Mathematical Finance

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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

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 )

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 )

THE INCENTIVES OF HEDGE FUND FEES AND HIGH‐WATER MARKS

  • Author: Paolo Guasoni, Jan Obłój
  • Pub Online: Dec 02, 2013
  • DOI: 10.1111/mafi.12057 (p )

STOCHASTIC LOCAL INTENSITY LOSS MODELS WITH INTERACTING PARTICLE SYSTEMS

  • Author: Aurélien Alfonsi, Céline Labart, Jérôme Lelong
  • Pub Online: Dec 02, 2013
  • DOI: 10.1111/mafi.12059 (p )

ORIGINAL ARTICLES

MEASURING DISTRIBUTION MODEL RISK

  • Author: Thomas Breuer, Imre Csiszár
  • Pub Online: Oct 09, 2013
  • DOI: 10.1111/mafi.12050 (p )

GENERAL INTENSITY SHAPES IN OPTIMAL LIQUIDATION

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

RESILIENCE TO CONTAGION IN FINANCIAL NETWORKS

  • Author: Hamed Amini, Rama Cont, Andreea Minca
  • Pub Online: Oct 09, 2013
  • DOI: 10.1111/mafi.12051 (p )

COMPARING LOCAL RISKS BY ACCEPTANCE AND REJECTION

  • Author: Amnon Schreiber
  • Pub Online: Oct 09, 2013
  • DOI: 10.1111/mafi.12054 (p )

BEHAVIORAL PORTFOLIO SELECTION: ASYMPTOTICS AND STABILITY ALONG A SEQUENCE OF MODELS

  • Author: Christian Reichlin
  • Pub Online: Oct 11, 2013
  • DOI: 10.1111/mafi.12053 (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 )

A GENERAL EQUILIBRIUM MODEL OF A MULTIFIRM MORAL‐HAZARD ECONOMY WITH FINANCIAL MARKETS

  • Author: Jaeyoung Sung, Xuhu Wan
  • Pub Online: Jun 06, 2013
  • DOI: 10.1111/mafi.12032 (p )

MARKETS FOR INFLATION‐INDEXED BONDS AS MECHANISMS FOR EFFICIENT MONETARY POLICY

  • Author: Christian‐Oliver Ewald, Johannes Geissler
  • Pub Online: Jun 06, 2013
  • DOI: 10.1111/mafi.12039 (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 )

NO‐ARBITRAGE PRICING FOR DIVIDEND‐PAYING SECURITIES IN DISCRETE‐TIME MARKETS WITH TRANSACTION COSTS

  • Author: Tomasz R. Bielecki, Igor Cialenco, Rodrigo Rodriguez
  • Pub Online: Jun 18, 2013
  • DOI: 10.1111/mafi.12038 (p )
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