# Taylor & Francis Journals

# Applied Mathematical Finance

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**Current editor:**Professor Ben Hambly

**Current editor:**Christoph Reisinger

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**Series handle:**repec:taf:apmtfi

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### 2015, Volume 22, Issue 2

**105-132 A Note on Dual-Curve Construction: Mr. Crab's Bootstrap***by*Roberto Baviera & Alessandro Cassaro**133-161 Pricing Path-Dependent Options with Discrete Monitoring under Time-Changed Lévy Processes***by*Yuji Umezawa & Akira Yamazaki**162-188 Implied Volatility of Leveraged ETF Options***by*Tim Leung & Ronnie Sircar**189-206 Stochastic Models for Oil Prices and the Pricing of Futures on Oil***by*Mohammed A. Aba Oud & Joanna Goard

### 2015, Volume 22, Issue 1

**1-27 Semi-analytical Pricing of Currency Options in the Heston/CIR Jump-Diffusion Hybrid Model***by*Rehez Ahlip & Marek Rutkowski**28-62 Pricing of Spread Options on a Bivariate Jump Market and Stability to Model Risk***by*Fred Espen Benth & Giulia Di Nunno & Asma Khedher & Maren Diane Schmeck**63-82 Effect of Volatility Clustering on Indifference Pricing of Options by Convex Risk Measures***by*Rohini Kumar**83-98 A New Variance Reduction Technique for Estimating Value-at-Risk***by*Ralf Korn & Mykhailo Pupashenko**99-103 Correction: Exchange Option under Jump-diffusion Dynamics***by*Ruggero Caldana & Gerald H. L. Cheang & Carl Chiarella & Gianluca Fusai

### 2014, Volume 21, Issue 6

**483-522 Implied Filtering Densities on the Hidden State of Stochastic Volatility***by*Carlos Fuertes & Andrew Papanicolaou**523-554 Re-specification of Affine Term Structure Models: The Linkage to Empirical Investigations***by*Ting Ting Huang & Bruce Qiang Sun & Xinfu Chen**555-594 Stochastic Correlation and Volatility Mean-reversion - Empirical Motivation and Derivatives Pricing via Perturbation Theory***by*Marcos Escobar & Barbara Götz & Daniela Neykova & Rudi Zagst**595-613 Asymptotic Solutions for Australian Options with Low Volatility***by*Sai Hung Marten Ting & Christian-Oliver Ewald

### 2014, Volume 21, Issue 5

**399-416 Option Pricing with Transaction Costs and Stochastic Interest Rate***by*Indranil SenGupta**417-450 Variational Solutions of the Pricing PIDEs for European Options in Lévy Models***by*Ernst Eberlein & Kathrin Glau**451-481 On the Approximation of the SABR with Mean Reversion Model: A Probabilistic Approach***by*Joanne E. Kennedy & Duy Pham

### 2014, Volume 21, Issue 4

**299-312 Consistent Modelling of VIX and Equity Derivatives Using a 3/2 plus Jumps Model***by*Jan Baldeaux & Alexander Badran**313-341 Approximate Hedging in a Local Volatility Model with Proportional Transaction Costs***by*Emmanuel Lépinette & Tuan Tran**342-362 Optimal Trade Execution Under Stochastic Volatility and Liquidity***by*Patrick Cheridito & Tardu Sepin**363-397 Closed-Form Pricing of Two-Asset Barrier Options with Stochastic Covariance***by*Barbara Götz & Marcos Escobar & Rudi Zagst

### 2014, Volume 21, Issue 3

**201-237 Optimal Execution and Price Manipulations in Time-varying Limit Order Books***by*Aurélien Alfonsi & José Infante Acevedo**238-269 A Radial Basis Function Scheme for Option Pricing in Exponential Lévy Models***by*Raymond Brummelhuis & Ron T. L. Chan**270-297 Tail VaR Measures in a Multi-period Setting***by*Yuta Katsuki & Koichi Matsumoto

### 2014, Volume 21, Issue 2

**109-139 An Extension of the Chaos Expansion Approximation for the Pricing of Exotic Basket Options***by*Hideharu Funahashi & Masaaki Kijima**140-173 Prices and Asymptotics for Discrete Variance Swaps***by*Carole Bernard & Zhenyu Cui**174-200 Perpetual Options on Multiple Underlyings***by*Peter W. Duck & Geoffrey W. Evatt & Paul V. Johnson

### 2014, Volume 21, Issue 1

**1-31 Saddlepoint Approximation Methods for Pricing Derivatives on Discrete Realized Variance***by*Wendong Zheng & Yue Kuen Kwok**32-50 Rare Shock, Two-Factor Stochastic Volatility and Currency Option Pricing***by*Guanying Wang & Xingchun Wang & Yongjin Wang**51-83 A Multivariate Default Model with Spread and Event Risk***by*Jan-Frederik Mai & Pablo Olivares & Steffen Schenk & Matthias Scherer**84-107 Forward Variance Dynamics: Bergomi's Model Revisited***by*S. M. Ould Aly

### 2013, Volume 20, Issue 6

**512-547 Modelling Asset Prices for Algorithmic and High-Frequency Trading***by*Álvaro Cartea & Sebastian Jaimungal**548-577 A Family of Maximum Entropy Densities Matching Call Option Prices***by*Cassio Neri & Lorenz Schneider**578-598 From Minority Game to Black&Scholes Pricing***by*Matteo Ortisi & Valerio Zuccolo**599-610 Optimal Selling of an Asset with Jumps Under Incomplete Information***by*Bing Lu

### 2013, Volume 20, Issue 5

**415-449 Comparison Between the Mean-Variance Optimal and the Mean-Quadratic-Variation Optimal Trading Strategies***by*Tse & Forsyth & Kennedy & Windcliff**450-460 Default Times in a Continuous Time Markov Chain Economy***by*Elliott & van der Hoek**461-488 A Simple Stochastic Rate Model for Rate Equity Hybrid Products***by*Eberlein & Madan & Pistorius & Yor**489-511 Pricing and Hedging of Lookback Options in Hyper-exponential Jump Diffusion Models***by*Hofer & Mayer

### 2013, Volume 20, Issue 4

**304-326 Utility Indifference Pricing: A Time Consistent Approach***by*Traian A. Pirvu & Huayue Zhang**327-358 A Parametric n -Dimensional Markov-Functional Model in the Terminal Measure***by*Linus Kaisajuntti**359-379 On the Minimal Entropy Martingale Measure and Multinomial Lattices with Cumulants***by*Cyrus Seera Ssebugenyi & Ivivi Joseph Mwaniki & Virginie S. Konlack**380-402 Local Volatility Pricing Models for Long-Dated FX Derivatives***by*Griselda Deelstra & Grégory Rayée**403-414 Boundaries of Correlation Adjustment with Applications to Financial Risk Management***by*Kawee Numpacharoen & Kornkanok Bunwong

### 2013, Volume 20, Issue 3

**191-210 A Path-Independent Humped Volatility Model for Option Pricing***by*Massimo Costabile & Ivar Massab� & Emilio Russo**211-228 Exponential Lévy Models Extended by a Jump to Default***by*Akira Yamazaki**229-245 Exotic Geometric Average Options Pricing under Stochastic Volatility***by*Nabil Tahani**246-263 Vulnerable Derivatives and Good Deal Bounds: A Structural Model***by*Agatha Murgoci**264-286 Robust Strategies for Optimal Order Execution in the Almgren--Chriss Framework***by*Alexander Schied**287-303 Robust Hedging and Pathwise Calculus***by*Heikki Tikanm�ki

### 2013, Volume 20, Issue 2

**94-117 Pricing Equity Swaps in an Economy with Jumps***by*Mia Hinnerich**118-136 Stock Loans in Incomplete Markets***by*Matheus R. Grasselli & Cesar G�mez**137-166 Stationary and Nonstationary Behaviour of the Term Structure: A Nonparametric Characterization***by*Clive G. Bowsher & Roland Meeks**167-190 Option Replication in Discrete Time with Illiquidity***by*Koichi Matsumoto

### 2013, Volume 20, Issue 1

**1-25 Option Pricing and Filtering with Hidden Markov-Modulated Pure-Jump Processes***by*Robert J. Elliott & Tak Kuen Siu**26-49 American Options in the Heston Model with Stochastic Interest Rate and Its Generalizations***by*Svetlana Boyarchenko & Sergei LevendorskiĬ**50-68 Concentrated Equilibrium and Intraday Patterns in Financial Markets***by*Ryosuke Ishii & Katsumasa Nishide**69-93 Joint Modelling of Gas and Electricity Spot Prices***by*Noufel Frikha & Vincent Lemaire

### 2012, Volume 19, Issue 6

**495-511 Assessing the Costs of Protection in a Context of Switching Stochastic Regimes***by*Pauline Barrieu & Nadine Bellamy & Jean-Michel Sahut**513-534 Bonds and Options in Exponentially Affine Bond Models***by*Hans-Peter Bermin**535-552 Assessing the Performance of Different Volatility Estimators: A Monte Carlo Analysis***by*�lvaro Cartea & Dimitrios Karyampas**553-586 On the Approximation of the SABR Model: A Probabilistic Approach***by*Joanne E. Kennedy & Subhankar Mitra & Duy Pham

### 2012, Volume 19, Issue 5

**381-445 The Stochastic Intrinsic Currency Volatility Model: A Consistent Framework for Multiple FX Rates and Their Volatilities***by*Paul Doust**447-475 The Endogenous Price Dynamics of Emission Allowances and an Application to CO 2 Option Pricing***by*Marc Chesney & Luca Taschini**477-494 Options on Realized Variance in Log-OU Models***by*Gabriel G. Drimus

### 2012, Volume 19, Issue 4

**299-312 Determination of the Probability Distribution Measures from Market Option Prices Using the Method of Maximum Entropy in the Mean***by*Henryk Gzyl & Silvia Mayoral**313-340 A General Formula for Option Prices in a Stochastic Volatility Model***by*Stephen Chin & Daniel Dufresne**341-360 On the Spurious Correlation Between Sample Betas and Mean Returns***by*Moshe Levy**361-379 Pricing Fixed-Income Securities in an Information-Based Framework***by*Lane P. Hughston & Andrea Macrina

### 2012, Volume 19, Issue 3

**195-217 Bias Reduction for Pricing American Options by Least-Squares Monte Carlo***by*Kin Hung (Felix) Kan & R. Mark Reesor**219-231 Viterbi-Based Estimation for Markov Switching GARCH Model***by*Robert J. Elliott & John W. Lau & Hong Miao & Tak Kuen Siu**233-264 Stochastic Expansion for the Pricing of Call Options with Discrete Dividends***by*Pierre �toré & Emmanuel Gobet**265-298 Dynamic Portfolio Optimization in Discrete-Time with Transaction Costs***by*Colin Atkinson & Gary Quek

### 2012, Volume 19, Issue 2

**97-129 Pricing of Parisian Options for a Jump-Diffusion Model with Two-Sided Jumps***by*Hansj�rg Albrecher & Dominik Kortschak & Xiaowen Zhou**131-179 The Effect of Correlation and Transaction Costs on the Pricing of Basket Options***by*C. Atkinson & P. Ingpochai**181-193 Comparison of Two Methods for Superreplication***by*Erik Ekstr�m & Johan Tysk

### 2012, Volume 19, Issue 1

**1-35 On Cross-Currency Models with Stochastic Volatility and Correlated Interest Rates***by*Lech A. Grzelak & Cornelis W. Oosterlee**37-58 New Analytic Approach to Address Put--Call Parity Violation due to Discrete Dividends***by*Alexander Buryak & Ivan Guo**59-95 The Implied Market Price of Weather Risk***by*Wolfgang Karl H�rdle & Brenda L�pez Cabrera

### 2011, Volume 18, Issue 6

**473-490 Option Valuation with a Discrete-Time Double Markovian Regime-Switching Model***by*Tak Kuen Siu & Eric S. Fung & Michael K. Ng**491-515 Good-Deal Bounds in a Regime-Switching Diffusion Market***by*Catherine Donnelly**517-535 Small-Time Asymptotics for an Uncorrelated Local-Stochastic Volatility Model***by*Martin Forde & Antoine Jacquier**537-563 The British Put Option***by*Goran Peskir & Farman Samee

### 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