Mathematical Finance

Table of Contents

Volume 20 Issue 1 (January 2010)

1-143

Articles

MOMENT EXPLOSIONS AND STATIONARY DISTRIBUTIONS IN AFFINE DIFFUSION MODELS

  • Author: Paul Glasserman, Kyoung‐Kuk Kim
  • Pub Online: Jan 15, 2010
  • DOI: 10.1111/j.1467-9965.2009.00387.x (p 1-33)

THE DEPENDENCE STRUCTURE OF RUNNING MAXIMA AND MINIMA: RESULTS AND OPTION PRICING APPLICATIONS

  • Author: Umberto Cherubini, Silvia Romagnoli
  • Pub Online: Jan 15, 2010
  • DOI: 10.1111/j.1467-9965.2009.00388.x (p 35-58)

PRICING AND HEDGING AMERICAN OPTIONS ANALYTICALLY: A PERTURBATION METHOD

  • Author: Jin E. Zhang, Tiecheng Li
  • Pub Online: Jan 15, 2010
  • DOI: 10.1111/j.1467-9965.2009.00389.x (p 59-87)

ACHIEVING HIGHER ORDER CONVERGENCE FOR THE PRICES OF EUROPEAN OPTIONS IN BINOMIAL TREES

  • Author: Mark S. Joshi
  • Pub Online: Jan 15, 2010
  • DOI: 10.1111/j.1467-9965.2009.00390.x (p 89-103)

SPARSE CALIBRATIONS OF CONTINGENT CLAIMS

  • Author: Nabil Kahalé
  • Pub Online: Jan 15, 2010
  • DOI: 10.1111/j.1467-9965.2009.00391.x (p 105-115)

ON FINITE DIMENSIONAL REALIZATIONS OF TWO‐COUNTRY INTEREST RATE MODELS

  • Author: Irina Slinko
  • Pub Online: Jan 15, 2010
  • DOI: 10.1111/j.1467-9965.2009.00392.x (p 117-143)

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