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Wiley-Blackwell: Mathematical Finance

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Viewing: 1 - 50 of 523 papers

1.

Trading Co‐Integrated Assets with Price Impact

Mathematical Finance, Vol. 29, Issue 2, pp. 542-567, 2019
Number of pages: 26 Posted: 13 Mar 2019
Accepted Paper Series
University of Oxford, University of Toronto and University of Toronto - Department of Statistics
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2.

Affine Multiple Yield Curve Models

Mathematical Finance, Vol. 29, Issue 2, pp. 568-611, 2019
Number of pages: 44 Posted: 13 Mar 2019
Accepted Paper Series
University of Vienna - Faculty of Science and Mathematics, Université Paris VII Denis Diderot and University of Verona - Department of Economics
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3.

Optimal Consumption and Investment Under Transaction Costs

Mathematical Finance, Vol. 29, Issue 2, pp. 483-506, 2019
Number of pages: 24 Posted: 13 Mar 2019
Accepted Paper Series
University of Warwick, Imperial College London and Credit Suisse U.K. Limited
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4.

Optimal Trade Execution in Order Books with Stochastic Liquidity

Mathematical Finance, Vol. 29, Issue 2, pp. 507-541, 2019
Number of pages: 35 Posted: 13 Mar 2019
Accepted Paper Series
Technical University Berlin, Deutsche Bank AG and University of Ulm - Department of Mathematics and Economics
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5.

Static Hedging and Pricing of Exotic Options with Payoff Frames

Mathematical Finance, Vol. 29, Issue 2, pp. 612-658, 2019
Number of pages: 47 Posted: 13 Mar 2019
Accepted Paper Series
Georgia Institute of Technology - The H. Milton Stewart School of Industrial & Systems Engineering (ISyE) and Georgia Institute of Technology - The H. Milton Stewart School of Industrial & Systems Engineering (ISyE)

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6.

Who Should Sell Stocks?

Mathematical Finance, Vol. 29, Issue 2, pp. 448-482, 2019
Number of pages: 35 Posted: 13 Mar 2019
Accepted Paper Series
Boston University - Department of Mathematics and Statistics, ETH Zürich and University of Michigan at Ann Arbor

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7.

Optimal Insurance Under Rank‐Dependent Utility and Incentive Compatibility

Mathematical Finance, Vol. 29, Issue 2, pp. 659-692, 2019
Number of pages: 34 Posted: 13 Mar 2019
Accepted Paper Series
Hong Kong Polytechnic University, Columbia University - Department of Industrial Engineering and Operations Research (IEOR) and University of Nebraska Lincoln
8.

Realization Utility with Adaptive Reference Points

Mathematical Finance, Vol. 29, Issue 2, pp. 409-447, 2019
Number of pages: 39 Posted: 13 Mar 2019
Accepted Paper Series
The Chinese University of Hong Kong - Department of Systems Engineering and Engineering Management and Columbia University - Department of Industrial Engineering and Operations Research (IEOR)

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9.

A Unified Approach to Systemic Risk Measures Via Acceptance Sets

Mathematical Finance, Vol. 29, Issue 1, pp. 329-367, 2019
Number of pages: 39 Posted: 11 Jan 2019
Accepted Paper Series
Ludwig Maximilian University of Munich - Faculty of Mathematics, University of California, Santa Barbara (UCSB), University of Florence - Dipartimento di Matematica and Ludwig Maximilian University of Munich - Faculty of Mathematics
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10.

Corporate Security Prices in Structural Credit Risk Models with Incomplete Information

Mathematical Finance, Vol. 29, Issue 1, pp. 84-116, 2019
Number of pages: 33 Posted: 11 Jan 2019
Accepted Paper Series
University of Vienna, University of Vienna and University of Vienna
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11.

Credit Portfolio Selection with Decaying Contagion Intensities

Mathematical Finance, Vol. 29, Issue 1, pp. 137-173, 2019
Number of pages: 37 Posted: 11 Jan 2019
Accepted Paper Series
University of Science and Technology of China (USTC), Columbia University and The University of Hong Kong

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12.

Distribution‐Constrained Optimal Stopping

Mathematical Finance, Vol. 29, Issue 1, pp. 368-406, 2019
Number of pages: 39 Posted: 11 Jan 2019
Accepted Paper Series
University of Michigan at Ann Arbor - Department of Mathematics and University of California, Berkeley - Department of Mathematics

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13.

Financial Models with Defaultable Numéraires

Mathematical Finance, Vol. 29, Issue 1, pp. 117-136, 2019
Number of pages: 20 Posted: 11 Jan 2019
Accepted Paper Series
Université Paris Sud-Paris Saclay, Laboratoire de Mathématiques et Modélisation d'Évry (LaMME); Université d'Évry-Val-d'Essonne, ENSIIE, Université Paris-Saclay, UMR CNRS 8071 and London School of Economics & Political Science (LSE) - London School of Economics
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14.

The Characteristic Function of Rough Heston Models

Mathematical Finance, Vol. 29, Issue 1, pp. 3-38, 2019
Number of pages: 36 Posted: 11 Jan 2019
Accepted Paper Series
Ecole Polytechnique, Paris and Ecole Polytechnique, Palaiseau
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15.

Backward SDEs for Control with Partial Information

Mathematical Finance, Vol. 29, Issue 1, pp. 208-248, 2019
Number of pages: 41 Posted: 11 Jan 2019
Accepted Paper Series
NYU Tandon School of Engineering, Department of Finance and Risk Engineering
16.

Option Pricing Under Fast‐Varying Long‐Memory Stochastic Volatility

Mathematical Finance, Vol. 29, Issue 1, pp. 39-83, 2019
Number of pages: 45 Posted: 11 Jan 2019
Accepted Paper Series
University of Paris-Saclay - Ecole Polytechnique and University of California
17.

Strict Local Martingales and Optimal Investment in a Black–Scholes Model with a Bubble

Mathematical Finance, Vol. 29, Issue 1, pp. 285-328, 2019
Number of pages: 44 Posted: 11 Jan 2019
Accepted Paper Series
University of Warwick - Department of Statistics and University of Michigan at Ann Arbor

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18.

The Limits of Leverage

Mathematical Finance, Vol. 29, Issue 1, pp. 249-284, 2019
Number of pages: 36 Posted: 11 Jan 2019
Accepted Paper Series
Boston University - Department of Mathematics and Statistics and University of Limerick - Department of Mathematics and Statistics

Multiple version iconThere are 2 versions of this paper

19.

The Optimal Method for Pricing Bermudan Options by Simulation

Mathematical Finance, Vol. 28, Issue 4, pp. 1143-1180, 2018
Number of pages: 38 Posted: 17 Sep 2018
Accepted Paper Series
Comillas Pontifical University and Universidad Carlos III de Madrid - Department of Economics

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20.

The Valuation of American Options in a Multidimensional Exponential Lévy Model

Mathematical Finance, Vol. 28, Issue 4, pp. 1107-1142, 2018
Number of pages: 36 Posted: 17 Sep 2018
Accepted Paper Series
Polish Academy of Sciences and Nicolaus Copernicus University
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21.

Convex Duality for Epstein–Zin Stochastic Differential Utility

Mathematical Finance, Vol. 28, Issue 4, pp. 991-1019, 2018
Number of pages: 29 Posted: 17 Sep 2018
Accepted Paper Series
Ecole Polytechnique, Paris and London School of Economics & Political Science (LSE)

Multiple version iconThere are 2 versions of this paper

22.

Risk Management with Weighted VAR

Mathematical Finance, Vol. 28, Issue 4, pp. 1020-1060, 2018
Number of pages: 41 Posted: 17 Sep 2018
Accepted Paper Series
University of New South Wales (UNSW) - ARC Centre of Excellence in Population Ageing Research (CEPAR)

Multiple version iconThere are 2 versions of this paper

23.

Semi‐Efficient Valuations and Put‐Call Parity

Mathematical Finance, Vol. 28, Issue 4, pp. 1061-1106, 2018
Number of pages: 46 Posted: 17 Sep 2018
Accepted Paper Series
University of Warwick - Department of Statistics and ETH Zurich

Multiple version iconThere are 2 versions of this paper

24.

Error Analysis of Finite Difference and Markov Chain Approximations for Option Pricing

Mathematical Finance, Vol. 28, Issue 3, pp. 877-919, 2018
Number of pages: 43 Posted: 14 Jun 2018
Accepted Paper Series
The Chinese University of Hong Kong and Wuhan University
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25.

Consistent Recalibration of Yield Curve Models

Mathematical Finance, Vol. 28, Issue 3, pp. 757-799, 2018
Number of pages: 43 Posted: 14 Jun 2018
Accepted Paper Series
University of Freiburg - Institut für Mathematische Stochastik, affiliation not provided to SSRN, ETH Zurich and RiskLab Finland
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26.

Liquidity Effects of Trading Frequency

Mathematical Finance, Vol. 28, Issue 3, pp. 839-876, 2018
Number of pages: 38 Posted: 14 Jun 2018
Accepted Paper Series
University of Michigan at Ann Arbor and University of Michigan at Ann Arbor
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27.

On the Market Viability Under Proportional Transaction Costs

Mathematical Finance, Vol. 28, Issue 3, pp. 800-838, 2018
Number of pages: 39 Posted: 14 Jun 2018
Accepted Paper Series
University of Michigan at Ann Arbor - Department of Mathematics and Hong Kong Polytechnic University

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28.

Analytical Approximations of Local‐Heston Volatility Model and Error Analysis

Mathematical Finance, Vol. 28, Issue 3, pp. 920-961, 2018
Number of pages: 42 Posted: 14 Jun 2018
Accepted Paper Series
affiliation not provided to SSRN and Ecole Polytechnique, Paris - Centre de Mathematiques Appliquees
29.

Option Pricing in the Moderate Deviations Regime

Mathematical Finance, Vol. 28, Issue 3, pp. 962-988, 2018
Number of pages: 27 Posted: 14 Jun 2018
Accepted Paper Series
Technische Universität Berlin (TU Berlin), Vienna University of Technology and Vienna University of Technology

Multiple version iconThere are 2 versions of this paper

30.

A Note on the Long Rate in Factor Models of the Term Structure

Mathematical Finance, Vol. 28, Issue 2, pp. 656-667, 2018
Number of pages: 12 Posted: 16 Mar 2018
Accepted Paper Series
University of Amsterdam

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31.

Arbitrage‐Free XVA

Mathematical Finance, Vol. 28, Issue 2, pp. 582-620, 2018
Number of pages: 39 Posted: 16 Mar 2018
Accepted Paper Series
Johns Hopkins University, Columbia University and Worcester Polytechnic Institute (WPI) - Department of Mathematical Sciences

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32.

Conic Martingales from Stochastic Integrals

Mathematical Finance, Vol. 28, Issue 2, pp. 516-535, 2018
Number of pages: 20 Posted: 16 Mar 2018
Accepted Paper Series
Université d'Évry - Departement de Mathematiques and Louvain Finance Center (LFIN), UC Louvain

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33.

On American VIX Options Under the Generalized 3/2 and 1/2 Models

Mathematical Finance, Vol. 28, Issue 2, pp. 550-581, 2018
Number of pages: 32 Posted: 16 Mar 2018
Accepted Paper Series
Boston University and Boston University - Questrom School of Business
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34.

On the C‐Property and ‐Representations of Risk Measures

Mathematical Finance, Vol. 28, Issue 2, pp. 748-754, 2018
Number of pages: 7 Posted: 16 Mar 2018
Accepted Paper Series
Southwest Jiaotong University - School of Mathematics and Ryerson University
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35.

Optimal Cash Holdings Under Heterogeneous Beliefs

Mathematical Finance, Vol. 28, Issue 2, pp. 712-747, 2018
Number of pages: 36 Posted: 16 Mar 2018
Accepted Paper Series
Cornell SC Johnson College of Business, Cornell University - School of Operations Research and Industrial Engineering and Cornell University
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36.

Small‐Cost Asymptotics for Long‐Term Growth Rates in Incomplete Markets

Mathematical Finance, Vol. 28, Issue 2, pp. 668-711, 2018
Number of pages: 44 Posted: 16 Mar 2018
Accepted Paper Series
University of Lausanne and University of Trier
Downloads 1
37.

Super‐Replication in Fully Incomplete Markets

Mathematical Finance, Vol. 28, Issue 2, pp. 483-515, 2018
Number of pages: 33 Posted: 16 Mar 2018
Accepted Paper Series
Hebrew University of Jerusalem and ETH Zurich
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38.

Fair Bilateral Pricing Under Funding Costs and Exogenous Collateralization

Mathematical Finance, Vol. 28, Issue 2, pp. 621-655, 2018
Number of pages: 35 Posted: 16 Mar 2018
Accepted Paper Series
Shandong University and The University of Sydney - School of Mathematics and Statistics
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39.

On Peacocks and Lyrebirds: Australian Options, Brownian Bridges, and the Average of Submartingales

Mathematical Finance, Vol. 28, Issue 2, pp. 536-549, 2018
Number of pages: 14 Posted: 16 Mar 2018
Accepted Paper Series
University of Glasgow and Université Paris VI Pierre et Marie Curie
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40.

Shareholder Risk Measures

Mathematical Finance, Vol. 28, Issue 1, pp. 5-28, 2018
Number of pages: 24 Posted: 17 Jan 2018
Accepted Paper Series
University of Zurich and University of Zurich
Downloads 3
41.

Dynamic Defaultable Term Structure Modeling Beyond the Intensity Paradigm

Mathematical Finance, Vol. 28, Issue 1, pp. 211-239, 2018
Number of pages: 29 Posted: 17 Jan 2018
Accepted Paper Series
University of Freiburg and University of Freiburg
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42.

Investing with Liquid and Illiquid Assets

Mathematical Finance, Vol. 28, Issue 1, pp. 119-152, 2018
Number of pages: 34 Posted: 17 Jan 2018
Accepted Paper Series
Johns Hopkins University and Boston University - Department of Mathematics and Statistics

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43.

Profit Sharing in Hedge Funds

Mathematical Finance, Vol. 28, Issue 1, pp. 50-81, 2018
Number of pages: 32 Posted: 17 Jan 2018
Accepted Paper Series
The Chinese University of Hong Kong - Department of Systems Engineering and Engineering Management and Boston University

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44.

Asymptotic Equivalence of Risk Measures Under Dependence Uncertainty

Mathematical Finance, Vol. 28, Issue 1, pp. 29-49, 2018
Number of pages: 21 Posted: 17 Jan 2018
Accepted Paper Series
University of Waterloo - Department of Statistics and Actuarial Science, Michigan State University - Department of Mathematics and University of Waterloo - Department of Statistics and Actuarial Science

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45.

Bounding Wrong‐Way Risk in CVA Calculation

Mathematical Finance, Vol. 28, Issue 1, pp. 268-305, 2018
Number of pages: 38 Posted: 17 Jan 2018
Accepted Paper Series
Columbia Business School and Columbia University - Department of Industrial Engineering and Operations Research (IEOR)

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46.

Convergence of a Least‐Squares Monte Carlo Algorithm for American Option Pricing with Dependent Sample Data

Mathematical Finance, Vol. 28, Issue 1, pp. 447-479, 2018
Number of pages: 33 Posted: 17 Jan 2018
Accepted Paper Series
SRI International
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47.

Indifference Prices and Implied Volatilities

Mathematical Finance, Vol. 28, Issue 1, pp. 372-408, 2018
Number of pages: 37 Posted: 17 Jan 2018
Accepted Paper Series
University of Washington - Applied Mathematics
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48.

Indifference Pricing for Contingent Claims: Large Deviations Effects

Mathematical Finance, Vol. 28, Issue 1, pp. 335-371, 2018
Number of pages: 37 Posted: 17 Jan 2018
Accepted Paper Series
Questrom School of Business, Boston University and Boston University
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49.

International Reserve Management: A Drift‐Switching Reflected Jump‐Diffusion Model

Mathematical Finance, Vol. 28, Issue 1, pp. 409-446, 2018
Number of pages: 38 Posted: 17 Jan 2018
Accepted Paper Series
Department of Industrial Engineering and Decision Analytics, Hong Kong University of Science and Technology and Nanjing University - School of Management and Engineering

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50.

Liquidation of an Indivisible Asset with Independent Investment

Mathematical Finance, Vol. 28, Issue 1, pp. 153-176, 2018
Number of pages: 24 Posted: 17 Jan 2018
Accepted Paper Series
Ecole Polytechnique, Paris, Ecole Polytechnique, Paris and Ecole Polytechnique, Paris
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