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Applied Mathematical Finance

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2011, Volume 18, Issue 5

395-422 Mean--Variance Optimal Adaptive Execution
by Julian Lorenz & Robert Almgren
423-446 Arithmetic Asian Options under Stochastic Delay Models
by Nairn McWilliams & Sotirios Sabanis
447-472 Closed Form Approximations for Spread Options
by Aanand Venkatramanan & Carol Alexander

2011, Volume 18, Issue 4

277-289 Valuation of Two-Factor Interest Rate Contingent Claims Using Green's Theorem
by Ghulam Sorwar & Giovanni Barone-Adesi
291-329 Optimal Asset Allocation for Passive Investing with Capital Loss Harvesting
by Daniel Ostrov & Thomas Wong
331-352 An Affine Two-Factor Heteroskedastic Macro-Finance Term Structure Model
by Peter Spreij & Enno Veerman & Peter Vlaar
353-365 Characterization of the American Put Option Using Convexity
by Dejun Xie & David Edwards & Gilberto Schleiniger & Qinghua Zhu

2011, Volume 18, Issue 3

189-205 The Tick-by-Tick Dynamical Consistency of Price Impact in Limit Order Books
by Damien Challet
207-225 One-Dimensional Pricing of CPPI
by Louis Paulot & Xavier Lacroze
227-244 The S&P 500 Index as a Sato Process Travelling at the Speed of the VIX
by Dilip Madan & Marc Yor
245-276 Exchange Options Under Jump-Diffusion Dynamics
by Gerald Cheang & Carl Chiarella

2011, Volume 18, Issue 2

93-117 Hedging of Spatial Temperature Risk with Market-Traded Futures
by Andrea Barth & Fred Espen Benth & Jurgen Potthoff
119-137 Calibration of Stock Betas from Skews of Implied Volatilities
by Jean-Pierre Fouque & Eli Kollman
139-154 A Coherent Aggregation Framework for Stress Testing and Scenario Analysis
by Jan Kwiatkowski & Riccardo Rebonato
155-187 Corrections to the Prices of Derivatives due to Market Incompleteness
by David German

2011, Volume 18, Issue 1

1-28 Variance-Optimal Hedging for Time-Changed Levy Processes
by Jan Kallsen & Arnd Pauwels
29-50 Markowitz's Mean-Variance Asset-Liability Management with Regime Switching: A Multi-Period Model
by Ping Chen & Hailiang Yang
51-70 A Time-Dependent Variance Model for Pricing Variance and Volatility Swaps
by Joanna Goard
71-91 On Modelling and Pricing Rainfall Derivatives with Seasonality
by Gunther Leobacher & Philip Ngare

2010, Volume 18, Issue 5

367-394 Early Exercise Boundary for American Type of Floating Strike Asian Option and Its Numerical Approximation
by Tomáš Bokes & Daniel Ševčovič

2010, Volume 17, Issue 6

471-489 Optimal Basket Liquidation for CARA Investors is Deterministic
by Alexander Schied & Torsten Schoneborn & Michael Tehranchi
491-518 Approximate Hedging of Contingent Claims under Transaction Costs for General Pay-offs
by Emmanuel Denis
519-551 Utility-Based Valuation and Hedging of Basis Risk With Partial Information
by Michael Monoyios

2010, Volume 17, Issue 5

377-397 Sato Processes in Default Modelling
by Thomas Kokholm & Elisa Nicolato
399-430 Time Charters with Purchase Options in Shipping: Valuation and Risk Management
by Peter L�chte J�rgensen & Domenico De Giovanni
431-451 Optimal Execution in a Market with Small Investors
by Ryosuke Ishii
453-469 Calibration of the Libor Market Model Using Correlations Implied by CMS Spread Options
by Reik Borger & Jan van Heys

2010, Volume 17, Issue 4

301-321 Computation of Greeks and Multidimensional Density Estimation for Asset Price Models with Time-Changed Brownian Motion
by Reiichiro Kawai & Arturo Kohatsu-Higa
323-357 Building an Optimal Portfolio in Discrete Time in the Presence of Transaction Costs
by Colin Atkinson & Emmeline Storey
359-372 Optimal Market Making in the Foreign Exchange Market
by Luitgard Veraart
373-376 Comment on: A Note on the Discontinuity Problem in Heston's Stochastic Volatility Model
by Roger Lord

2010, Volume 17, Issue 3

201-210 Two Useful Techniques for Financial Modelling Problems
by Paul Doust
211-240 Analysis of Fourier Transform Valuation Formulas and Applications
by Ernst Eberlein & Kathrin Glau & Antonis Papapantoleon
241-259 Robust Approximations for Pricing Asian Options and Volatility Swaps Under Stochastic Volatility
by Martin Forde & Antoine Jacquier
261-300 Asymptotics of Barrier Option Pricing Under the CEV Process
by Fannu Hu & Charles Knessl

2010, Volume 17, Issue 2

99-131 Static Replication of Forward-Start Claims and Realized Variance Swaps
by Jan Baldeaux & Marek Rutkowski
133-146 Comment on 'Correcting for Simulation Bias in Monte Carlo Methods to Value Exotic Options in Models Driven by Levy Processes' by C. Ribeiro and N. Webber
by Martin Becker
147-175 Real-World Pricing for a Modified Constant Elasticity of Variance Model
by Shane Miller & Eckhard Platen
177-199 Risk Minimization for a Filtering Micromovement Model of Asset Price
by Kiseop Lee & Yong Zeng

2010, Volume 17, Issue 1

1-28 Optimal Weak Static Hedging of Equity and Credit Risk Using Derivatives
by Dirk Becherer & Ian Ward
29-57 Mean Variance Hedging in a General Jump Model
by Michael Kohlmann & Dewen Xiong & Zhongxing Ye
59-81 Numerical Methods for Non-Linear Black-Scholes Equations
by Pascal Heider
83-98 Short Positions, Rally Fears and Option Markets
by Ernst Eberlein & Dilip Madan

2009, Volume 16, Issue 6

451-496 Valuing the Guaranteed Minimum Death Benefit Clause with Partial Withdrawals
by A. C. Belanger & P. A. Forsyth & G. Labahn
497-515 A New Approach to Pricing Double-Barrier Options with Arbitrary Payoffs and Exponential Boundaries
by Peter Buchen & Otto Konstandatos
517-531 Closed Formula for Options with Discrete Dividends and Its Derivatives
by Carlos Veiga & Uwe Wystup

2009, Volume 16, Issue 5

385-399 Strategic Pricing of Commodities
by Kurt Jornsten & Jan Ub�e
401-427 Valuation of Mortgage-Backed Securities and Mortgage Derivatives: A Closed-Form Approximation
by Andreas Kolbe & Rudi Zagst
429-449 Multi-Scale Time-Changed Birth Processes for Pricing Multi-Name Credit Derivatives
by Erhan Bayraktar & Bo Yang

2009, Volume 16, Issue 4

307-314 Computing the Volume of n-Dimensional Copulas
by Umberto Cherubini & Silvia Romagnoli
315-330 A Note on the Suboptimality of Path-Dependent Pay-Offs in Levy Markets
by Steven Vanduffel & Andrew Chernih & Matheusz Maj & Wim Schoutens
331-346 Partial Hedging in Financial Markets with a Large Agent
by Jungmin Choi & Mattias Jonsson
347-352 Employee Stock Options: An Up-and-Out Protected Barrier Call
by Chris Anderson & Neil Brisley
353-383 Multiscale Intensity Models and Name Grouping for Valuation of Multi-Name Credit Derivatives
by Evan Papageorgiou & Ronnie Sircar

2009, Volume 16, Issue 3

219-252 Mean-Variance Hedging with Uncertain Trade Execution
by Koichi Matsumoto
253-259 Boundary Values and Finite Difference Methods for the Single Factor Term Structure Equation
by Erik Ekstrom & Per Lotstedt & Johan Tysk
261-268 Numerical Approximation of the Implied Volatility Under Arithmetic Brownian Motion
by Jaehyuk Choi & Kwangmoon Kim & Minsuk Kwak
269-286 Displaced Diffusion as an Approximation of the Constant Elasticity of Variance
by Simona Svoboda-Greenwood
287-305 The Valuation of American Options with Stochastic Stopping Time Constraints
by Daniel Egloff & Markus Leippold

2009, Volume 16, Issue 2

103-122 Modelling Electricity Prices with Forward Looking Capacity Constraints
by Alvaro Cartea & Marcelo Figueroa & Helyette Geman
123-150 Convergence of a Least-Squares Monte Carlo Algorithm for Bounded Approximating Sets
by Daniel Zanger
151-181 Trader Behavior and its Effect on Asset Price Dynamics
by James Primbs & Muruhan Rathinam
183-217 Optimal Quantization for the Pricing of Swing Options
by Olivier Bardou & Sandrine Bouthemy & Gilles Pages

2009, Volume 16, Issue 1

1-15 On Markov-modulated Exponential-affine Bond Price Formulae
by Robert Elliott & Tak Kuen Siu
17-36 A Numerical Method to Price Defaultable Bonds Based on the Madan and Unal Credit Risk Model
by Luca Vincenzo Ballestra & Graziella Pacelli
37-79 American Call Options Under Jump-Diffusion Processes - A Fourier Transform Approach
by Carl Chiarella & Andrew Ziogas
81-102 Orderings and Probability Functionals Consistent with Preferences
by Sergio Ortobelli & Svetlozar Rachev & Haim Shalit & Frank Fabozzi

2008, Volume 15, Issue 5-6

403-404 Introduction
by Helyette Geman
405-447 Pricing Asset Scheduling Flexibility using Optimal Switching
by Rene Carmona & Michael Ludkovski
449-477 Asymptotic Pricing of Commodity Derivatives using Stochastic Volatility Spot Models
by Samuel Hikspoors & Sebastian Jaimungal
479-502 Pricing of Swing Options in a Mean Reverting Model with Jumps
by Mats Kjaer
503-529 Hydropower with Financial Information
by E. Nasakkala & J. Keppo
531-567 A Lattice-Based Method for Pricing Electricity Derivatives Under the Threshold Model
by Helyette Geman & Stelios Kourouvakalis

2008, Volume 15, Issue 4

305-329 Risk-based Decisions on the Asset Structure of a Bank under Partial Economic Information
by Grzegorz Hałaj
331-354 Finite-dimensional Realizations of Regime-switching HJM Models
by Mikael Elhouar
355-386 Modelling the Temperature Time-dependent Speed of Mean Reversion in the Context of Weather Derivatives Pricing
by A. Zapranis & A. Alexandridis
387-402 Two Exotic Lookback Options
by Hans-Peter Bermin & Peter Buchen & Otto Konstandatos

2008, Volume 15, Issue 3

205-218 Return and Value at Risk using the Dirichlet Process
by Mahmoud Zarepour & Thierry Bedard & Andre Dabrowski
219-249 Empirical Evaluation of Hybrid Defaultable Bond Pricing Models
by S. Antes & M. Ilg & B. Schmid & R. Zagst
251-275 Hedging Large Portfolios of Options in Discrete Time
by B. Peeters & C. L. Dert & A. Lucas
277-304 Pricing Options on Defaultable Stocks
by E. Bayraktar

2008, Volume 15, Issue 2

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

2008, Volume 15, Issue 1

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

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 Schlogl
401-436 Optimal Financial Portfolios
by S. V. Stoyanov & S. T. Rachev & F. J. Fabozzi
437-452 Convex Hedging in Incomplete Markets
by Birgit Rudloff
453-475 An Improved Binomial Lattice Method for Multi-Dimensional Options
by Andrea Gamba & Lenos Trigeorgis

2007, Volume 14, Issue 4

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

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
207-226 Approximate Formulas for Zero-coupon Bonds
by Fabricio Tourrucoo & Patrick S. Hagan & Gilberto F. Schleiniger
227-242 Changing Correlation and Equity Portfolio Diversification Failure for Linear Factor Models during Market Declines
by Alessio Sancetta & Steve E. Satchell
243-260 Term Structure Models with Parallel and Proportional Shifts
by Fredrik Armerin & Bjarne Astrup Jensen & Tomas Bjork
261-289 Using Utility Functions to Model Risky Bonds
by Joanna Goard

2007, Volume 14, Issue 2

105-130 Level-Slope-Curvature - Fact or Artefact?
by Roger Lord & Antoon Pelsser
131-152 On American Options Under the Variance Gamma Process
by Ariel Almendral & Cornelis W. Oosterlee
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
171-196 The Levy Swap Market Model
by E. Eberlein & J. Liinev

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
19-39 Pricing of Multi-Defaultable Bonds with a Two-Correlated-Factor Hull-White Model
by Leonard Tchuindjo
41-62 Pricing Volatility Swaps Under Heston's Stochastic Volatility Model with Regime Switching
by Robert Elliott & Tak Kuen Siu & Leunglung Chan
63-89 A Matched Asymptotic Expansions Approach to Continuity Corrections for Discretely Sampled Options. Part 1: Barrier Options
by Sam Howison & Mario Steinberg
91-104 A Matched Asymptotic Expansions Approach to Continuity Corrections for Discretely Sampled Options. Part 2: Bermudan Options
by Sam Howison

2006, Volume 13, Issue 4

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

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
215-244 Stochastic Volatility Effects on Defaultable Bonds
by Jean-Pierre Fouque & Ronnie Sircar & Knut S�lna
245-263 On Estimation of Volatility Surface and Prediction of Future Spot Volatility
by Fima Klebaner & Truc Le & Robert Liptser
265-284 Efficient Pricing of Derivatives on Assets with Discrete Dividends
by M. H. Vellekoop & J. W. Nieuwenhuis

2006, Volume 13, Issue 2

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

2006, Volume 13, Issue 1

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

2005, Volume 12, Issue 4

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

2005, Volume 12, Issue 3

201-241 Numerical Procedure for Calibration of Volatility with American Options
by Yves Achdou & Olivier Pironneau
243-252 Insider Trading in Convergent Markets
by Mattias Jonsson & Jan Vecer
253-282 Sharp Upper and Lower Bounds for Basket Options
by Peter Laurence & Tai-Ho Wang

2005, Volume 12, Issue 2

101-119 Consistency Problems for Jump-diffusion Models
by Erhan Bayraktar & Li Chen & H. Vincent Poor
121-146 Pricing Quanto Equity Swaps in a Stochastic Interest Rate Economy
by San-Lin Chung & Hsiao-Fen Yang
147-185 Stochastic Volatility Model with Time-dependent Skew
by Vladimir Piterbarg
187-199 Dynamic Principal Component Analysis of Multivariate Volatility via Fourier Analysis
by Maria Elvira Mancino & Roberto Reno

2005, Volume 12, Issue 1

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

2004, Volume 12, Issue 3

283-309 Modelling Specific Interest Rate Risk with Estimation of Missing Data
by Thomas Siegl & Peter Quell

2004, Volume 11, Issue 4

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

2004, Volume 11, Issue 3

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

2004, Volume 11, Issue 2

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

2004, Volume 11, Issue 1

1-25 Dynamic programming and mean-variance hedging in discrete time
by Ales Cerny
27-50 Multiple time scales in volatility and leverage correlations: a stochastic volatility model
by Josep Perello & Jaume Masoliver & Jean-Philippe Bouchaud
51-75 A possible way of estimating options with stable distributed underlying asset prices
by C. Tsibiridi & C. Atkinson
77-94 Hitting time and time change
by Victor Vaugirard

2003, Volume 10, Issue 4

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

2003, Volume 10, Issue 3

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

2003, Volume 10, Issue 2

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

2003, Volume 10, Issue 1

1-18 Optimal execution with nonlinear impact functions and trading-enhanced risk
by Robert Almgren
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
49-74 A new approximate swaption formula in the LIBOR market model: an asymptotic expansion approach
by Atsushi Kawai
75-90 Valuing catastrophe bonds by Monte Carlo simulations
by Victor Vaugirard