Mathematical Finance

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ORIGINAL ARTICLES

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 )

Conic martingales from stochastic integrals

  • Author: Monique Jeanblanc, Frédéric Vrins
  • Pub Online: Apr 18, 2017
  • DOI: 10.1111/mafi.12147 (p )

On American VIX options under the generalized 3/2 and 1/2 models

  • Author: Jérôme Detemple, Yerkin Kitapbayev
  • Pub Online: May 04, 2017
  • DOI: 10.1111/mafi.12153 (p )

On the C‐property and w ‐representations of risk measures

  • Author: Niushan Gao, Foivos Xanthos
  • Pub Online: May 02, 2017
  • DOI: 10.1111/mafi.12150 (p )

Super‐replication in fully incomplete markets

  • Author: Yan Dolinsky, Ariel Neufeld
  • Pub Online: Mar 24, 2017
  • DOI: 10.1111/mafi.12149 (p )

Risk management with weighted VaR

  • Author: Pengyu Wei
  • Pub Online: Aug 29, 2017
  • DOI: 10.1111/mafi.12160 (p )

Semi‐efficient valuations and put‐call parity

  • Author: Martin Herdegen, Martin Schweizer
  • Pub Online: Sep 06, 2017
  • DOI: 10.1111/mafi.12162 (p )

Fair bilateral pricing under funding costs and exogenous collateralization

  • Author: Tianyang Nie, Marek Rutkowski
  • Pub Online: Apr 18, 2017
  • DOI: 10.1111/mafi.12145 (p )

Consistent recalibration of yield curve models

  • Author: Philipp Harms, David Stefanovits, Josef Teichmann, Mario V. Wüthrich
  • Pub Online: Aug 18, 2017
  • DOI: 10.1111/mafi.12159 (p )

On peacocks and lyrebirds: Australian options, Brownian bridges, and the average of submartingales

  • Author: Christian‐Oliver Ewald, Marc Yor
  • Pub Online: Apr 18, 2017
  • DOI: 10.1111/mafi.12144 (p )

The optimal method for pricing Bermudan options by simulation

  • Author: Alfredo Ibáñez, Carlos Velasco
  • Pub Online: Aug 18, 2017
  • DOI: 10.1111/mafi.12158 (p )

Option pricing in the moderate deviations regime

  • Author: Peter Friz, Stefan Gerhold, Arpad Pinter
  • Pub Online: Aug 25, 2017
  • DOI: 10.1111/mafi.12156 (p )

Liquidity effects of trading frequency

  • Author: Roman Gayduk, Sergey Nadtochiy
  • Pub Online: Aug 18, 2017
  • DOI: 10.1111/mafi.12157 (p )

Analytical approximations of local‐Heston volatility model and error analysis

  • Author: R. Bompis, E. Gobet
  • Pub Online: Aug 18, 2017
  • DOI: 10.1111/mafi.12154 (p )
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