Mathematical Finance

© Wiley Periodicals, Inc.

Cover image for Vol. 22 Issue 4

October 2012

Volume 22, Issue 4

Pages 591–762

  1. ARTICLES

    1. Top of page
    2. ARTICLES
    1. ASYMPTOTICS OF IMPLIED VOLATILITY IN LOCAL VOLATILITY MODELS (pages 591–620)

      Jim Gatheral, Elton P. Hsu, Peter Laurence, Cheng Ouyang and Tai-Ho Wang

      Article first published online: 5 DEC 2010 | DOI: 10.1111/j.1467-9965.2010.00472.x

    2. GRAPHICAL MODELS FOR CORRELATED DEFAULTS (pages 621–644)

      Ismail Onur Filiz, Xin Guo, Jason Morton and Bernd Sturmfels

      Article first published online: 3 FEB 2012 | DOI: 10.1111/j.1467-9965.2011.00499.x

    3. PERPETUAL CANCELLABLE AMERICAN CALL OPTION (pages 645–666)

      Thomas J. Emmerling

      Article first published online: 23 MAY 2011 | DOI: 10.1111/j.1467-9965.2011.00479.x

    4. ANALYTIC APPROXIMATIONS FOR MULTI-ASSET OPTION PRICING (pages 667–689)

      Carol Alexander and Aanand Venkatramanan

      Article first published online: 23 MAY 2011 | DOI: 10.1111/j.1467-9965.2011.00481.x

    5. POWER UTILITY MAXIMIZATION IN CONSTRAINED EXPONENTIAL LÉVY MODELS (pages 690–709)

      Marcel Nutz

      Article first published online: 13 MAY 2011 | DOI: 10.1111/j.1467-9965.2011.00480.x

    6. THE EXPECTED SHORTFALL OF QUADRATIC PORTFOLIOS WITH HEAVY-TAILED RISK FACTORS (pages 710–728)

      Simon A. Broda

      Article first published online: 5 JUN 2011 | DOI: 10.1111/j.1467-9965.2011.00482.x

    7. ON THE DYBVIG-INGERSOLL-ROSS THEOREM (pages 729–740)

      Constantinos Kardaras and Eckhard Platen

      Article first published online: 13 MAY 2011 | DOI: 10.1111/j.1467-9965.2011.00476.x

    8. MODIFIED LELAND’S STRATEGY FOR A CONSTANT TRANSACTION COSTS RATE (pages 741–752)

      Emmanuel Lepinette

      Article first published online: 3 FEB 2012 | DOI: 10.1111/j.1467-9965.2011.00498.x

    9. THE NORMALIZING TRANSFORMATION OF THE IMPLIED VOLATILITY SMILE (pages 753–762)

      Masaaki Fukasawa

      Article first published online: 5 JUN 2011 | DOI: 10.1111/j.1467-9965.2011.00483.x

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