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Mathematical Finance

© Wiley Periodicals, Inc.

Cover image for Vol. 23 Issue 1

January 2013

Volume 23, Issue 1

Pages 1–216

  1. ARTICLES

    1. Top of page
    2. ARTICLES
    1. You have free access to this content
      CONTINUOUSLY MONITORED BARRIER OPTIONS UNDER MARKOV PROCESSES (pages 1–38)

      Aleksandar Mijatović and Martijn Pistorius

      Article first published online: 5 JUN 2011 | DOI: 10.1111/j.1467-9965.2011.00486.x

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      POSITIVE ALPHAS, ABNORMAL PERFORMANCE, AND ILLUSORY ARBITRAGE (pages 39–56)

      Robert Jarrow and Philip Protter

      Article first published online: 15 JUN 2011 | DOI: 10.1111/j.1467-9965.2011.00489.x

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      A NONZERO-SUM GAME APPROACH TO CONVERTIBLE BONDS: TAX BENEFIT, BANKRUPTCY COST, AND EARLY/LATE CALLS (pages 57–93)

      Nan Chen, Min Dai and Xiangwei Wan

      Article first published online: 22 JUN 2011 | DOI: 10.1111/j.1467-9965.2011.00488.x

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      RECOVERING PORTFOLIO DEFAULT INTENSITIES IMPLIED BY CDO QUOTES (pages 94–121)

      Rama Cont and Andreea Minca

      Article first published online: 22 JUN 2011 | DOI: 10.1111/j.1467-9965.2011.00491.x

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      GREED, LEVERAGE, AND POTENTIAL LOSSES: A PROSPECT THEORY PERSPECTIVE (pages 122–142)

      Hanqing Jin and Xun Yu Zhou

      Article first published online: 15 JUN 2011 | DOI: 10.1111/j.1467-9965.2011.00490.x

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      ON SURRENDER AND DEFAULT RISKS (pages 143–168)

      Olivier Le Courtois and Hidetoshi Nakagawa

      Article first published online: 15 JUN 2011 | DOI: 10.1111/j.1467-9965.2011.00487.x

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      NONCONVEXITY OF THE OPTIMAL EXERCISE BOUNDARY FOR AN AMERICAN PUT OPTION ON A DIVIDEND-PAYING ASSET (pages 169–185)

      Xinfu Chen, Huibin Cheng and John Chadam

      Article first published online: 17 FEB 2012 | DOI: 10.1111/j.1467-9965.2011.00500.x

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      GENERALIZED SUPERMARTINGALE DEFLATORS UNDER LIMITED INFORMATION (pages 186–197)

      Constantinos Kardaras

      Article first published online: 5 JUN 2011 | DOI: 10.1111/j.1467-9965.2011.00484.x

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      SIMPLE PROCESSES AND THE PRICING AND HEDGING OF CLIQUETS (pages 198–216)

      Dilip B. Madan and Wim Schoutens

      Article first published online: 5 JUN 2011 | DOI: 10.1111/j.1467-9965.2011.00485.x

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