiérrez [Downloadable! (restricted)]
317-346 On the pricing and hedging of volatility derivatives
by Sam Howison & Avraam Rafailidis & Henrik Rasmussen [Downloadable! (restricted)]
347-368 Stochastic volatility Gaussian Heath-Jarrow-Morton models
by Stoyan Valchev [Downloadable! (restricted)]

2004, Volume 11, Issue 3

187-205 Two extensions for fitting discrete time term structure models with normally distributed factors
by Şenay Ağca & Don M. Chance [Downloadable! (restricted)]
207-225 Pricing American currency options in an exponential Lévy model
by Marc Chesney & M. Jeanblanc [Downloadable! (restricted)]
227-258 Valuing risky income streams in incomplete markets
by C. Johnson & Y. Omar & P. Ouwehand [Downloadable! (restricted)]
259-282 Calculating hedge fund risk: the draw down and the maximum draw down
by Alessio Sancetta & Steve E. Satchell [Downloadable! (restricted)]

2004, Volume 11, Issue 2

95-123 Multi-asset portfolio optimization with transaction cost
by C. Atkinson & S. Mokkhavesa [Downloadable! (restricted)]
125-146 Modelling credit default swap spreads by means of normal mixtures and copulas
by Marco Bee [Downloadable! (restricted)]
147-164 Comparison of the performance of a time-dependent short-interest rate model with time-independent models
by Joanna Goard & Noel Hansen [Downloadable! (restricted)]
165-186 A dynamic binomial expansion technique for credit risk measurement: a Bayesian filtering approach
by Wing Hoe Woo & Tak Kuen Siu [Downloadable! (restricted)]

2004, Volume 11, Issue 1

1-25 Dynamic programming and mean-variance hedging in discrete time
by Aleš Černý [Downloadable! (restricted)]
27-50 Multiple time scales in volatility and leverage correlations: a stochastic volatility model
by Josep Perelló & Jaume Masoliver & Jean-Philippe Bouchaud [Downloadable! (restricted)]
51-75 A possible way of estimating options with stable distributed underlying asset prices
by C. Tsibiridi & C. Atkinson [Downloadable! (restricted)]
77-94 Hitting time and time change
by Victor E. Vaugirard [Downloadable! (restricted)]

2003, Volume 10, Issue 4

267-302 Intertemporal portfolio optimization with small transaction costs and stochastic variance
by C. Atkinson & S. Mokkhavesa [Downloadable! (restricted)]
303-324 On arbitrage-free pricing of weather derivatives based on fractional Brownian motion
by Fred Espen Benth [Downloadable! (restricted)]
325-336 A note on arbitrage-free pricing of forward contracts in energy markets
by Fred Espen Benth & Lars Ekeland & Ragnar Hauge & BjøRn Fredrik Nielsen [Downloadable! (restricted)]
337-357 Tail behaviour of credit loss distributions for general latent factor models
by André Lucas & Pieter Klaassen & Peter Spreij & Stefan Straetmans [Downloadable! (restricted)]

2003, Volume 10, Issue 3

183-213 Interest rate model calibration using semidefinite Programming
by A. D'Aspremont [Downloadable! (restricted)]
215-228 On parabolic equations with gauge function term and applications to the multidimensional Leland equation
by Jörg Kampen & Marco Avellaneda [Downloadable! (restricted)]
229-243 A valuation model for firms with stochastic earnings
by Steven Li [Downloadable! (restricted)]
245-266 Multi-asset barrier options and occupation time derivatives
by Hoi Ying Wong & Yue-Kuen Kwok [Downloadable! (restricted)]

2003, Volume 10, Issue 2

91-119 Tracking error decision rules and accumulated wealth
by Nathan Berg & Donald Lien [Downloadable! (restricted)]
121-147 Stock options as barrier contingent claims
by Jan Ericsson & Joel Reneby [Downloadable! (restricted)]
149-161 Modelling day-ahead electricity prices
by Juri Hinz [Downloadable! (restricted)]
163-181 Minimizing coherent risk measures of shortfall in discrete-time models with cone constraints
by Yumiharu Nakano [Downloadable! (restricted)]

2003, Volume 10, Issue 1

1-18 Optimal execution with nonlinear impact functions and trading-enhanced risk
by Robert F. Almgren [Downloadable! (restricted)]
19-47 Contingent claim pricing using probability distortion operators: methods from insurance risk pricing and their relationship to financial theory
by Mahmoud Hamada & Michael Sherris [Downloadable! (restricted)]
49-74 A new approximate swaption formula in the LIBOR market model: an asymptotic expansion approach
by Atsushi Kawai [Downloadable! (restricted)]
75-90 Valuing catastrophe bonds by Monte Carlo simulations
by Victor E. Vaugirard [Downloadable! (restricted)]

2002, Volume 9, Issue 4

219-239 Statistical properties of the sample semi-variance
by Shaun A. Bond & Stephen E. Satchell [Downloadable! (restricted)]
241-260 Utility based pricing of contingent claims in incomplete markets
by Andrea Gam & Paolo Pellizzari [Downloadable! (restricted)]
261-272 Option pricing for large agents
by Mattias Jonsson & Jussi Keppo [Downloadable! (restricted)]
273-291 A survey of sampling-based Bayesian analysis of financial data
by James M. Sfiridis & Alan E. Gelfand [Downloadable! (restricted)]

2002, Volume 9, Issue 3

143-161 A model of speculative behaviour with a strange attractor
by Fernando Fernández-Rodríguez & María-Dolores García-Artiles & Juan Manuel Martín-González [Downloadable! (restricted)]
163-178 Efficient option valuation using trees
by David C. Heath & Stefano Herzel [Downloadable! (restricted)]
179-188 Estimating volatility on overlapping returns when returns are autocorrelated
by Roy Kluitman & Philip Hans Franses [Downloadable! (restricted)]
189-217 L 2 -discrete hedging in a continuous-time model
by Faouzi Trabelsi & Abdelhamid Trad [Downloadable! (restricted)]

2002, Volume 9, Issue 2

69-85 Bivariate option pricing with copulas
by U. Cherubini & E. Luciano [Downloadable! (restricted)]
87-102 The European options hedge perfectly in a Poisson-Gaussian stock market model
by C. Mancini [Downloadable! (restricted)]
103-121 On superhedging under delta constraints
by Jun Sekine [Downloadable! (restricted)]
123-141 American options under uncertain volatility
by Adam T. Smith [Downloadable! (restricted)]

2002, Volume 9, Issue 1

1-20 On modelling and pricing weather derivatives
by Peter Alaton & Boualem Djehiche & David Stillberger [Downloadable! (restricted)]
21-43 Energy futures prices: term structure models with Kalman filter estimation
by Mihaela Manoliu & Stathis Tompaidis [Downloadable! (restricted)]
45-60 Basics of electricity derivative pricing in competitive markets
by Iivo Vehvilainen [Downloadable! (restricted)]
61-67 A note on adjusting correlation matrices
by A. León & J. E. Peris & J. Silva & B. Subiza [Downloadable! (restricted)]

2001, Volume 8, Issue 4

197-208 Valuation formulae for window barrier options
by Grant F. Armstrong [Downloadable! (restricted)]
209-233 valuation of options on joint minima and maxima
by Tristan Guillaume [Downloadable! (restricted)]
235-262 The pricing of derivatives on assets with quadratic volatility
by Christian Zuhlsdorff [Downloadable! (restricted)]

2001, Volume 8, Issue 3

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

2001, Volume 8, Issue 2

79-95 Liquidity and credit risk
by Umberto Cherubini & Giovanni Della Lunga [Downloadable! (restricted)]
97-118 Passport options with stochastic volatility
by Vicky Henderson & David Hobson [Downloadable! (restricted)]
119-135 Trading volume in models of financial derivatives
by Sam Howison & David Lamper [Downloadable! (restricted)]

2001, Volume 8, Issue 1

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

2000, Volume 7, Issue 4

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

2000, Volume 7, Issue 3

153-181 Estimation of stochastic volatility in the Hull–White model
by Shinichi Aihara, Arunabha Bagchi [Downloadable! (restricted)]
183-209 A square root interest rate model fitting discrete initial term structure data
by Erik Schlögl, Lutz Schlögl [Downloadable! (restricted)]
211-228 A PDE approach to risk measures of derivatives
by Tak Kuen Siu, Hailiang Yang [Downloadable! (restricted)]

2000, Volume 7, Issue 2

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

2000, Volume 7, Issue 1

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

1999, Volume 6, Issue 4

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

1999, Volume 6, Issue 3

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

1999, Volume 6, Issue 2

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

1999, Volume 6, Issue 1

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

1998, Volume 5, Issue 3-4

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

1998, Volume 5, Issue 2

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

1998, Volume 5, Issue 1

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

1997, Volume 4, Issue 4

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

1997, Volume 4, Issue 3

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

1997, Volume 4, Issue 1

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

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