Mathematical Finance

Cover image for Vol. 27 Issue 1

Early View (Online Version of Record published before inclusion in an issue)

Edited By: Jerome Detemple

Impact Factor: 2.283

ISI Journal Citation Reports © Ranking: 2015: 5/49 (Social Sciences Mathematical Methods); 9/94 (Business Finance); 14/101 (Mathematics Interdisciplinary Applications); 35/345 (Economics)

Online ISSN: 1467-9965

VIEW

  1. 1 - 42
  1. ARTICLES

    1. INVESTING WITH LIQUID AND ILLIQUID ASSETS

      Maxim Bichuch and Paolo Guasoni

      Version of Record online: 16 DEC 2016 | DOI: 10.1111/mafi.12135

    2. SHAREHOLDER RISK MEASURES

      Delia Coculescu and Jean-Charles Rochet

      Version of Record online: 24 NOV 2016 | DOI: 10.1111/mafi.12142

    3. INDIFFERENCE PRICING FOR CONTINGENT CLAIMS: LARGE DEVIATIONS EFFECTS

      Scott Robertson and Konstantinos Spiliopoulos

      Version of Record online: 24 NOV 2016 | DOI: 10.1111/mafi.12137

    4. PROFIT SHARING IN HEDGE FUNDS

      Xue Dong He and Steven Kou

      Version of Record online: 21 NOV 2016 | DOI: 10.1111/mafi.12143

    5. BOUNDING WRONG-WAY RISK IN CVA CALCULATION

      Paul Glasserman and Linan Yang

      Version of Record online: 17 NOV 2016 | DOI: 10.1111/mafi.12141

    6. ASYMPTOTIC EQUIVALENCE OF RISK MEASURES UNDER DEPENDENCE UNCERTAINTY

      Jun Cai, Haiyan Liu and Ruodu Wang

      Version of Record online: 17 NOV 2016 | DOI: 10.1111/mafi.12140

    7. ROBUST UTILITY MAXIMIZATION WITH LÉVY PROCESSES

      ARIEL NEUFELD and MARCEL NUTZ

      Version of Record online: 11 NOV 2016 | DOI: 10.1111/mafi.12139

    8. DYNAMIC DEFAULTABLE TERM STRUCTURE MODELING BEYOND THE INTENSITY PARADIGM

      Frank Gehmlich and Thorsten Schmidt

      Version of Record online: 10 NOV 2016 | DOI: 10.1111/mafi.12138

    9. INDIFFERENCE PRICES AND IMPLIED VOLATILITIES

      Matthew Lorig

      Version of Record online: 26 MAY 2016 | DOI: 10.1111/mafi.12129

    10. OPTIMAL LIQUIDATION AND ADVERSE SELECTION IN DARK POOLS

      Peter Kratz and Torsten Schöneborn

      Version of Record online: 25 MAY 2016 | DOI: 10.1111/mafi.12126

    11. SOCIAL DISCOUNTING AND THE LONG RATE OF INTEREST

      Dorje C. Brody and Lane P. Hughston

      Version of Record online: 24 MAY 2016 | DOI: 10.1111/mafi.12122

    12. LIQUIDATION OF AN INDIVISIBLE ASSET WITH INDEPENDENT INVESTMENT

      Emilie Fabre, Guillaume Royer and Nizar Touzi

      Version of Record online: 23 MAY 2016 | DOI: 10.1111/mafi.12127

    13. EFFICIENT PRICING OF BARRIER OPTIONS AND CDS IN LÉVY MODELS WITH STOCHASTIC INTEREST RATE

      Svetlana Boyarchenko and Sergei Levendorskiĭ

      Version of Record online: 23 MAY 2016 | DOI: 10.1111/mafi.12121

    14. DENSITY OF SKEW BROWNIAN MOTION AND ITS FUNCTIONALS WITH APPLICATION IN FINANCE

      Alexander Gairat and Vadim Shcherbakov

      Version of Record online: 19 MAY 2016 | DOI: 10.1111/mafi.12120

    15. UTILITY MAXIMIZATION IN A LARGE MARKET

      Oleksii Mostovyi

      Version of Record online: 19 MAY 2016 | DOI: 10.1111/mafi.12123

    16. LEVERAGED ETF IMPLIED VOLATILITIES FROM ETF DYNAMICS

      Tim Leung, Matthew Lorig and Andrea Pascucci

      Version of Record online: 19 MAY 2016 | DOI: 10.1111/mafi.12128

    17. ROBUST FUNDAMENTAL THEOREM FOR CONTINUOUS PROCESSES

      Sara Biagini, Bruno Bouchard, Constantinos Kardaras and Marcel Nutz

      Version of Record online: 30 SEP 2015 | DOI: 10.1111/mafi.12110

  2. Articles

    1. PORTFOLIO OPTIMIZATION AND STOCHASTIC VOLATILITY ASYMPTOTICS

      Jean-Pierre Fouque, Ronnie Sircar and Thaleia Zariphopoulou

      Version of Record online: 30 SEP 2015 | DOI: 10.1111/mafi.12109

  3. ARTICLES

    1. ON ARBITRAGE AND DUALITY UNDER MODEL UNCERTAINTY AND PORTFOLIO CONSTRAINTS

      Erhan Bayraktar and Zhou Zhou

      Version of Record online: 29 SEP 2015 | DOI: 10.1111/mafi.12104

    2. EXPLICIT IMPLIED VOLATILITIES FOR MULTIFACTOR LOCAL-STOCHASTIC VOLATILITY MODELS

      Matthew Lorig, Stefano Pagliarani and Andrea Pascucci

      Version of Record online: 29 SEP 2015 | DOI: 10.1111/mafi.12105

    3. PRICING FOR LARGE POSITIONS IN CONTINGENT CLAIMS

      Scott Robertson

      Version of Record online: 29 SEP 2015 | DOI: 10.1111/mafi.12107

    4. OPTION PRICING AND HEDGING WITH EXECUTION COSTS AND MARKET IMPACT

      Olivier Guéant and Jiang Pu

      Version of Record online: 25 SEP 2015 | DOI: 10.1111/mafi.12102

    5. IMPACT OF TIME ILLIQUIDITY IN A MIXED MARKET WITHOUT FULL OBSERVATION

      Salvatore Federico, Paul Gassiat and Fausto Gozzi

      Version of Record online: 18 SEP 2015 | DOI: 10.1111/mafi.12101

    6. SHADOW PRICES FOR CONTINUOUS PROCESSES

      Christoph Czichowsky, Walter Schachermayer and Junjian Yang

      Version of Record online: 18 SEP 2015 | DOI: 10.1111/mafi.12103

    7. APPROXIMATE HEDGING PROBLEM WITH TRANSACTION COSTS IN STOCHASTIC VOLATILITY MARKETS

      Thai Huu Nguyen and Serguei Pergamenshchikov

      Version of Record online: 30 JUN 2015 | DOI: 10.1111/mafi.12094

    8. A PRIMAL–DUAL ALGORITHM FOR BSDES

      Christian Bender, Nikolaus Schweizer and Jia Zhuo

      Version of Record online: 26 JUN 2015 | DOI: 10.1111/mafi.12100

    9. TRADING WITH SMALL PRICE IMPACT

      Ludovic Moreau, Johannes Muhle-Karbe and H. Mete Soner

      Version of Record online: 23 JUN 2015 | DOI: 10.1111/mafi.12098

    10. A FIRST-ORDER BSPDE FOR SWING OPTION PRICING: CLASSICAL SOLUTIONS

      Christian Bender and Nikolai Dokuchaev

      Version of Record online: 21 JUN 2015 | DOI: 10.1111/mafi.12096

    11. DYNAMIC TRADING VOLUME

      Paolo Guasoni and Marko Weber

      Version of Record online: 19 JUN 2015 | DOI: 10.1111/mafi.12099

    12. MODEL UNCERTAINTY AND SCENARIO AGGREGATION

      Mathieu Cambou and Damir Filipović

      Version of Record online: 19 JUN 2015 | DOI: 10.1111/mafi.12097

    13. RISK-MINIMIZATION FOR LIFE INSURANCE LIABILITIES WITH DEPENDENT MORTALITY RISK

      Francesca Biagini, Camila Botero and Irene Schreiber

      Version of Record online: 19 JUN 2015 | DOI: 10.1111/mafi.12095

    14. OPTIMAL INVESTMENT FOR ALL TIME HORIZONS AND MARTIN BOUNDARY OF SPACE-TIME DIFFUSIONS

      Sergey Nadtochiy and Michael Tehranchi

      Version of Record online: 16 JUN 2015 | DOI: 10.1111/mafi.12092

  4. Articles

    1. TUG-OF-WAR, MARKET MANIPULATION, AND OPTION PRICING

      Kaj Nyström and Mikko Parviainen

      Version of Record online: 18 DEC 2014 | DOI: 10.1111/mafi.12090

VIEW

  1. 1 - 42

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