Mathematical Finance

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Mathematical Finance - Early View Articles

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ORIGINAL ARTICLES

OPTIMAL INVESTMENT UNDER RELATIVE PERFORMANCE CONCERNS

  • Author: Gilles‐Edouard Espinosa, Nizar Touzi
  • Pub Online: Jun 06, 2013
  • DOI: 10.1111/mafi.12034 (p )

ROBUST UTILITY MAXIMIZATION IN NONDOMINATED MODELS WITH 2BSDE: THE UNCERTAIN VOLATILITY MODEL

  • Author: Anis Matoussi, Dylan Possamaï, Chao Zhou
  • Pub Online: Jun 18, 2013
  • DOI: 10.1111/mafi.12031 (p )

Articles

MODEL‐INDEPENDENT NO‐ARBITRAGE CONDITIONS ON AMERICAN PUT OPTIONS

  • Author: Alexander M. G. Cox, Christoph Hoeggerl
  • Pub Online: Dec 02, 2013
  • DOI: 10.1111/mafi.12058 (p )

ORIGINAL ARTICLES

LINKED RECURSIVE PREFERENCES AND OPTIMALITY

  • Author: Shlomo Levental, Sumit Sinha, Mark Schroder
  • Pub Online: Oct 09, 2013
  • DOI: 10.1111/mafi.12047 (p )

OPTION PRICING AND HEDGING WITH SMALL TRANSACTION COSTS

  • Author: Jan Kallsen, Johannes Muhle‐Karbe
  • Pub Online: Jun 06, 2013
  • DOI: 10.1111/mafi.12035 (p )

Articles

ON VALUING STOCHASTIC PERPETUITIES USING NEW LONG HORIZON STOCK PRICE MODELS DISTINGUISHING BOOMS, BUSTS, AND BALANCED MARKETS

  • Author: Dilip B. Madan, Marc Yor
  • Pub Online: Dec 02, 2013
  • DOI: 10.1111/mafi.12056 (p )

ORIGINAL ARTICLES

CV a R HEDGING USING QUANTIZATION‐BASED STOCHASTIC APPROXIMATION ALGORITHM

  • Author: O. Bardou, N. Frikha, G. Pagès
  • Pub Online: Oct 09, 2013
  • DOI: 10.1111/mafi.12049 (p )

A NEW LOOK AT SHORT‐TERM IMPLIED VOLATILITY IN ASSET PRICE MODELS WITH JUMPS

  • Author: Aleksandar Mijatović, Peter Tankov
  • Pub Online: Oct 09, 2013
  • DOI: 10.1111/mafi.12055 (p )

PORTFOLIO LIQUIDATION IN DARK POOLS IN CONTINUOUS TIME

  • Author: Peter Kratz, Torsten Schöneborn
  • Pub Online: Jun 18, 2013
  • DOI: 10.1111/mafi.12037 (p )

OPTIMAL EXECUTION OF A VWAP ORDER: A STOCHASTIC CONTROL APPROACH

  • Author: Christoph Frei, Nicholas Westray
  • Pub Online: Oct 09, 2013
  • DOI: 10.1111/mafi.12048 (p )

GENERAL INTENSITY SHAPES IN OPTIMAL LIQUIDATION

  • Author: Olivier Guéant, Charles‐Albert Lehalle
  • Pub Online: Oct 09, 2013
  • DOI: 10.1111/mafi.12052 (p )

HOPE, FEAR, AND ASPIRATIONS

  • Author: Xue Dong He, Xun Yu Zhou
  • Pub Online: Jun 18, 2013
  • DOI: 10.1111/mafi.12044 (p )

A MODEL‐FREE VERSION OF THE FUNDAMENTAL THEOREM OF ASSET PRICING AND THE SUPER‐REPLICATION THEOREM

  • Author: B. Acciaio, M. Beiglböck, F. Penkner, W. Schachermayer
  • Pub Online: Dec 06, 2013
  • DOI: 10.1111/mafi.12060 (p )

OPTIMAL EXECUTION HORIZON

  • Author: David Easley, Marcos Lopez Prado, Maureen O'Hara
  • Pub Online: Oct 09, 2013
  • DOI: 10.1111/mafi.12045 (p )

OPTIMAL HIGH‐FREQUENCY TRADING IN A PRO RATA MICROSTRUCTURE WITH PREDICTIVE INFORMATION

  • Author: Fabien Guilbaud, Huyên Pham
  • Pub Online: Jun 18, 2013
  • DOI: 10.1111/mafi.12042 (p )
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