Mathematical Finance

Early View Articles

ORIGINAL ARTICLES

Cover's universal portfolio, stochastic portfolio theory, and the numéraire portfolio

  • Author: Christa Cuchiero, Walter Schachermayer, Ting‐Kam Leonard Wong
  • Pub Online: Oct 01, 2018
  • DOI: 10.1111/mafi.12201 (p )

Trading algorithms with learning in latent alpha models

  • Author: Philippe Casgrain, Sebastian Jaimungal
  • Pub Online: Oct 01, 2018
  • DOI: 10.1111/mafi.12194 (p )

Superreplication with proportional transaction cost under model uncertainty

  • Author: Bruno Bouchard, Shuoqing Deng, Xiaolu Tan
  • Pub Online: Oct 01, 2018
  • DOI: 10.1111/mafi.12197 (p )

On the relation between linearity‐generating processes and linear‐rational models

  • Author: Damir Filipović, Martin Larsson, Anders B. Trolle
  • Pub Online: Oct 01, 2018
  • DOI: 10.1111/mafi.12198 (p )

The robust pricing–hedging duality for American options in discrete time financial markets

  • Author: Anna Aksamit, Shuoqing Deng, Jan Obłój, Xiaolu Tan
  • Pub Online: Oct 08, 2018
  • DOI: 10.1111/mafi.12199 (p )

Value‐at‐Risk bounds with two‐sided dependence information

  • Author: Thibaut Lux, Ludger Rüschendorf
  • Pub Online: Oct 10, 2018
  • DOI: 10.1111/mafi.12192 (p )

The short‐time behavior of VIX‐implied volatilities in a multifactor stochastic volatility framework

  • Author: Andrea Barletta, Elisa Nicolato, Stefano Pagliarani
  • Pub Online: Oct 11, 2018
  • DOI: 10.1111/mafi.12196 (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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