Mathematical Finance

Cover image for Vol. 26 Issue 1

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

Edited By: Jerome Detemple

Impact Factor: 1.774

ISI Journal Citation Reports © Ranking: 2014: 9/46 (Social Sciences Mathematical Methods); 11/88 (Business Finance); 19/99 (Mathematics Interdisciplinary Applications); 53/333 (Economics)

Online ISSN: 1467-9965

VIEW

  1. 1 - 59
  1. ARTICLES

    1. ROBUST FUNDAMENTAL THEOREM FOR CONTINUOUS PROCESSES

      Sara Biagini, Bruno Bouchard, Constantinos Kardaras and Marcel Nutz

      Article first published 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

      Article first published online: 30 SEP 2015 | DOI: 10.1111/mafi.12109

  3. ARTICLES

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

      Matthew Lorig, Stefano Pagliarani and Andrea Pascucci

      Article first published online: 29 SEP 2015 | DOI: 10.1111/mafi.12105

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

      Salvatore Federico, Paul Gassiat and Fausto Gozzi

      Article first published online: 18 SEP 2015 | DOI: 10.1111/mafi.12101

    3. SHADOW PRICES FOR CONTINUOUS PROCESSES

      Christoph Czichowsky, Walter Schachermayer and Junjian Yang

      Article first published online: 18 SEP 2015 | DOI: 10.1111/mafi.12103

    4. A PRIMAL–DUAL ALGORITHM FOR BSDES

      Christian Bender, Nikolaus Schweizer and Jia Zhuo

      Article first published online: 26 JUN 2015 | DOI: 10.1111/mafi.12100

    5. TRADING WITH SMALL PRICE IMPACT

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

      Article first published online: 23 JUN 2015 | DOI: 10.1111/mafi.12098

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

      Christian Bender and Nikolai Dokuchaev

      Article first published online: 21 JUN 2015 | DOI: 10.1111/mafi.12096

    7. DYNAMIC TRADING VOLUME

      Paolo Guasoni and Marko Weber

      Article first published online: 19 JUN 2015 | DOI: 10.1111/mafi.12099

    8. MODEL UNCERTAINTY AND SCENARIO AGGREGATION

      Mathieu Cambou and Damir Filipović

      Article first published online: 19 JUN 2015 | DOI: 10.1111/mafi.12097

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

      Francesca Biagini, Camila Botero and Irene Schreiber

      Article first published online: 19 JUN 2015 | DOI: 10.1111/mafi.12095

  4. Articles

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

      Kaj Nyström and Mikko Parviainen

      Article first published online: 18 DEC 2014 | DOI: 10.1111/mafi.12090

    2. REAL OPTIONS WITH COMPETITION AND REGIME SWITCHING

      Alain Bensoussan, SingRu Hoe, ZhongFeng Yan and George Yin

      Article first published online: 18 DEC 2014 | DOI: 10.1111/mafi.12085

    3. ROBUST PORTFOLIOS AND WEAK INCENTIVES IN LONG-RUN INVESTMENTS

      Paolo Guasoni, Johannes Muhle-Karbe and Hao Xing

      Article first published online: 15 DEC 2014 | DOI: 10.1111/mafi.12087

    4. EXPECTATIONS OF FUNCTIONS OF STOCHASTIC TIME WITH APPLICATION TO CREDIT RISK MODELING

      Ovidiu Costin, Michael B. Gordy, Min Huang and Pawel J. Szerszen

      Article first published online: 15 DEC 2014 | DOI: 10.1111/mafi.12082

    5. COHERENCE AND ELICITABILITY

      Johanna F. Ziegel

      Article first published online: 3 SEP 2014 | DOI: 10.1111/mafi.12080

  5. ARTICLES

    1. FIRE SALES FORENSICS: MEASURING ENDOGENOUS RISK

      Rama Cont and Lakshithe Wagalath

      Article first published online: 1 SEP 2014 | DOI: 10.1111/mafi.12071

  6. Articles

  7. Original Articles

    1. BENCHMARKED RISK MINIMIZATION

      Ke Du and Eckhard Platen

      Article first published online: 20 MAY 2014 | DOI: 10.1111/mafi.12065

  8. ARTICLES

    1. GAMBLING IN CONTESTS WITH REGRET

      Han Feng and David Hobson

      Article first published online: 20 MAY 2014 | DOI: 10.1111/mafi.12069

  9. Original Articles

    1. HIGH-ORDER SHORT-TIME EXPANSIONS FOR ATM OPTION PRICES OF EXPONENTIAL LÉVY MODELS

      José E. Figueroa-López, Ruoting Gong and Christian Houdré

      Article first published online: 20 MAY 2014 | DOI: 10.1111/mafi.12064

  10. ARTICLES

  11. Original Articles

    1. VALUATION OF BARRIER OPTIONS VIA A GENERAL SELF-DUALITY

      Elisa Alòs, Zhanyu Chen and Thorsten Rheinländer

      Article first published online: 20 MAY 2014 | DOI: 10.1111/mafi.12063

    2. A FIRST-ORDER BSPDE FOR SWING OPTION PRICING

      Christian Bender and Nikolai Dokuchaev

      Article first published online: 20 MAY 2014 | DOI: 10.1111/mafi.12067

  12. ARTICLES

    1. STOCHASTIC LOCAL INTENSITY LOSS MODELS WITH INTERACTING PARTICLE SYSTEMS

      Aurélien Alfonsi, Céline Labart and Jérôme Lelong

      Article first published online: 2 DEC 2013 | DOI: 10.1111/mafi.12059

    2. MODEL-INDEPENDENT NO-ARBITRAGE CONDITIONS ON AMERICAN PUT OPTIONS

      Alexander M. G. Cox and Christoph Hoeggerl

      Article first published online: 2 DEC 2013 | DOI: 10.1111/mafi.12058

  13. Original Articles

    1. MEASURING DISTRIBUTION MODEL RISK

      Thomas Breuer and Imre Csiszár

      Article first published online: 9 OCT 2013 | DOI: 10.1111/mafi.12050

    2. RESILIENCE TO CONTAGION IN FINANCIAL NETWORKS

      Hamed Amini, Rama Cont and Andreea Minca

      Article first published online: 9 OCT 2013 | DOI: 10.1111/mafi.12051

  14. ARTICLES

    1. 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

VIEW

  1. 1 - 59

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