Mathematical Finance

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ORIGINAL ARTICLES

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 )

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 )

Optimal investment and pricing in the presence of defaults

  • Author: Tetsuya Ishikawa, Scott Robertson
  • Pub Online: Jul 12, 2019
  • DOI: 10.1111/mafi.12219 (p )

A direct solution method for pricing options in regime‐switching models

  • Author: Masahiko Egami, Rusudan Kevkhishvili
  • Pub Online: Jul 14, 2019
  • DOI: 10.1111/mafi.12220 (p )

Optimal consumption and investment with liquid and illiquid assets

  • Author: Jin Hyuk Choi
  • Pub Online: Jul 15, 2019
  • DOI: 10.1111/mafi.12221 (p )

Robust martingale selection problem and its connections to the no‐arbitrage theory

  • Author: Matteo Burzoni, Mario Šikić
  • Pub Online: Jul 17, 2019
  • DOI: 10.1111/mafi.12225 (p )

Optimal dividend policies with random profitability

  • Author: A. Max Reppen, Jean‐Charles Rochet, H. Mete Soner
  • Pub Online: Jul 24, 2019
  • DOI: 10.1111/mafi.12223 (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 )
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