Mathematical Finance

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ORIGINAL ARTICLES

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 )

On the market viability under proportional transaction costs

  • Author: Erhan Bayraktar, Xiang Yu
  • Pub Online: Aug 10, 2017
  • DOI: 10.1111/mafi.12155 (p )

Optimal cash holdings under heterogeneous beliefs

  • Author: Robert Jarrow, Andrey Krishenik, Andreea Minca
  • Pub Online: Apr 18, 2017
  • DOI: 10.1111/mafi.12148 (p )

A note on the long rate in factor models of the term structure

  • Author: Jan Kort
  • Pub Online: Apr 18, 2017
  • DOI: 10.1111/mafi.12151 (p )

Arbitrage‐free XVA

  • Author: Maxim Bichuch, Agostino Capponi, Stephan Sturm
  • Pub Online: Apr 18, 2017
  • DOI: 10.1111/mafi.12146 (p )

Small‐cost asymptotics for long‐term growth rates in incomplete markets

  • Author: Yaroslav Melnyk, Frank Thomas Seifried
  • Pub Online: May 04, 2017
  • DOI: 10.1111/mafi.12152 (p )

Error analysis of finite difference and Markov chain approximations for option pricing

  • Author: Lingfei Li, Gongqiu Zhang
  • Pub Online: Aug 25, 2017
  • DOI: 10.1111/mafi.12161 (p )

The valuation of American options in a multidimensional exponential Lévy model

  • Author: Tomasz Klimsiak, Andrzej Rozkosz
  • Pub Online: Aug 25, 2017
  • DOI: 10.1111/mafi.12163 (p )

Optimal portfolio under fractional stochastic environment

  • Author: Jean‐Pierre Fouque, Ruimeng Hu
  • Pub Online: Sep 20, 2018
  • DOI: 10.1111/mafi.12195 (p )

Unspanned stochastic volatility in the multifactor CIR model

  • Author: Damir Filipović, Martin Larsson, Francesco Statti
  • Pub Online: Sep 26, 2018
  • DOI: 10.1111/mafi.12193 (p )

Arrow–Debreu equilibria for rank‐dependent utilities with heterogeneous probability weighting

  • Author: Hanqing Jin, Jianming Xia, Xun Yu Zhou
  • Pub Online: Oct 01, 2018
  • DOI: 10.1111/mafi.12200 (p )
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