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Wiley-Blackwell: Mathematical Finance

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1.

Portfolio Value-at-Risk with Heavy-Tailed Risk Factors

Mathematical Finance, Vol. 12, pp. 239-269, 2002
Number of pages: 31 Posted: 16 Jan 2003
Accepted Paper Series
Columbia Business School, IBM Research Division and Columbia University - Department of Industrial Engineering and Operations Research (IEOR)
Downloads 42
2.

Put Option Premiums and Coherent Risk Measures

Mathematical Finance, Vol. 12, pp. 135-142, 2002
Number of pages: 8 Posted: 15 Nov 2002
Accepted Paper Series
Cornell University - Samuel Curtis Johnson Graduate School of Management
Downloads 38
3.

Portfolio Management With Constraints

Mathematical Finance, Vol. 17, No. 3, pp. 319-343, July 2007
Number of pages: 25 Posted: 28 Jun 2007
Accepted Paper Series
University of North Carolina (UNC) at Charlotte - The Belk College of Business Administration and Wilfrid Laurier University - School of Business & Economics
Downloads 37
4.

Calibrating a Diffusion Pricing Model with Uncertain Volatility: Regularization and Stability

Mathematical Finance, Vol. 12, pp. 71-87, 2002
Number of pages: 17 Posted: 25 Apr 2002
Accepted Paper Series
Decision Synergy
Downloads 35
5.

Hedging Options: The Malliavin Calculus Approach Versus the Hedging Approach

Mathematical Finance, Vol. 13, pp. 73-84, 2003
Number of pages: 12 Posted: 20 Mar 2003
Accepted Paper Series
Lund University, Department of Economics
Downloads 35
6.

On the Optimal Portfolio for the Exponential Utility Maximization: Remarks to the Six-Author Paper

Mathematical Finance, Vol. 12, No. 2, pp. 125-134, 2002
Number of pages: 10 Posted: 17 Dec 2002
Accepted Paper Series
Universite de Franche-Comte and Université de Franche-Comté - Laboratoire de Mathematiques
Downloads 35
7.

The Squared Ornstein-Uhlenbeck Market

Mathematical Finance, Vol. 14, No. 4, pp. 487-513, October 2004
Number of pages: 27 Posted: 21 Sep 2004
Accepted Paper Series
University of Bath - School of Mathematical Sciences and University of Cambridge - Centre for Mathematical Sciences
Downloads 35
8.

A Comment on Market Free Lunch and Free Lunch

Mathematical Finance, Vol. 16, No. 3, pp. 583-588, July 2006
Number of pages: 6 Posted: 12 Jun 2006
Accepted Paper Series
University of Vienna - Department of Statistics and Decision Support Systems
Downloads 34
9.

Quadratic Term Structure Models for Risk-Free and Defaultable Rates

Mathematical Finance, Vol. 14, No. 4, pp. 515-536, October 2004
Number of pages: 22 Posted: 21 Sep 2004
Accepted Paper Series
Princeton University - Department of Electrical Engineering, Ecole Polytechnique Fédérale de Lausanne and Princeton University - Department of Electrical Engineering
Downloads 34
10.

Large Deviations in Multifactor Portfolio Credit Risk

Mathematical Finance, Vol. 17, No. 3, pp. 345-379, July 2007
Number of pages: 35 Posted: 28 Jun 2007
Accepted Paper Series
Columbia Business School, Korea Advanced Institute of Science and Technology (KAIST) - Department of Mathematical Science and Columbia University - Department of Industrial Engineering and Operations Research (IEOR)
Downloads 33
11.

Interest Rate Dynamics and Consistent Forward Rate Curves

Mathematical Finance, Vol. 9, pp. 323-348, October 1999
Number of pages: 26 Posted: 03 Jun 2004
Accepted Paper Series
Stockholm School of Economics - Swedish House of Finance and Aarhus University
Downloads 32
12.

On the Stability of Continuous-time Portfolio Problems with Stochastic Opportunity Set

Mathematical Finance, Vol. 14, No. 3, pp. 403-414, July 2004
Number of pages: 12 Posted: 23 Jul 2004
Accepted Paper Series
University of Kaiserslautern - Department of Mathematics and Goethe University Frankfurt
Downloads 32
13.

Stock Liquidation via Stochastic Approximation Using NASDAQ Daily and Intra-Day Data

Mathematical Finance, Vol. 16, No. 1, pp. 217-236, January 2006
Number of pages: 20 Posted: 21 Jun 2006
Accepted Paper Series
Wayne State University - Department of Mathematics, University of Georgia - Department of Mathematics, Wayne State University - Department of Mathematics, University of Dayton - Department of Mathematics and Wayne State University - Department of Mathematics
Downloads 32
14.

Theory and Calibration of Swap Market Models

Mathematical Finance, Vol. 17, No. 1, pp. 111-141, January 2007
Number of pages: 31 Posted: 13 Dec 2006
Accepted Paper Series
BNP Paribas Fixed Income, BNP Paribas Fixed Income, University of Geneva GSEM and GFRI and JP Morgan

Multiple version iconThere are 2 versions of this paper

Downloads 32
15.

Hedging under Transaction Costs in Currency Markets: A Continuous-Time Model

Mathematical Finance, Vol. 12, pp. 63-70, 2002
Number of pages: 8 Posted: 22 Dec 2002
Accepted Paper Series
Universite de Franche-Comte and University of Karlsruhe
Downloads 31
16.

Local Vega Index and Variance Reduction Methods

Mathematical Finance, Vol. 13, pp. 85-97, 2003
Number of pages: 13 Posted: 20 Mar 2003
Accepted Paper Series
Lund University, Department of Economics, Universitat Pompeu Fabra - Faculty of Economic and Business Sciences and University of Barcelona - Department de Física Fonamental
Downloads 31
17.

Nonparametric Kernel-Based Sequential Investment Strategies

Mathematical Finance, Vol. 16, No. 2, pp. 337-357, April 2006
Number of pages: 21 Posted: 08 May 2006
Accepted Paper Series
Technical University of Budapest - Dept. of Computer Science and Information Theory, Universitat Pompeu Fabra - Faculty of Economic and Business Sciences and Universitat Pompeu Fabra - Faculty of Economic and Business Sciences
Downloads 31
18.

Efficient Computation of Hedging Portfolios for Options with Discontinuous Payoffs

Mathematical Finance, Vol. 13, pp. 135-151, 2003
Number of pages: 17 Posted: 20 Mar 2003
Accepted Paper Series
California Institute of Technology - Division of the Humanities and Social Sciences, Purdue University - Department of Mathematics and University of Southern California - Department of Mathematics
Downloads 30
19.

Model Uncertanity and its Impact on the Pricing of Derivative Instruments

Mathematical Finance, Vol. 16, No. 3, pp. 519-547, July 2006
Number of pages: 29 Posted: 12 Jun 2006
Accepted Paper Series
Imperial College London
Downloads 30
20.

Multidimensional Portfolio Optimization with Proportional Transaction Costs

Mathematical Finance, Vol. 16, No. 2, pp. 301-335, April 2006
Number of pages: 35 Posted: 08 May 2006
Accepted Paper Series
University of Texas at Austin - McCombs School of Business and Independent
Downloads 30
21.

Optimal Financing of a Corporation Subject to Random Returns

Mathematical Finance, Vol. 12, pp. 155-172, 2002
Number of pages: 18 Posted: 06 Feb 2003
Accepted Paper Series
University of Texas at Dallas - Naveen Jindal School of Management and University of Missouri at Columbia - Department of Mathematics (Deceased)
Downloads 30
22.

Self-Financing Trading Strategies for Sliding, Rolling-Horizon, and Consol Bonds

Mathematical Finance, Vol. 9, pp. 361-385, October 1999
Number of pages: 25 Posted: 17 Jun 2004
Accepted Paper Series
Politechnika Warszawska
Downloads 30
23.

An Axiomatic Approach to Capital Allocation

Mathematical Finance, Vol. 15, No. 3, pp. 425-437, July 2005
Number of pages: 13 Posted: 15 Jun 2005
Accepted Paper Series
Deutsche Bank AG - Risk Management
Downloads 29
24.

Dynamic Indifference Valuation Via Convex Risk Measures

Mathematical Finance, Vol. 17, No. 4, pp. 599-627, October 2007
Number of pages: 29 Posted: 14 Sep 2007
Accepted Paper Series
ETH Zürich and ETH Zürich - Department of Mathematics
Downloads 29
25.

Equilibrium Pricing in the Presence of Cumulative Dividends Following a Diffusion

Mathematical Finance, Vol. 12, pp. 173-198, 2002
Number of pages: 26 Posted: 15 Nov 2002
Accepted Paper Series
Norwegian School of Economics (NHH) - Department of Business and Management Science
Downloads 29
26.

Optimal Malliavin Weighting Function for the Computation of the Greeks

Mathematical Finance, Vol. 13, pp. 37-53, 2003
Number of pages: 17 Posted: 20 Mar 2003
Accepted Paper Series
Université Paris Est - Université Paris Est-Creteil
Downloads 29
27.

Optimal Reinsurance and Dividend Distribution Policies in the Cramer-Lundberg Model

Mathematical Finance, Vol. 15, No. 2, pp. 261-308, April 2005
Number of pages: 48 Posted: 23 Mar 2005
Accepted Paper Series
Universidad Torcuato Di Tella - Departamento de Matemáticas y Estadística and Universidad Torcuato Di Tella
Downloads 29
28.

Valuations and Dynamic Convex Risk Measures

Mathematical Finance, Vol. 18, Issue 1, pp. 1-22, January 2008
Number of pages: 22 Posted: 19 Dec 2007
Accepted Paper Series
affiliation not provided to SSRN and affiliation not provided to SSRN
Downloads 29
29.

A Family of Term-structure Models for Long-term Risk Management and Derivative Pricing

Mathematical Finance, Vol. 14, No. 3, pp. 415-444, July 2004
Number of pages: 30 Posted: 11 Jul 2004
Accepted Paper Series
Heriot-Watt University - Department of Actuarial Science & Statistics
Downloads 28
30.

Analytical Comparisons of Option Prices in Stochastic Volatility Models

Mathematical Finance, Vol. 15, No. 1, pp. 49-59, January 2005
Number of pages: 11 Posted: 30 Dec 2004
Accepted Paper Series
University of Warwick
Downloads 28
31.

Black's Model of Interest Rates as Options, Eigenfunction Expansions and Japanese Interest Rates

Mathematical Finance, Vol. 14, pp. 49-78, January 2004
Number of pages: 30 Posted: 13 Apr 2004
Accepted Paper Series
Northwestern University - Department of Industrial Engineering and Management Sciences and Northwestern University - Department of Industrial Engineering and Management Sciences
Downloads 28
32.

Classical and Impulse Stochastic Control for the Optimization of the Dividend and Risk Policies of an Insurance Firm

Mathematical Finance, Vol. 16, No. 1, pp. 181-202, January 2006
Number of pages: 22 Posted: 21 Jun 2006
Accepted Paper Series
University of Alberta - Department of Mathematical and Statistical Sciences, University of Alberta - Department of Mathematical and Statistical Sciences, University of Missouri at Columbia - Department of Mathematics (Deceased) and Nanyang Technological University (NTU)
Downloads 28
33.

Dynamic Arbitrage-Free Asset Pricing with Proportional Transaction Costs

Mathematical Finance, Vol. 12, No. 1, pp. 89-97, 2002
Number of pages: 9 Posted: 17 Dec 2002
Accepted Paper Series
Xiamen University - School of Economics, Tsinghua University and City University of Hong Kong (CityUHK) - Department of Computer Science
Downloads 28
34.

Explicit Representation of the Minimal Variance Portfolio in Markets Driven by Levy Processes

Mathematical Finance, Vol. 13, pp. 55-72, 2003
Number of pages: 18 Posted: 20 Mar 2003
Accepted Paper Series
University of Oslo - Department of Mathematics, University of Oslo - Department of Mathematics, University of Oslo - Department of Mathematics, University of Oslo - Department of Mathematics and University of Oslo - Department of Mathematics
Downloads 28
35.

How Close are the Option Pricing Formulas of Bachelier and Black-Merton-Scholes?

Mathematical Finance, Vol. 18, Issue 1, pp. 155-170, January 2008
Number of pages: 16 Posted: 19 Dec 2007
Accepted Paper Series
Universität Wien, Fakultät für Mathematik and Vienna University of Technology
Downloads 28
36.

Portfolio Optimization with Downside Constraints

Mathematical Finance, Vol. 16, No. 2, pp. 283-299, April 2006
Number of pages: 17 Posted: 08 May 2006
Accepted Paper Series
New York University (NYU) - Department of Information, Operations, and Management Sciences and Rider University - Management Sciences
Downloads 28
37.

Quantiles of the Euler Scheme for Diffusion Processes and Financial Applications

Mathematical Finance, Vol. 13, pp. 187-199, 2003
Number of pages: 13 Posted: 19 Jan 2003
Accepted Paper Series
French National Institute for Research in Computer Science and Control (INRIA) and Morgan Stanley
Downloads 28
38.

The Price-Volatility Feedback Rate: An Implementable Mathematical Indicator of Market Stability

Mathematical Finance, Vol. 13, pp. 17-35, 2003
Number of pages: 19 Posted: 24 Mar 2003
Accepted Paper Series
University of Pisa - Department of Economics, Academie des Sciences, University of Florence - Department of Economics and Management, University of Verona - Department of Economics and Universitaet Bonn - Institut fuer Angewandte Mathematik
Downloads 28
39.

A Representation Result for Concave Schur Concave Functions

Mathematical Finance, Vol. 15, No. 4, pp. 613-634, October 2005
Number of pages: 22 Posted: 02 Oct 2005
Accepted Paper Series
Université Paris Dauphine - CEREMADE
Downloads 27
40.

Approximating Garch-Jump Models, Jump-Diffusion Processes, and Option Pricing

Mathematical Finance, Vol. 16, No. 1, pp. 21-52, January 2006
Number of pages: 32 Posted: 21 Jun 2006
Accepted Paper Series
National University of Singapore (NUS) - Business School and Risk Management Institute, Case Western Reserve University - Department of Banking & Finance and National City Bank
Downloads 27
41.

Closed-Form Solutions for Optimal Portfolio Selection with Stochastic Interest Rate and Investment Constraints

Mathematical Finance, Vol. 15, No. 4, pp. 539-568, October 2005
Number of pages: 30 Posted: 02 Oct 2005
Accepted Paper Series
Boston University - Department of Finance & Economics and Questrom School of Business, Boston University
Downloads 27
42.

Distribution-Invariant Risk Measures, Information, and Dynamic Consistency

Mathematical Finance, Vol. 16, No. 2, pp. 419-441, April 2006
Number of pages: 23 Posted: 08 May 2006
Accepted Paper Series
ORIE, Cornell University
Downloads 27
43.

Pricing Equity Derivatives Subject to Bankruptcy

Mathematical Finance, Vol. 16, No. 2, pp. 255-282, April 2006
Number of pages: 28 Posted: 08 May 2006
Accepted Paper Series
Northwestern University - Department of Industrial Engineering and Management Sciences
Downloads 27
44.

Pricing General Barrier Options: A Numerical Approach Using Sharp Large Deviations

Mathematical Finance, Vol. 9, pp. 293-321, October 1999
Number of pages: 29 Posted: 17 Jun 2004
Accepted Paper Series
University of Rome I - Department of Mathematics, University of Rome II and University of Perugia - Istituto di Mathmatica Finanziaria
Downloads 27
45.

Principal Component Value at Risk

Mathematical Finance, Vol. 12, pp. 23-43, 2002
Number of pages: 21 Posted: 22 Dec 2002
Accepted Paper Series
University of London - Economics, Mathematics and Statistics, Universidad Autónoma de Madrid - Department of Mathematics, University of Toronto and University of Toronto
Downloads 27
46.

Some Remarks on Arbitrage and Preferences in Securities Market Models

Mathematical Finance, Vol. 14, No. 3, pp. 351-357, July 2004
Number of pages: 7 Posted: 23 Jul 2004
Accepted Paper Series
University of Florence - Dipartimento di Matematica
Downloads 27
47.

The Eigenfunction Expansion Method in Multi-Factor Quadratic Term Structure Models

Mathematical Finance, Vol. 17, No. 4, pp. 503-539, October 2007
Number of pages: 38 Posted: 14 Sep 2007
Accepted Paper Series
Federal Reserve Bank of New York and Calico Science Consulting
Downloads 27
48.

Universal Investment in Markets with Transaction Costs

Mathematical Finance, Vol. 15, No. 2, pp. 359-371, April 2005
Number of pages: 13 Posted: 23 Mar 2005
Accepted Paper Series
Columbia University - Department of Industrial Engineering and Operations Research (IEOR)
Downloads 27
49.

First-Order Schemes in the Numerical Quantization Method

Mathematical Finance, Vol. 13, pp. 1-16, 2003
Number of pages: 16 Posted: 18 Sep 2003
Accepted Paper Series
Independent, Université Paris VI Pierre et Marie Curie and Université Paris VII Denis Diderot
Downloads 26
50.

Malliavin's Calculus in Insider Models: Additional Utility and Free Lunches

Mathematical Finance, Vol. 13, pp. 153-169, 2003
Number of pages: 17 Posted: 20 Mar 2003
Accepted Paper Series
Humboldt University of Berlin - Department of Mathematics
Downloads 26