Mathematical Finance

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ORIGINAL ARTICLES

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 )

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 )

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 )

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 )

HOPE, FEAR, AND ASPIRATIONS

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

OPTIMAL EXECUTION HORIZON

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

LONG HORIZONS, HIGH RISK AVERSION, AND ENDOGENOUS SPREADS

  • Author: Paolo Guasoni, Johannes Muhle‐Karbe
  • Pub Online: Oct 09, 2013
  • DOI: 10.1111/mafi.12046 (p )

LINKED RECURSIVE PREFERENCES AND OPTIMALITY

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