Mathematical Finance

Early View Articles


A rational asset pricing model for premiums and discounts on closed‐end funds: The bubble theory

  • Author: Robert Jarrow, Philip Protter
  • Pub Online: Feb 27, 2019
  • DOI: 10.1111/mafi.12207 (p )

A variation of the Azéma martingale and drawdown options

  • Author: Angelos Dassios, Jia Wei Lim
  • Pub Online: Feb 28, 2019
  • DOI: 10.1111/mafi.12202 (p )

An efficient approach to quantile capital allocation and sensitivity analysis

  • Author: Vali Asimit, Liang Peng, Ruodu Wang, Alex Yu
  • Pub Online: Mar 05, 2019
  • DOI: 10.1111/mafi.12211 (p )

Portfolio choice with small temporary and transient price impact

  • Author: Ibrahim Ekren, Johannes Muhle‐Karbe
  • Pub Online: Mar 07, 2019
  • DOI: 10.1111/mafi.12204 (p )

Mean field and n‐agent games for optimal investment under relative performance criteria

  • Author: Daniel Lacker, Thaleia Zariphopoulou
  • Pub Online: Mar 07, 2019
  • DOI: 10.1111/mafi.12206 (p )

Convex duality and Orlicz spaces in expected utility maximization

  • Author: Sara Biagini, Aleš Černý
  • Pub Online: Mar 12, 2019
  • DOI: 10.1111/mafi.12209 (p )

Multiple curve Lévy forward price model allowing for negative interest rates

  • Author: Ernst Eberlein, Christoph Gerhart, Zorana Grbac
  • Pub Online: Mar 14, 2019
  • DOI: 10.1111/mafi.12210 (p )

Existence, uniqueness, and stability of optimal payoffs of eligible assets

  • Author: Michel Baes, Pablo Koch‐Medina, Cosimo Munari
  • Pub Online: Mar 14, 2019
  • DOI: 10.1111/mafi.12205 (p )

Computational aspects of robust optimized certainty equivalents and option pricing

  • Author: Daniel Bartl, Samuel Drapeau, Ludovic Tangpi
  • Pub Online: Mar 14, 2019
  • DOI: 10.1111/mafi.12203 (p )

Periodic strategies in optimal execution with multiplicative price impact

  • Author: Daniel Hernández‐Hernández, Harold A. Moreno‐Franco, José‐Luis Pérez
  • Pub Online: Mar 07, 2019
  • DOI: 10.1111/mafi.12208 (p )

General stopping behaviors of naïve and noncommitted sophisticated agents, with application to probability distortion

  • Author: Yu‐Jui Huang, Adrien Nguyen‐Huu, Xun Yu Zhou
  • Pub Online: Jul 09, 2019
  • DOI: 10.1111/mafi.12224 (p )

Option pricing with orthogonal polynomial expansions

  • Author: Damien Ackerer, Damir Filipović
  • Pub Online: Jul 11, 2019
  • DOI: 10.1111/mafi.12226 (p )

Robust consumption‐investment problem under CRRA and CARA utilities with time‐varying confidence sets

  • Author: Zongxia Liang, Ming Ma
  • Pub Online: Jul 11, 2019
  • DOI: 10.1111/mafi.12217 (p )

Double continuation regions for American and Swing options with negative discount rate in Lévy models

  • Author: Marzia De Donno, Zbigniew Palmowski, Joanna Tumilewicz
  • Pub Online: Jul 11, 2019
  • DOI: 10.1111/mafi.12218 (p )

Inference for large financial systems

  • Author: Kay Giesecke, Gustavo Schwenkler, Justin A. Sirignano
  • Pub Online: Jul 12, 2019
  • DOI: 10.1111/mafi.12222 (p )
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