Mathematical Finance

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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 )

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 )

OPTIMAL SELLING RULES FOR MONETARY INVARIANT CRITERIA: TRACKING THE MAXIMUM OF A PORTFOLIO WITH NEGATIVE DRIFT

  • Author: Romuald Elie, Gilles‐Edouard Espinosa
  • Pub Online: Jun 08, 2013
  • DOI: 10.1111/mafi.12036 (p )

OPTIMAL INVESTMENT UNDER RELATIVE PERFORMANCE CONCERNS

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

BESSEL PROCESSES, STOCHASTIC VOLATILITY, AND TIMER OPTIONS

  • Author: Chenxu Li
  • Pub Online: Jun 18, 2013
  • DOI: 10.1111/mafi.12041 (p )
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