Mathematical Finance

© Wiley Periodicals, Inc.

Cover image for Vol. 23 Issue 2

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

Edited By: Dilip B. Madan

Impact Factor: 1.246

ISI Journal Citation Reports © Ranking: 2011: 17/45 (Social Sciences Mathematical Methods); 22/86 (Business Finance); 33/92 (Mathematics Interdisciplinary Applications); 90/321 (Economics)

Online ISSN: 1467-9965

  1. ARTICLES

    1. DUAL REPRESENTATIONS FOR GENERAL MULTIPLE STOPPING PROBLEMS

      Christian Bender, John Schoenmakers and Jianing Zhang

      Article first published online: 18 FEB 2013 | DOI: 10.1111/mafi.12030

    2. CORRELATION UNDER STRESS IN NORMAL VARIANCE MIXTURE MODELS

      Michael Kalkbrener and Natalie Packham

      Article first published online: 18 FEB 2013 | DOI: 10.1111/mafi.12029

    3. RISK MEASURES ON inline image AND VALUE AT RISK WITH PROBABILITY/LOSS FUNCTION

      Marco Frittelli, Marco Maggis and Ilaria Peri

      Article first published online: 18 FEB 2013 | DOI: 10.1111/mafi.12028

    4. OPTIMAL INSURANCE DESIGN UNDER RANK-DEPENDENT EXPECTED UTILITY

      Carole Bernard, Xuedong He, Jia-An Yan and Xun Yu Zhou

      Article first published online: 18 FEB 2013 | DOI: 10.1111/mafi.12027

    5. ON THE CONSISTENCY OF REGRESSION-BASED MONTE CARLO METHODS FOR PRICING BERMUDAN OPTIONS IN CASE OF ESTIMATED FINANCIAL MODELS

      Andreas Fromkorth and Michael Kohler

      Article first published online: 11 FEB 2013 | DOI: 10.1111/mafi.12025

    6. MULTIFRACTIONAL STOCHASTIC VOLATILITY MODELS

      Sylvain Corlay, Joachim Lebovits and Jacques Lévy Véhel

      Article first published online: 11 FEB 2013 | DOI: 10.1111/mafi.12024

    7. OPTIMAL TRADE EXECUTION AND PRICE MANIPULATION IN ORDER BOOKS WITH TIME-VARYING LIQUIDITY

      Antje Fruth, Torsten Schöneborn and Mikhail Urusov

      Article first published online: 11 FEB 2013 | DOI: 10.1111/mafi.12022

    8. CONVEX RISK MEASURES FOR GOOD DEAL BOUNDS

      Takuji Arai and Masaaki Fukasawa

      Article first published online: 11 FEB 2013 | DOI: 10.1111/mafi.12020

    9. RISK METRICS AND FINE TUNING OF HIGH-FREQUENCY TRADING STRATEGIES

      ÁLvaro Cartea and Sebastian Jaimungal

      Article first published online: 7 FEB 2013 | DOI: 10.1111/mafi.12023

    10. TIME-CONSISTENT AND MARKET-CONSISTENT EVALUATIONS

      Antoon Pelsser and Mitja Stadje

      Article first published online: 7 FEB 2013 | DOI: 10.1111/mafi.12026

    11. ARBITRAGE BOUNDS FOR PRICES OF WEIGHTED VARIANCE SWAPS

      Mark Davis, Jan Obłój and Vimal Raval

      Article first published online: 7 FEB 2013 | DOI: 10.1111/mafi.12021

    12. ON OPTIMAL INVESTMENT FOR A BEHAVIORAL INVESTOR IN MULTIPERIOD INCOMPLETE MARKET MODELS

      Laurence Carassus and Miklós Rásonyi

      Article first published online: 7 FEB 2013 | DOI: 10.1111/mafi.12018

    13. PRICING SWAPTIONS UNDER MULTIFACTOR GAUSSIAN HJM MODELS

      João Pedro Vidal Nunes and Pedro Miguel Silva Prazeres

      Article first published online: 7 FEB 2013 | DOI: 10.1111/mafi.12019

    14. BILATERAL COUNTERPARTY RISK UNDER FUNDING CONSTRAINTS—PART II: CVA

      Stéphane Crépey

      Article first published online: 12 DEC 2012 | DOI: 10.1111/mafi.12005

    15. BILATERAL COUNTERPARTY RISK UNDER FUNDING CONSTRAINTS—PART I: PRICING

      Stéphane Crépey

      Article first published online: 12 DEC 2012 | DOI: 10.1111/mafi.12004

    16. STATIC FUND SEPARATION OF LONG-TERM INVESTMENTS

      Paolo Guasoni and Scott Robertson

      Article first published online: 2 NOV 2012 | DOI: 10.1111/mafi.12017

    17. CLOSED FORM PRICING FORMULAS FOR DISCRETELY SAMPLED GENERALIZED VARIANCE SWAPS

      Wendong Zheng and Yue Kuen Kwok

      Article first published online: 2 NOV 2012 | DOI: 10.1111/mafi.12016

    18. FROM SMILE ASYMPTOTICS TO MARKET RISK MEASURES

      Ronnie Sircar and Stephan Sturm

      Article first published online: 2 NOV 2012 | DOI: 10.1111/mafi.12015

    19. SWAPTION PRICING IN AFFINE AND OTHER MODELS

      Don H. Kim

      Article first published online: 2 NOV 2012 | DOI: 10.1111/mafi.12014

    20. THE EFFECT OF TRADING FUTURES ON SHORT SALE CONSTRAINTS

      Robert Jarrow, Philip Protter and Sergio Pulido

      Article first published online: 2 NOV 2012 | DOI: 10.1111/mafi.12013

    21. GENERAL PROPERTIES OF ISOELASTIC UTILITY ECONOMIES

      Joel M. Vanden

      Article first published online: 2 NOV 2012 | DOI: 10.1111/mafi.12010

    22. BLACK–SCHOLES REPRESENTATION FOR ASIAN OPTIONS

      Jan Vecer

      Article first published online: 2 NOV 2012 | DOI: 10.1111/mafi.12012

    23. DEFAULT AND SYSTEMIC RISK IN EQUILIBRIUM

      Agostino Capponi and Martin Larsson

      Article first published online: 2 NOV 2012 | DOI: 10.1111/mafi.12009

    24. PORTFOLIOS OF AMERICAN OPTIONS UNDER GENERAL PREFERENCES: RESULTS AND COUNTEREXAMPLES

      Vicky Henderson, Jia Sun and A. Elizabeth Whalley

      Article first published online: 2 NOV 2012 | DOI: 10.1111/mafi.12008

    25. PRICING DERIVATIVES ON MULTISCALE DIFFUSIONS: AN EIGENFUNCTION EXPANSION APPROACH

      Matthew Lorig

      Article first published online: 2 NOV 2012 | DOI: 10.1111/mafi.12007

    26. TIME-CHANGED ORNSTEIN–UHLENBECK PROCESSES AND THEIR APPLICATIONS IN COMMODITY DERIVATIVE MODELS

      Lingfei Li and Vadim Linetsky

      Article first published online: 2 NOV 2012 | DOI: 10.1111/mafi.12003

    27. AN ONLINE PORTFOLIO SELECTION ALGORITHM WITH REGRET LOGARITHMIC IN PRICE VARIATION

      Elad Hazan and Satyen Kale

      Article first published online: 2 NOV 2012 | DOI: 10.1111/mafi.12006

    28. BOUNDARY EVOLUTION EQUATIONS FOR AMERICAN OPTIONS

      Daniel Mitchell, Jonathan Goodman and Kumar Muthuraman

      Article first published online: 2 NOV 2012 | DOI: 10.1111/mafi.12002

    29. ADMISSIBILITY OF GENERIC MARKET MODELS OF FORWARD SWAP RATES

      Libo Li and Marek Rutkowski

      Article first published online: 2 NOV 2012 | DOI: 10.1111/mafi.12001

    30. GAME CALL OPTIONS REVISITED

      S. C. P. Yam, S. P. Yung and W. Zhou

      Article first published online: 2 NOV 2012 | DOI: 10.1111/mafi.12000

    31. LARGE PORTFOLIO ASYMPTOTICS FOR LOSS FROM DEFAULT

      Kay Giesecke, Konstantinos Spiliopoulos, Richard B. Sowers and Justin A. Sirignano

      Article first published online: 31 OCT 2012 | DOI: 10.1111/mafi.12011

    32. PRICING AND SEMIMARTINGALE REPRESENTATIONS OF VULNERABLE CONTINGENT CLAIMS IN REGIME-SWITCHING MARKETS

      Agostino Capponi, José E. Figueroa-López and Jeffrey Nisen

      Article first published online: 19 JUN 2012 | DOI: 10.1111/j.1467-9965.2012.00533.x

    33. RETHINKING DYNAMIC CAPITAL STRUCTURE MODELS WITH ROLL-OVER DEBT

      Jean-Paul Décamps and Stéphane Villeneuve

      Article first published online: 19 JUN 2012 | DOI: 10.1111/j.1467-9965.2012.00532.x

    34. THE TWO FUNDAMENTAL THEOREMS OF ASSET PRICING FOR A CLASS OF CONTINUOUS-TIME FINANCIAL MARKETS

      Andrew Lyasoff

      Article first published online: 19 JUN 2012 | DOI: 10.1111/j.1467-9965.2012.00530.x

    35. OPTIMAL CONSUMPTION AND INVESTMENT FOR A LARGE INVESTOR: AN INTENSITY-BASED CONTROL FRAMEWORK

      Michael Busch, Ralf Korn and Frank Thomas Seifried

      Article first published online: 19 JUN 2012 | DOI: 10.1111/j.1467-9965.2012.00528.x

    36. ARBITRAGE-FREE MULTIFACTOR TERM STRUCTURE MODELS: A THEORY BASED ON STOCHASTIC CONTROL

      Andrea Gombani and Wolfgang J. Runggaldier

      Article first published online: 19 JUN 2012 | DOI: 10.1111/j.1467-9965.2012.00527.x

    37. DYNAMIC PORTFOLIO OPTIMIZATION WITH A DEFAULTABLE SECURITY AND REGIME-SWITCHING

      Agostino Capponi and José E. Figueroa-López

      Article first published online: 19 JUN 2012 | DOI: 10.1111/j.1467-9965.2012.00522.x

    38. NO-ARBITRAGE PRICING UNDER SYSTEMIC RISK: ACCOUNTING FOR CROSS-OWNERSHIP

      Tom Fischer

      Article first published online: 19 JUN 2012 | DOI: 10.1111/j.1467-9965.2012.00526.x

    39. LIQUIDATION IN LIMIT ORDER BOOKS WITH CONTROLLED INTENSITY

      Erhan Bayraktar and Michael Ludkovski

      Article first published online: 14 JUN 2012 | DOI: 10.1111/j.1467-9965.2012.00529.x

    40. THE AFFINE LIBOR MODELS

      Martin Keller-Ressel, Antonis Papapantoleon and Josef Teichmann

      Article first published online: 14 JUN 2012 | DOI: 10.1111/j.1467-9965.2012.00531.x

    41. LIMIT THEOREMS FOR PARTIAL HEDGING UNDER TRANSACTION COSTS

      Yan Dolinsky

      Article first published online: 14 JUN 2012 | DOI: 10.1111/j.1467-9965.2012.00525.x

    42. DYNAMIC COHERENT ACCEPTABILITY INDICES AND THEIR APPLICATIONS TO FINANCE

      Tomasz R. Bielecki, Igor Cialenco and Zhao Zhang

      Article first published online: 14 JUN 2012 | DOI: 10.1111/j.1467-9965.2012.00524.x

    43. A METHOD FOR PRICING AMERICAN OPTIONS USING SEMI-INFINITE LINEAR PROGRAMMING

      Sören Christensen

      Article first published online: 14 JUN 2012 | DOI: 10.1111/j.1467-9965.2012.00523.x

    44. ARBITRAGE-FREE BILATERAL COUNTERPARTY RISK VALUATION UNDER COLLATERALIZATION AND APPLICATION TO CREDIT DEFAULT SWAPS

      Damiano Brigo, Agostino Capponi and Andrea Pallavicini

      Article first published online: 14 JUN 2012 | DOI: 10.1111/j.1467-9965.2012.00520.x

    45. ON THE LOWER ARBITRAGE BOUND OF AMERICAN CONTINGENT CLAIMS

      Beatrice Acciaio and Gregor Svindland

      Article first published online: 14 JUN 2012 | DOI: 10.1111/j.1467-9965.2012.00519.x

    46. TRANSFORM ANALYSIS FOR POINT PROCESSES AND APPLICATIONS IN CREDIT RISK

      Kay Giesecke and Shilin Zhu

      Article first published online: 29 FEB 2012 | DOI: 10.1111/j.1467-9965.2011.00512.x

    47. PRICING CHAINED OPTIONS WITH CURVED BARRIERS

      Doobae Jun and Hyejin Ku

      Article first published online: 13 FEB 2012 | DOI: 10.1111/j.1467-9965.2011.00513.x

    48. RUNNING FOR THE EXIT: DISTRESSED SELLING AND ENDOGENOUS CORRELATION IN FINANCIAL MARKETS

      Rama Cont and Lakshithe Wagalath

      Article first published online: 13 FEB 2012 | DOI: 10.1111/j.1467-9965.2011.00510.x

    49. FAST MONTE CARLO GREEKS FOR FINANCIAL PRODUCTS WITH DISCONTINUOUS PAY-OFFS

      Jiun Hong Chan and Mark Joshi

      Article first published online: 13 FEB 2012 | DOI: 10.1111/j.1467-9965.2011.00509.x

    50. A STRUCTURAL RISK-NEUTRAL MODEL FOR PRICING AND HEDGING POWER DERIVATIVES

      René Aïd, Luciano Campi and Nicolas Langrené

      Article first published online: 13 FEB 2012 | DOI: 10.1111/j.1467-9965.2011.00507.x

    51. BUY-LOW AND SELL-HIGH INVESTMENT STRATEGIES

      Mihail Zervos, Timothy C. Johnson and Fares Alazemi

      Article first published online: 13 FEB 2012 | DOI: 10.1111/j.1467-9965.2011.00508.x

    52. STOCHASTIC VOLATILITY MODELS AND THE PRICING OF VIX OPTIONS

      Joanna Goard and Mathew Mazur

      Article first published online: 9 FEB 2012 | DOI: 10.1111/j.1467-9965.2011.00506.x

    53. MEAN–VARIANCE PORTFOLIO OPTIMIZATION WITH STATE-DEPENDENT RISK AVERSION

      Tomas Björk, Agatha Murgoci and Xun Yu Zhou

      Article first published online: 3 FEB 2012 | DOI: 10.1111/j.1467-9965.2011.00515.x

    54. RATING BASED LÉVY LIBOR MODEL

      Ernst Eberlein and Zorana Grbac

      Article first published online: 3 FEB 2012 | DOI: 10.1111/j.1467-9965.2011.00514.x

    55. MULTIPLICATIVE APPROXIMATION OF WEALTH PROCESSES INVOLVING NO-SHORT-SALES STRATEGIES VIA SIMPLE TRADING

      Constantinos Kardaras and Eckhard Platen

      Article first published online: 3 FEB 2012 | DOI: 10.1111/j.1467-9965.2011.00511.x

    56. THE EFFECT OF ESTIMATION IN HIGH-DIMENSIONAL PORTFOLIOS

      Axel Gandy and Luitgard A. M. Veraart

      Article first published online: 3 FEB 2012 | DOI: 10.1111/j.1467-9965.2011.00505.x

    57. EQUITY CORRELATIONS IMPLIED BY INDEX OPTIONS: ESTIMATION AND MODEL UNCERTAINTY ANALYSIS

      Rama Cont and Romain Deguest

      Article first published online: 3 FEB 2012 | DOI: 10.1111/j.1467-9965.2011.00503.x

    58. OPTIMAL LIQUIDATION OF DERIVATIVE PORTFOLIOS

      Vicky Henderson and David Hobson

      Article first published online: 13 MAY 2011 | DOI: 10.1111/j.1467-9965.2011.00477.x

SEARCH

SEARCH BY CITATION