Mathematical Finance

Early View Articles

ORIGINAL ARTICLES

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 )

Articles

ON THE CONSISTENCY OF REGRESSION‐BASED MONTE CARLO METHODS FOR PRICING BERMUDAN OPTIONS IN CASE OF ESTIMATED FINANCIAL MODELS

  • Author: Andreas Fromkorth, Michael Kohler
  • Pub Online: Feb 11, 2013
  • DOI: 10.1111/mafi.12025 (p no-no)

OPTIMAL LIQUIDATION OF DERIVATIVE PORTFOLIOS

  • Author: Vicky Henderson, David Hobson
  • Pub Online: May 13, 2011
  • DOI: 10.1111/j.1467-9965.2011.00477.x (p no-no)

STATIC FUND SEPARATION OF LONG‐TERM INVESTMENTS

  • Author: Paolo Guasoni, Scott Robertson
  • Pub Online: Nov 02, 2012
  • DOI: 10.1111/mafi.12017 (p no-no)

FROM SMILE ASYMPTOTICS TO MARKET RISK MEASURES

  • Author: Ronnie Sircar, Stephan Sturm
  • Pub Online: Nov 02, 2012
  • DOI: 10.1111/mafi.12015 (p no-no)

THE EFFECT OF TRADING FUTURES ON SHORT SALE CONSTRAINTS

  • Author: Robert Jarrow, Philip Protter, Sergio Pulido
  • Pub Online: Nov 02, 2012
  • DOI: 10.1111/mafi.12013 (p no-no)

GENERAL PROPERTIES OF ISOELASTIC UTILITY ECONOMIES

  • Author: Joel M. Vanden
  • Pub Online: Nov 02, 2012
  • DOI: 10.1111/mafi.12010 (p no-no)

DEFAULT AND SYSTEMIC RISK IN EQUILIBRIUM

  • Author: Agostino Capponi, Martin Larsson
  • Pub Online: Nov 02, 2012
  • DOI: 10.1111/mafi.12009 (p no-no)

AN ONLINE PORTFOLIO SELECTION ALGORITHM WITH REGRET LOGARITHMIC IN PRICE VARIATION

  • Author: Elad Hazan, Satyen Kale
  • Pub Online: Nov 02, 2012
  • DOI: 10.1111/mafi.12006 (p no-no)
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