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Date Posted: October 21, 2009
Last Revised: October 31, 2009
Accepted Paper Series

Local Risk Minimization for Defaultable Markets
Mathematical Finance, Vol. 19, Issue 4, pp. 669-689, October 2009
Francesca Biagini and Alessandra Cretarola
University of Bologna - Department of Mathematics and affiliation not provided to SSRN
Date Posted: October 21, 2009
Last Revised: October 21, 2009
Accepted Paper Series

One-Parameter Families of Distortion Risk Measures
Mathematical Finance, Vol. 19, Issue 4, pp. 691-705, October 2009
Hideatsu Tsukahara
affiliation not provided to SSRN
Date Posted: October 21, 2009
Last Revised: October 21, 2009
Accepted Paper Series

Risk Indifference Pricing in Jump Diffusion Markets
Mathematical Finance, Vol. 19, Issue 4, pp. 619-637, October 2009
Bernt Øksendal and Agnès Sulem
affiliation not provided to SSRN and affiliation not provided to SSRN
Date Posted: October 21, 2009
Last Revised: November 10, 2009
Accepted Paper Series

Cash Subadditive Risk Measures and Interest Rate Ambiguity
Mathematical Finance, Vol. 19, Issue 4, pp. 561-590, October 2009
Nicole El Karoui and Claudia Ravanelli
Ecole Polytechnique, Paris - Centre de Mathematiques Appliquees and Swiss Finance Institute at EPFL (Ecole Polytechnique Fédérale de Lausanne)
Date Posted: October 21, 2009
Last Revised: October 21, 2009
Accepted Paper Series

Hedging by Sequential Regressions Revisited
Mathematical Finance, Vol. 19, Issue 4, pp. 591-617, October 2009
Aleš Černý and Jan Kallsen
affiliation not provided to SSRN and Munich University of Technology
Date Posted: October 21, 2009
Last Revised: October 21, 2009
Accepted Paper Series

Put-Call Symmetry: Extensions and Applications
Mathematical Finance, Vol. 19, Issue 4, pp. 523-560, October 2009
Peter Carr and Roger Lee
New York University - Courant Institute of Mathematical Sciences and University of Chicago
Date Posted: October 21, 2009
Last Revised: October 21, 2009
Accepted Paper Series

Constant Proportion Portfolio Insurance in the Presence of Jumps in Asset Prices
Mathematical Finance, Vol. 19, Issue 3, pp. 379-401, July 2009
Rama Cont and Peter Tankov
Columbia University - Center for Financial Engineering and Ecole Polytechnique, Paris
Date Posted: June 30, 2009
Last Revised: June 30, 2009
Accepted Paper Series

Credit Spreads, Optimal Capital Structure, and Implied Volatility with Endogenous Default and Jump Risk
Mathematical Finance, Vol. 19, Issue 3, pp. 343-378, July 2009
Nan Chen and S. G. Kou
affiliation not provided to SSRN and affiliation not provided to SSRN
Date Posted: June 30, 2009
Last Revised: June 30, 2009
Accepted Paper Series

Maximizing the Growth Rate under Risk Constraints
Mathematical Finance, Vol. 19, Issue 3, pp. 423-455, July 2009
Traian A. Pirvu and Gordan Žitković
University of British Columbia and affiliation not provided to SSRN
Date Posted: June 30, 2009
Last Revised: August 23, 2009
Accepted Paper Series

Portfolio Selection with Monotone Mean-Variance Preferences
Mathematical Finance, Vol. 19, Issue 3, pp. 487-521, July 2009
Fabio Maccheroni , Massimo Marinacci , Aldo Rustichini and Marco Taboga
Università Bocconi - Istituto di Metodi Quantitativi , University of Turin - Department of Statistics and Applied Mathematics , University of Minnesota - Twin Cities - Department of Economics and Bank of Italy
Date Posted: June 30, 2009
Last Revised: June 30, 2009
Accepted Paper Series

Pricing Corporate Securities Under Noisy Asset Information
Mathematical Finance, Vol. 19, Issue 3, pp. 403-421, July 2009
Rüdiger Frey and Thorsten Schmidt
Swiss Federal Institute of Technology Zurich and University of Leipzig - Faculty of Mathematics and Computer Science
Date Posted: June 30, 2009
Last Revised: June 30, 2009
Accepted Paper Series

Singular Perturbation Techniques Applied to Multiasset Option Pricing
Mathematical Finance, Vol. 19, Issue 3, pp. 457-486, July 2009
Peter Duck , Chao Yang , David Newton and Martin Widdicks
University of Manchester - Department of Mathematics , University of Manchester , Nottingham University Business School (NUBS) and Lancaster University - Department of Accounting and Finance
Date Posted: June 30, 2009
Last Revised: June 30, 2009
Accepted Paper Series

Estimation of Value at Risk and Ruin Probability for Diffusion Processes with Jumps
Mathematical Finance, Vol. 19, Issue 2, pp. 281-302, April 2009
Laurent Denis , Begoña Fernández and Ana Meda
affiliation not provided to SSRN , affiliation not provided to SSRN and affiliation not provided to SSRN
Date Posted: April 27, 2009
Last Revised: May 15, 2009
Accepted Paper Series

Explicit Solutions of Consumption-Investment Problems in Financial Markets with Regime Switching
Mathematical Finance, Vol. 19, Issue 2, pp. 251-279, April 2009
Luz Rocío Sotomayor and Abel Cadenillas
affiliation not provided to SSRN and University of Alberta - Department of Mathematical and Statistical Sciences
Date Posted: April 27, 2009
Last Revised: May 15, 2009
Accepted Paper Series

Implied Volatility in the Hull-White Model
Mathematical Finance, Vol. 19, Issue 2, pp. 303-327, April 2009
Archil Gulisashvili and Elias M. Stein
affiliation not provided to SSRN and affiliation not provided to SSRN
Date Posted: April 27, 2009
Last Revised: July 20, 2009
Accepted Paper Series

No-Free-Lunch Equivalences for Exponential Lévy Models Under Convex Constraints on Investment
Mathematical Finance, Vol. 19, Issue 2, pp. 161-187, April 2009
Constantinos Kardaras
affiliation not provided to SSRN
Date Posted: April 27, 2009
Last Revised: April 27, 2009
Accepted Paper Series

Risk Measures on Orlicz Hearts
Mathematical Finance, Vol. 19, Issue 2, pp. 189-214, April 2009
Patrick Cheridito and Tianhui Li
Princeton University and Princeton University
Date Posted: April 27, 2009
Last Revised: May 15, 2009
Accepted Paper Series

An Axiomatization of Quantiles on the Domain of Distribution Functions
Mathematical Finance, Vol. 19, Issue 2, pp. 335-342, April 2009
Christopher Chambers
California Institute of Technology - Division of the Humanities and Social Sciences
Date Posted: April 27, 2009
Last Revised: April 27, 2009
Accepted Paper Series

Continuity of Utility-Maximization with Respect to Preferences
Mathematical Finance, Vol. 19, Issue 2, pp. 237-250, April 2009
Kasper Larsen
Carnegie Mellon University - Department of Mathematical Sciences
Date Posted: April 27, 2009
Last Revised: April 27, 2009
Accepted Paper Series

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