Printed from https://ideas.repec.org/s/taf/apmtfi.html
Content
November 2023, Volume 30, Issue 6
- 275-312 Risk Valuation of Quanto Derivatives on Temperature and Electricity
by Aurélien Alfonsi & Nerea Vadillo - 313-353 Mean-variance Dynamic Portfolio Allocation with Transaction Costs: A Wiener Chaos Expansion Approach
by Areski Cousin & J. Lelong & T. Picard
September 2023, Volume 30, Issue 5
- 231-248 Buy and Hold Golden Strategies in Financial Markets with Frictions and Depth Constraints
by Alejandro Balbás & Beatriz Balbás & Raquel Balbás - 249-274 On the Implied Volatility of Asian Options Under Stochastic Volatility Models
by Elisa Alòs & Eulalia Nualart & Makar Pravosud
July 2023, Volume 30, Issue 4
- 175-206 Price Impact Without Averaging
by Claudio Bellani & Damiano Brigo & Mikko S. Pakkanen & Leandro Sánchez-Betancourt - 207-230 Monte Carlo Simulation for Trading Under a Lévy-Driven Mean-Reverting Framework
by Tim Leung & Kevin W. Lu
May 2023, Volume 30, Issue 3
- 123-152 Short-Time Asymptotics for Non-Self-Similar Stochastic Volatility Models
by Giacomo Giorgio & Barbara Pacchiarotti & Paolo Pigato - 153-174 Robust Risk-Aware Option Hedging
by David Wu & Sebastian Jaimungal
March 2023, Volume 30, Issue 2
- 69-93 Predictable Losses of Liquidity Provision in Constant Function Markets and Concentrated Liquidity Markets
by Álvaro Cartea & Fayçal Drissi & Marcello Monga - 94-121 Simulation of Arbitrage-Free Implied Volatility Surfaces
by Rama Cont & Milena Vuletić
January 2023, Volume 30, Issue 1
- 1-46 Arbitrage-Free Neural-SDE Market Models
by Samuel N. Cohen & Christoph Reisinger & Sheng Wang - 47-67 On the Skew and Curvature of the Implied and Local Volatilities
by Elisa Alòs & David García-Lorite & Makar Pravosud
November 2022, Volume 29, Issue 6
- 439-456 Policy Gradient Learning Methods for Stochastic Control with Exit Time and Applications to Share Repurchase Pricing
by Mohamed Hamdouche & Pierre Henry-Labordere & Huyên Pham - 457-493 Solvability of Differential Riccati Equations and Applications to Algorithmic Trading with Signals
by Fayçal Drissi - 494-521 Exchange Option Pricing Under Variance Gamma-Like Models
by Matteo Gardini & Piergiacomo Sabino
September 2022, Volume 29, Issue 5
- 331-365 Accelerated Share Repurchases Under Stochastic Volatility
by Nikhil Krishnan & Ronnie Sircar - 366-401 Hedging Option Books Using Neural-SDE Market Models
by Samuel N. Cohen & Christoph Reisinger & Sheng Wang - 402-438 Multi-Period Mean Expected-Shortfall Strategies: ‘Cut Your Losses and Ride Your Gains’
by Peter A. Forsyth & Kenneth R. Vetzal
July 2022, Volume 29, Issue 4
- 227-260 Electricity Intraday Price Modelling with Marked Hawkes Processes
by Thomas Deschatre & Pierre Gruet - 261-287 Optimal Execution with Identity Optionality
by René Carmona & Claire Zeng - 288-330 Strategic Execution Trajectories
by Giuliana Bordigoni & Alessio Figalli & Anthony Ledford & Philipp Ustinov
May 2022, Volume 29, Issue 3
- 181-212 Optimal Execution: A Review
by Ryan Donnelly - 213-226 Valuation of European Options Under an Uncertain Market Price of Volatility Risk
by Bartosz Jaroszkowski & Max Jensen
March 2022, Volume 29, Issue 2
- 79-109 On Regularized Optimal Execution Problems and Their Singular Limits
by Max O. Souza & Y. Thamsten - 110-140 Solving High-Dimensional Optimal Stopping Problems Using Optimization Based Model Order Reduction
by Martin Redmann - 141-179 The Impact of Stochastic Volatility on Initial Margin and MVA for Interest Rate Derivatives
by J. H. Hoencamp & J. P. de Kort & B. D. Kandhai
January 2022, Volume 29, Issue 1
- 1-32 The Role of Binance in Bitcoin Volatility Transmission
by Carol Alexander & Daniel F. Heck & Andreas Kaeck - 33-61 Pricing the Excess Volatility in Foreign Exchange Risk Premium and Forward Rate Bias
by Tina T. Swan & Bruce Q. Swan & Xinfu Chen - 62-78 Deep Q-Learning for Nash Equilibria: Nash-DQN
by Philippe Casgrain & Brian Ning & Sebastian Jaimungal
November 2021, Volume 28, Issue 6
- 477-507 Expected Utility Theory on General Affine GARCH Models
by Marcos Escobar-Anel & Ben Spies & Rudi Zagst - 508-533 On the Valuation of Discrete Asian Options in High Volatility Environments
by Sascha Desmettre & Jörg Wenzel - 534-559 Semi-Robust Replication of Barrier-Style Claims on Price and Volatility
by Peter Carr & Roger Lee & Matthew Lorig
September 2021, Volume 28, Issue 5
- 381-394 Static Replication of European Multi-Asset Options with Homogeneous Payoff
by Sébastien Bossu - 395-448 Fragmentation, Price Formation and Cross-Impact in Bitcoin Markets
by Jakob Albers & Mihai Cucuringu & Sam Howison & Alexander Y. Shestopaloff - 449-475 On a Neural Network to Extract Implied Information from American Options
by Shuaiqiang Liu & Álvaro Leitao & Anastasia Borovykh & Cornelis W. Oosterlee
July 2021, Volume 28, Issue 4
- 299-329 Unbiased Deep Solvers for Linear Parametric PDEs
by Marc Sabate Vidales & David Šiška & Lukasz Szpruch - 330-360 KrigHedge: Gaussian Process Surrogates for Delta Hedging
by Mike Ludkovski & Yuri Saporito - 361-380 Double Deep Q-Learning for Optimal Execution
by Brian Ning & Franco Ho Ting Lin & Sebastian Jaimungal
May 2021, Volume 28, Issue 3
- 201-235 Risk Neutral Jump Arrival Rates Implied in Option Prices and Their Models
by Dilip B. Madan & King Wang - 236-274 Structural Clustering of Volatility Regimes for Dynamic Trading Strategies
by Arjun Prakash & Nick James & Max Menzies & Gilad Francis - 275-298 Trading Signals in VIX Futures
by Marco Avellaneda & Thomas Nanfeng Li & Andrew Papanicolaou & Gaozhan Wang
March 2021, Volume 28, Issue 2
- 101-142 Closed-form Approximations in Multi-asset Market Making
by Philippe Bergault & David Evangelista & Olivier Guéant & Douglas Vieira - 143-177 Heterogeneity and Competition in Fragmented Markets: Fees Vs Speed
by Jose S. Penalva & Mikel Tapia - 178-199 A Bivariate Normal Inverse Gaussian Process with Stochastic Delay: Efficient Simulations and Applications to Energy Markets
by Matteo Gardini & Piergiacomo Sabino & Emanuela Sasso
January 2021, Volume 28, Issue 1
- 1-22 Fast Pricing of Energy Derivatives with Mean-Reverting Jump-diffusion Processes
by Piergiacomo Sabino & Nicola Cufaro Petroni - 23-47 Explicit Representations for Utility Indifference Prices
by Markus Hess - 48-78 A Structural Approach to Default Modelling with Pure Jump Processes
by Jean-Philippe Aguilar & Nicolas Pesci & Victor James - 79-95 Deep Learning for Market by Order Data
by Zihao Zhang & Bryan Lim & Stefan Zohren - 96-99 Correction
by The Editors
November 2020, Volume 27, Issue 6
- 457-494 Non-parametric Pricing and Hedging of Exotic Derivatives
by Terry Lyons & Sina Nejad & Imanol Perez Arribas - 495-520 Spiking the Volatility Punch
by Peter Carr & Gianna Figà-Talamanca - 520-548 Counterparty Credit Limits: The Impact of a Risk-Mitigation Measure on Everyday Trading
by Martin D. Gould & Nikolaus Hautsch & Sam D. Howison & Mason A. Porter - 550-582 Hedging Strategies in Commodity Markets – Rolling Intrinsic and Delta Hedging for Virtual Power Plants
by Richard Biegler-König
September 2020, Volume 27, Issue 5
- 345-373 Detecting and Repairing Arbitrage in Traded Option Prices
by Samuel N. Cohen & Christoph Reisinger & Sheng Wang - 374-395 Sequential Hypothesis Testing in Machine Learning, and Crude Oil Price Jump Size Detection
by Michael Roberts & Indranil SenGupta - 396-421 A Multiple Curve Lévy Swap Market Model
by Ernst Eberlein & Christoph Gerhart & Eva Lütkebohmert - 422-456 Smart Indexing Under Regime-Switching Economic States
by Chanaka Edirisinghe & Yonggan Zhao
July 2020, Volume 27, Issue 4
- 265-287 Optimal Hedging in Incomplete Markets
by George Bouzianis & Lane P. Hughston - 288-316 Is the Variance Swap Rate Affine in the Spot Variance? Evidence from S&P500 Data
by M.E. Mancino & S. Scotti & G. Toscano - 317-344 Optimal Trading with Differing Trade Signals
by Ryan Donnelly & Matthew Lorig
May 2020, Volume 27, Issue 3
- 171-188 Additive Processes with Bilateral Gamma Marginals
by Dilip B. Madan & King Wang - 189-206 Electricity Price Forecasting with Neural Networks on EPEX Order Books
by Simon Schnürch & Andreas Wagner - 207-227 Exact Simulation of Variance Gamma-Related OU Processes: Application to the Pricing of Energy Derivatives
by Piergiacomo Sabino - 228-263 American Strangle Options
by Shi Qiu
July 2020, Volume 27, Issue 1-2
- 1-45 Optimal Market Making under Partial Information with General Intensities
by Luciano Campi & Diego Zabaljauregui - 46-66 Numerical Ross Recovery for Diffusion Processes Using a PDE Approach
by Lina von Sydow & Johan Walden - 67-98 Spoofing and Price Manipulation in Order-Driven Markets
by Álvaro Cartea & Sebastian Jaimungal & Yixuan Wang - 99-131 Optimal Generation and Trading in Solar Renewable Energy Certificate (SREC) Markets
by Arvind Shrivats & Sebastian Jaimungal - 132-170 Limit Order Books, Diffusion Approximations and Reflected SPDEs: From Microscopic to Macroscopic Models
by Ben Hambly & Jasdeep Kalsi & James Newbury
November 2019, Volume 26, Issue 6
- 523-582 Network Effects in Default Clustering for Large Systems
by Konstantinos Spiliopoulos & Jia Yang - 583-597 Numerical Method for Model-free Pricing of Exotic Derivatives in Discrete Time Using Rough Path Signatures
by Terry Lyons & Sina Nejad & Imanol Perez Arribas - 598-618 Portfolio Optimization for Credit-Risky Assets under Marshall–Olkin Dependence
by Jan-Frederik Mai
September 2019, Volume 26, Issue 5
- 387-452 Deep Reinforcement Learning for Market Making in Corporate Bonds: Beating the Curse of Dimensionality
by Olivier Guéant & Iuliia Manziuk - 453-474 Polynomial Processes for Power Prices
by Tony Ware - 475-522 Structural Electricity Models and Asymptotically Normal Estimators to Quantify Parameter Risk
by Cord Harms & Rüdiger Kiesel
July 2019, Volume 26, Issue 4
- 293-327 Generalised Lyapunov Functions and Functionally Generated Trading Strategies
by Johannes Ruf & Kangjianan Xie - 328-358 High-dimensional Statistical Arbitrage with Factor Models and Stochastic Control
by Jorge Guijarro-Ordonez - 359-386 A Copula-based Markov Reward Approach to the Credit Spread in the European Union
by Guglielmo D’Amico & Filippo Petroni & Philippe Regnault & Stefania Scocchera & Loriano Storchi
May 2019, Volume 26, Issue 3
- 187-221 Short Maturity Forward Start Asian Options in Local Volatility Models
by Dan Pirjol & Jing Wang & Lingjiong Zhu - 222-256 Dual Representation of the Cost of Designing a Portfolio Satisfying Multiple Risk Constraints
by Géraldine Bouveret - 257-292 Higher-order Discretization Methods of Forward-backward SDEs Using KLNV-scheme and Their Applications to XVA Pricing
by Syoiti Ninomiya & Yuji Shinozaki
March 2019, Volume 26, Issue 2
- 101-130 Hedging the Risk of Delayed Data in Defaultable Markets
by Ramin Okhrati - 131-152 On Carr and Lee’s Correlation Immunization Strategy
by Jimin Lin & Matthew Lorig - 153-185 Mean-Field Game Strategies for Optimal Execution
by Xuancheng Huang & Sebastian Jaimungal & Mojtaba Nourian
January 2019, Volume 26, Issue 1
- 1-37 Optimal Asset Allocation for Retirement Saving: Deterministic Vs. Time Consistent Adaptive Strategies
by Peter A. Forsyth & Kenneth R. Vetzal - 38-68 A Mathematical Analysis of Technical Analysis
by Matthew Lorig & Zhou Zhou & Bin Zou - 69-100 Non-Linear Interactions and Exchange Rate Prediction: Empirical Evidence Using Support Vector Regression
by Peng Yaohao & Pedro Henrique Melo Albuquerque
November 2018, Volume 25, Issue 5-6
- 411-433 Modelling Credit Risk in the Jump Threshold Framework
by Chun-Yuan Chiu & Alec Kercheval - 434-465 Transition Probability of Brownian Motion in the Octant and its Application to Default Modelling
by Vadim Kaushansky & Alexander Lipton & Christoph Reisinger - 466-482 Real-World Scenarios With Negative Interest Rates Based on the LIBOR Market Model
by Sara Dutra Lopes & Carlos Vázquez - 483-510 The Optimal Interaction between a Hedge Fund Manager and Investor
by Hugo Eduardo Ramirez & Paul Johnson & Peter Duck & Sydney Howell - 511-532 Diffusion Equations: Convergence of the Functional Scheme Derived from the Binomial Tree with Local Volatility for Non Smooth Payoff Functions
by Julien Baptiste & Emmanuel Lépinette - 533-556 Hybrid Lévy Models: Design and Computational Aspects
by Ernst Eberlein & Marcus Rudmann - 557-585 Log-Optimal Portfolios with Memory Effect
by Zsolt Nika & Miklos Rásonyi
July 2018, Volume 25, Issue 4
- 315-335 Risk-Neutral Pricing and Hedging of In-Play Football Bets
by Peter Divos & Sebastian Del Bano Rollin & Zsolt Bihari & Tomaso Aste - 336-360 Sovereign CDS Calibration Under a Hybrid Sovereign Risk Model
by Sidy Diop & Andrea Pascucci & Marco Di Francesco & Gian Luca De Marchi - 361-388 Portfolio Optimization under Fast Mean-Reverting and Rough Fractional Stochastic Environment
by Jean-Pierre Fouque & Ruimeng Hu - 389-409 Option Pricing in Illiquid Markets with Jumps
by José M. T. S. Cruz & Daniel Ševčovič - 395-415 Option Pricing in Illiquid Markets with Jumps
by José M. T. S. Cruz & Daniel Ševčovič
May 2018, Volume 25, Issue 3
- 213-246 Volatility Targeting Using Delayed Diffusions
by Lorenzo Torricelli - 247-267 A numerically efficient closed-form representation of mean-variance hedging for exponential additive processes based on Malliavin calculus
by Takuji Arai & Yuto Imai - 268-294 Outperformance and Tracking: Dynamic Asset Allocation for Active and Passive Portfolio Management
by Ali Al-Aradi & Sebastian Jaimungal - 295-314 Extended Gini-Type Measures of Risk and Variability
by Mohammed Berkhouch & Ghizlane Lakhnati & Marcelo Brutti Righi
March 2018, Volume 25, Issue 2
- 107-147 Optimal Decisions in a Time Priority Queue
by Ryan Donnelly & Luhui Gan - 148-179 Approximation of Non-Lipschitz SDEs by Picard Iterations
by Julien Baptiste & Julien Grepat & Emmanuel Lepinette - 180-212 Dynamic Index Tracking and Risk Exposure Control Using Derivatives
by Tim Leung & Brian Ward
January 2018, Volume 25, Issue 1
- 1-35 Enhancing trading strategies with order book signals
by Álvaro Cartea & Ryan Donnelly & Sebastian Jaimungal - 36-65 A non-Gaussian Ornstein–Uhlenbeck model for pricing wind power futures
by Fred Espen Benth & Anca Pircalabu - 66-106 Optimal Expected-Shortfall Portfolio Selection with Copula-Induced Dependence
by Irène Gijbels & Klaus Herrmann
November 2017, Volume 24, Issue 6
- 485-519 Modelling stochastic skew of FX options using SLV models with stochastic spot/vol correlation and correlated jumps
by Andrey Itkin - 520-546 Two asset-barrier option under stochastic volatility
by Barbara Goetz & Marcos Escobar & Rudi Zagst - 547-574 Third-order short-time expansions for close-to-the-money option prices under the CGMY model
by José E. Figueroa-López & Ruoting Gong & Christian Houdré
September 2017, Volume 24, Issue 5
- 387-416 Optimal portfolio execution under time-varying liquidity constraints
by Hua-Yi Lin & Arash Fahim - 417-450 Price manipulation in a market impact model with dark pool
by Florian Klöck & Alexander Schied & Yuemeng Sun - 451-484 Utility maximization under risk constraints and incomplete information for a market with a change point
by Oliver Janke
July 2017, Volume 24, Issue 4
- 281-301 The affine inflation market models
by Stefan Waldenberger - 302-336 On the modelling of nested risk-neutral stochastic processes with applications in insurance
by S. N. Singor & A. Boer & J. S. C. Alberts & C. W. Oosterlee - 337-386 Robust barrier option pricing by frame projection under exponential Lévy dynamics
by J. Lars Kirkby
May 2017, Volume 24, Issue 3
- 175-215 A dimension and variance reduction Monte-Carlo method for option pricing under jump-diffusion models
by Duy-Minh Dang & Kenneth R. Jackson & Scott Sues - 216-245 Optimal accelerated share repurchases
by S. Jaimungal & D. Kinzebulatov & D. H. Rubisov - 246-279 Risk measuring under liquidity risk
by Erindi Allaj
March 2017, Volume 24, Issue 2
- 77-111 Portfolio selection in discrete time with transaction costs and power utility function: a perturbation analysis
by Gary Quek & Colin Atkinson - 112-154 Optimal market making
by Olivier Guéant - 155-173 Financial jeopardy
by Dilip B. Madan
January 2017, Volume 24, Issue 1
- 1-22 Sharper asset ranking from total drawdown durations
by Damien Challet - 23-37 Martingale property of exponential semimartingales: a note on explicit conditions and applications to asset price and Libor models
by David Criens & Kathrin Glau & Zorana Grbac - 38-75 Regime-switching stochastic volatility model: estimation and calibration to VIX options
by Stéphane Goutte & Amine Ismail & Huyên Pham
November 2016, Volume 23, Issue 6
- 409-444 A moment-based analytic approximation of the risk-neutral density of American options
by J. C. Arismendi & Marcel Prokopczuk - 445-464 Eurodollar futures pricing in log-normal interest rate models in discrete time
by Dan Pirjol - 465-483 Optimal prediction of resistance and support levels
by T. De Angelis & G. Peskir - 484-504 Skewness Term-Structure Tests
by Thorsten Lehnert & Yuehao Lin
September 2016, Volume 23, Issue 5
- 323-343 Market calibration under a long memory stochastic volatility model
by Jan Pospíšil & Tomáš Sobotka - 344-373 Pricing timer options and variance derivatives with closed-form partial transform under the 3/2 model
by Wendong Zheng & Pingping Zeng - 374-408 Analysis of VIX Markets with a Time-Spread Portfolio
by A. Papanicolaou
July 2016, Volume 23, Issue 4
- 261-277 Closed form equilibrium evaluation of interest rate caps and related derivatives in a real business cycle setting
by Jostein Tvedt - 278-308 Indifference fee rate for variable annuities
by Etienne Chevalier & Thomas Lim & Ricardo Romo Romero - 309-322 Long-Range Dependence in the Risk-Neutral Measure for the Market on Lehman Brothers Collapse
by Young Shin Kim
May 2016, Volume 23, Issue 3
- 175-196 Counterparty Credit Exposures for Interest Rate Derivatives using the Stochastic Grid Bundling Method
by Patrik Karlsson & Shashi Jain & Cornelis W. Oosterlee - 197-235 Approximate indifference pricing in exponential Lévy models
by Clément Ménassé & Peter Tankov - 236-260 Computation of Greeks in LIBOR models driven by time–inhomogeneous Lévy processes
by Ernst Eberlein & M’hamed Eddahbi & S. M. Lalaoui Ben Cherif
March 2016, Volume 23, Issue 2
- 81-134 Pitfalls of the Fourier Transform Method in Affine Models, and Remedies
by Sergei Levendorskiĭ - 135-157 Small-Maturity Asymptotics for the At-The-Money Implied Volatility Slope in Lévy Models
by Stefan Gerhold & I. Cetin Gülüm & Arpad Pinter - 158-173 On the Method of Optimal Portfolio Choice by Cost-Efficiency
by Ludger Rüschendorf & Viktor Wolf
March 2016, Volume 23, Issue 1
- 1-21 Pricing Occupation-Time Options in a Mixed-Exponential Jump-Diffusion Model
by Djilali Ait Aoudia & Jean-François Renaud - 22-56 Optimal Partial Proxy Method for Computing Gammas of Financial Products with Discontinuous and Angular Payoffs
by Mark S. Joshi & Dan Zhu - 57-79 Liquidity Costs: A New Numerical Methodology and an Empirical Study
by Christophe Michel & Victor Reutenauer & Denis Talay & Etienne Tanré
December 2015, Volume 22, Issue 6
- 499-521 A Reduced-Form Model for Valuing Bonds with Make-Whole Call Provisions
by Min Park & Steven P. Clark - 522-552 Dimension and variance reduction for Monte Carlo methods for high-dimensional models in finance
by Duy-Minh Dang & Kenneth R. Jackson & Mohammadreza Mohammadi - 553-575 Pricing Perpetual American Compound Options under a Matrix-Exponential Jump-Diffusion Model
by Ming-Chi Chang & Yuan-Chung Sheu & Ming-Yao Tsai
November 2015, Volume 22, Issue 5
- 399-420 Pricing of Defaultable Bonds with Random Information Flow
by Dorje C. Brody & Yan Tai Law - 421-449 Pricing Exotic Discrete Variance Swaps under the 3/2-Stochastic Volatility Models
by Chi Hung Yuen & Wendong Zheng & Yue Kuen Kwok - 450-462 Perpetual Exchange Options under Jump-Diffusion Dynamics
by Gerald H. L. Cheang & Guanghua Lian - 463-498 Recursive Marginal Quantization of the Euler Scheme of a Diffusion Process
by Gilles Pagès & Abass Sagna
September 2015, Volume 22, Issue 4
- 297-335 Game Options Analysis of the Information Role of Call Policies in Convertible Bonds
by Leung & Nan Chen & Kwok - 336-365 Optimal Execution and Block Trade Pricing: A General Framework
by Olivier Guéant - 366-398 A Hybrid Model for Pricing and Hedging of Long-dated Bonds
by Jan Baldeaux & Fung & Katja Ignatieva & Eckhard Platen
July 2015, Volume 22, Issue 3
- 207-237 ADI Schemes for Pricing American Options under the Heston Model
by Tinne Haentjens & Karel J. in 't Hout - 238-260 The British Lookback Option with Fixed Strike
by Yerkin Kitapbayev - 261-295 Semi-Markov Model for Market Microstructure
by Pietro Fodra & Huyên Pham
April 2015, Volume 22, Issue 2
- 105-132 A Note on Dual-Curve Construction: Mr. Crab's Bootstrap
by Roberto Baviera & Alessandro Cassaro - 133-161 Pricing Path-Dependent Options with Discrete Monitoring under Time-Changed Lévy Processes
by Yuji Umezawa & Akira Yamazaki - 162-188 Implied Volatility of Leveraged ETF Options
by Tim Leung & Ronnie Sircar - 189-206 Stochastic Models for Oil Prices and the Pricing of Futures on Oil
by Mohammed A. Aba Oud & Joanna Goard
March 2015, Volume 22, Issue 1
- 1-27 Semi-analytical Pricing of Currency Options in the Heston/CIR Jump-Diffusion Hybrid Model
by Rehez Ahlip & Marek Rutkowski - 28-62 Pricing of Spread Options on a Bivariate Jump Market and Stability to Model Risk
by Fred Espen Benth & Giulia Di Nunno & Asma Khedher & Maren Diane Schmeck - 63-82 Effect of Volatility Clustering on Indifference Pricing of Options by Convex Risk Measures
by Rohini Kumar - 83-98 A New Variance Reduction Technique for Estimating Value-at-Risk
by Ralf Korn & Mykhailo Pupashenko - 99-103 Correction: Exchange Option under Jump-diffusion Dynamics
by Ruggero Caldana & Gerald H. L. Cheang & Carl Chiarella & Gianluca Fusai
December 2014, Volume 21, Issue 6
- 483-522 Implied Filtering Densities on the Hidden State of Stochastic Volatility
by Carlos Fuertes & Andrew Papanicolaou - 523-554 Re-specification of Affine Term Structure Models: The Linkage to Empirical Investigations
by Ting Ting Huang & Bruce Qiang Sun & Xinfu Chen - 555-594 Stochastic Correlation and Volatility Mean-reversion - Empirical Motivation and Derivatives Pricing via Perturbation Theory
by Marcos Escobar & Barbara G�tz & Daniela Neykova & Rudi Zagst - 595-613 Asymptotic Solutions for Australian Options with Low Volatility
by Sai Hung Marten Ting & Christian-Oliver Ewald
November 2014, Volume 21, Issue 5
- 399-416 Option Pricing with Transaction Costs and Stochastic Interest Rate
by Indranil SenGupta - 417-450 Variational Solutions of the Pricing PIDEs for European Options in Lévy Models
by Ernst Eberlein & Kathrin Glau - 451-481 On the Approximation of the SABR with Mean Reversion Model: A Probabilistic Approach
by Joanne E. Kennedy & Duy Pham
September 2014, Volume 21, Issue 4
- 299-312 Consistent Modelling of VIX and Equity Derivatives Using a 3/2 plus Jumps Model
by Jan Baldeaux & Alexander Badran - 313-341 Approximate Hedging in a Local Volatility Model with Proportional Transaction Costs
by Emmanuel Lépinette & Tuan Tran - 342-362 Optimal Trade Execution Under Stochastic Volatility and Liquidity
by Patrick Cheridito & Tardu Sepin - 363-397 Closed-Form Pricing of Two-Asset Barrier Options with Stochastic Covariance
by Barbara G�tz & Marcos Escobar & Rudi Zagst
July 2014, Volume 21, Issue 3
- 201-237 Optimal Execution and Price Manipulations in Time-varying Limit Order Books
by Aurélien Alfonsi & José Infante Acevedo - 238-269 A Radial Basis Function Scheme for Option Pricing in Exponential Lévy Models
by Raymond Brummelhuis & Ron T. L. Chan - 270-297 Tail VaR Measures in a Multi-period Setting
by Yuta Katsuki & Koichi Matsumoto
April 2014, Volume 21, Issue 2
- 109-139 An Extension of the Chaos Expansion Approximation for the Pricing of Exotic Basket Options
by Hideharu Funahashi & Masaaki Kijima - 140-173 Prices and Asymptotics for Discrete Variance Swaps
by Carole Bernard & Zhenyu Cui - 174-200 Perpetual Options on Multiple Underlyings
by Peter W. Duck & Geoffrey W. Evatt & Paul V. Johnson
March 2014, Volume 21, Issue 1
- 1-31 Saddlepoint Approximation Methods for Pricing Derivatives on Discrete Realized Variance
by Wendong Zheng & Yue Kuen Kwok - 32-50 Rare Shock, Two-Factor Stochastic Volatility and Currency Option Pricing
by Guanying Wang & Xingchun Wang & Yongjin Wang - 51-83 A Multivariate Default Model with Spread and Event Risk
by Jan-Frederik Mai & Pablo Olivares & Steffen Schenk & Matthias Scherer - 84-107 Forward Variance Dynamics: Bergomi's Model Revisited
by S. M. Ould Aly
December 2013, Volume 20, Issue 6
- 512-547 Modelling Asset Prices for Algorithmic and High-Frequency Trading
by �lvaro Cartea & Sebastian Jaimungal - 548-577 A Family of Maximum Entropy Densities Matching Call Option Prices
by Cassio Neri & Lorenz Schneider - 578-598 From Minority Game to Black&Scholes Pricing
by Matteo Ortisi & Valerio Zuccolo - 599-610 Optimal Selling of an Asset with Jumps Under Incomplete Information
by Bing Lu
November 2013, Volume 20, Issue 5
- 415-449 Comparison Between the Mean-Variance Optimal and the Mean-Quadratic-Variation Optimal Trading Strategies
by Tse & Forsyth & Kennedy & Windcliff - 450-460 Default Times in a Continuous Time Markov Chain Economy
by Elliott & van der Hoek - 461-488 A Simple Stochastic Rate Model for Rate Equity Hybrid Products
by Eberlein & Madan & Pistorius & Yor - 489-511 Pricing and Hedging of Lookback Options in Hyper-exponential Jump Diffusion Models
by Hofer & Mayer
September 2013, Volume 20, Issue 4
- 304-326 Utility Indifference Pricing: A Time Consistent Approach
by Traian A. Pirvu & Huayue Zhang - 327-358 A Parametric n -Dimensional Markov-Functional Model in the Terminal Measure
by Linus Kaisajuntti