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Mathematical finance : an international journal of mathematics, statistics and financial theory
NBER working paper series
389
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327
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320
Journal of banking & finance
277
NBER Working Paper
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ECONIS (ZBW)
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1
Pricing for large positions in contingent claims
Robertson, Scott
- In:
Mathematical finance : an international journal of …
27
(
2017
)
3
,
pp. 746-778
Persistent link: https://www.econbiz.de/10011764970
Saved in:
2
Robust fundamental theorem for continuous processes
Biagini, Sara
;
Bouchard, Bruno
;
Kardaras, Constantinos
; …
- In:
Mathematical finance : an international journal of …
27
(
2017
)
4
,
pp. 963-987
Persistent link: https://www.econbiz.de/10011764999
Saved in:
3
On arbitrage and duality under model uncertainty and portfolio constraints
Bayraktar, Erhan
;
Zhou, Zhou
- In:
Mathematical finance : an international journal of …
27
(
2017
)
4
,
pp. 988-1012
Persistent link: https://www.econbiz.de/10011765002
Saved in:
4
No-arbitrage in a numéraire-independent modeling framework
Herdegen, Martin
- In:
Mathematical finance : an international journal of …
27
(
2017
)
2
,
pp. 568-603
Persistent link: https://www.econbiz.de/10011752535
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5
A new look at short-term implied volatility in asset price models with jumps
Mijatovi´c, Aleksandar
;
Tankov, Peter
- In:
Mathematical finance : an international journal of …
26
(
2016
)
1
,
pp. 149-183
Persistent link: https://www.econbiz.de/10011550267
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6
A model-free version of the fundamental theorem of asset pricing and the super-replication theorem
Acciaio, B.
;
Beiglböck, M.
;
Penkner, Friedrich
; …
- In:
Mathematical finance : an international journal of …
26
(
2016
)
2
,
pp. 233-251
Persistent link: https://www.econbiz.de/10011577133
Saved in:
7
Do arbitrage-free prices come from utility maximization?
Siorpaes, Pietro
- In:
Mathematical finance : an international journal of …
26
(
2016
)
3
,
pp. 602-616
Persistent link: https://www.econbiz.de/10011583781
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8
Benchmarked risk minimization
Du, Ke
;
Platen, Eckhard
- In:
Mathematical finance : an international journal of …
26
(
2016
)
3
,
pp. 617-637
Persistent link: https://www.econbiz.de/10011583786
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9
Price-admissibility conditions for arbitrage-free linear price function models for the term structure of interest rates
Siegel, Andrew F.
- In:
Mathematical finance : an international journal of …
26
(
2016
)
4
,
pp. 919-938
Persistent link: https://www.econbiz.de/10011583812
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10
General properties of isoelastic utility economies
Vanden, Joel M.
- In:
Mathematical finance : an international journal of …
25
(
2015
)
1
,
pp. 187-219
Persistent link: https://www.econbiz.de/10011347232
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11
Long horizons, high risk aversion, and endogenous spreads
Guasoni, Paolo
;
Muhle-Karbe, Johannes
- In:
Mathematical finance : an international journal of …
25
(
2015
)
4
,
pp. 724-753
Persistent link: https://www.econbiz.de/10011350524
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12
No-arbitrage pricing for dividend-paying securities in discrete-time markets with transaction costs
Bielecki, Tomasz R.
;
Cialenco, Igor
;
Rodriguez, Rodrigo
- In:
Mathematical finance : an international journal of …
25
(
2015
)
4
,
pp. 673-701
Persistent link: https://www.econbiz.de/10011350542
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13
Arbitrage bounds for prices of weighted variance swaps
Davis, Mark H. A.
;
Obłój, Jan
;
Raval, Vimal
- In:
Mathematical finance : an international journal of …
24
(
2014
)
4
,
pp. 821-854
Persistent link: https://www.econbiz.de/10011308161
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14
Pricing swaptions under multifactor Gaussian HJM models
Nunes, Joaõ Pedro Vidal
;
Prazeres, Pedro Miguel Silva
- In:
Mathematical finance : an international journal of …
24
(
2014
)
4
,
pp. 762-789
Persistent link: https://www.econbiz.de/10011308169
Saved in:
15
On the lower arbitrage bound of American contingent claims
Acciaio, Beatrice
;
Svindland, Gregor
- In:
Mathematical finance : an international journal of …
24
(
2014
)
1
,
pp. 147-155
Persistent link: https://www.econbiz.de/10010256177
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16
No-arbitrage pricing under systeme risk : accounting for cross-ownership
Fischer, Tom
- In:
Mathematical finance : an international journal of …
24
(
2014
)
1
,
pp. 97-124
Persistent link: https://www.econbiz.de/10010256220
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17
The two fundamental theorems of asset pricing for a class of continuous-time financial markets
Lyasoff, Andrew
- In:
Mathematical finance : an international journal of …
24
(
2014
)
3
,
pp. 485-504
Persistent link: https://www.econbiz.de/10010486019
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18
Nonconvexity of the optimal exercise boundary for an American put option on a dividend-paying asset
Chen, Xinfu
;
Cheng, Huibin
;
Chadam, John M.
- In:
Mathematical finance : an international journal of …
23
(
2013
)
1
,
pp. 169-185
Persistent link: https://www.econbiz.de/10009712553
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19
Lévy processes induced by dirichlet (b-)splines : modeling multivariate asset price dynamics
Kaishev, Vladimir K.
- In:
Mathematical finance : an international journal of …
23
(
2013
)
2
,
pp. 217-247
Persistent link: https://www.econbiz.de/10009721751
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20
Arbitrage-free multifactor term structure models : a theory based on stochastic control
Gombani, Andrea
;
Runggaldier, Wolfgang J.
- In:
Mathematical finance : an international journal of …
23
(
2013
)
4
,
pp. 659-686
Persistent link: https://www.econbiz.de/10010187681
Saved in:
21
Equilibrium asset and option pricing under jump diffusion
Zhang, Jin E.
;
Zhao, Huimin
;
Chang, Eric Chieh
- In:
Mathematical finance : an international journal of …
22
(
2012
)
3
,
pp. 538-568
Persistent link: https://www.econbiz.de/10009613181
Saved in:
22
Hazard processes and Martingale Hazard processes
Coculescu, Delia
;
Nikeghbali, Ashkan
- In:
Mathematical finance : an international journal of …
22
(
2012
)
3
,
pp. 519-537
Persistent link: https://www.econbiz.de/10009613182
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23
Liquidity in a binomial market
Gökay, Selim
;
Soner, Halil Mete
- In:
Mathematical finance : an international journal of …
22
(
2012
)
2
,
pp. 250-276
Persistent link: https://www.econbiz.de/10009613203
Saved in:
24
Lower and upper bounds of martingale measure densities in continuous time markets
Di Nunno, Giulia
;
Eide, Inga Baadshaug
- In:
Mathematical finance : an international journal of …
21
(
2011
)
3
,
pp. 475-492
Persistent link: https://www.econbiz.de/10009155201
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25
On incompleteness of bond markets with infinite number of random factors
Barski, Michał
;
Jakubowski, Jacek
;
Zabczyk, Jerzy
- In:
Mathematical finance : an international journal of …
21
(
2011
)
3
,
pp. 541-556
Persistent link: https://www.econbiz.de/10009156015
Saved in:
26
Greeks formulas for an asset price model with gamma processes
Kawai, Reiichiro
;
Takeuchi, Atsushi
- In:
Mathematical finance : an international journal of …
21
(
2011
)
4
,
pp. 723-742
Persistent link: https://www.econbiz.de/10009311612
Saved in:
27
Stability of the utility maximization problem with random endowment in incomplete markets
Kardaras, Constantinos
;
Ž̌̌̌̌̌̌̌itković, Gordan
- In:
Mathematical finance : an international journal of …
21
(
2011
)
2
,
pp. 313-333
Persistent link: https://www.econbiz.de/10008935662
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28
Moment explosions and long-term behavior of affine stochastic volatility models
Keller-Ressel, Martin
- In:
Mathematical finance : an international journal of …
21
(
2011
)
1
,
pp. 73-98
Persistent link: https://www.econbiz.de/10008935701
Saved in:
29
Asymptotic behavior of distribution densities in models with stochastic volatility
Gulisashvili, Archil
;
Stein, Elias M.
- In:
Mathematical finance : an international journal of …
20
(
2010
)
3
,
pp. 447-477
Persistent link: https://www.econbiz.de/10008667060
Saved in:
30
Modeling the recovery rate in a reduced form model
Guo, Xin
;
Jarrow, Robert A.
;
Zeng, Yan
- In:
Mathematical finance : an international journal of …
19
(
2009
)
1
,
pp. 73-97
Persistent link: https://www.econbiz.de/10003818346
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31
Portfolio selection with monotone mean-variance preferences
Maccheroni, Fabio
;
Marinacci, Massimo
;
Rustichini, Aldo
; …
- In:
Mathematical finance : an international journal of …
19
(
2009
)
3
,
pp. 487-521
Persistent link: https://www.econbiz.de/10003882796
Saved in:
32
Hedging by sequential regressions revisited
Černý, Aleš
;
Kallsen, Jan
- In:
Mathematical finance : an international journal of …
19
(
2009
)
4
,
pp. 591-617
Persistent link: https://www.econbiz.de/10003937143
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33
Risk indifference pricing in jump diffusion markets
Øksendal, Bernt K.
;
Sulem, Agnès
- In:
Mathematical finance : an international journal of …
19
(
2009
)
4
,
pp. 619-637
Persistent link: https://www.econbiz.de/10003937165
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34
Local risk minimization for defaultable markets
Biagini, Francesca
;
Cretarola, Alessandra
- In:
Mathematical finance : an international journal of …
19
(
2009
)
4
,
pp. 669-689
Persistent link: https://www.econbiz.de/10003937549
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35
No-free-lunch equivalences for exponential Lévy models under convex constraints on investment
Kardaras, Constantinos
- In:
Mathematical finance : an international journal of …
19
(
2009
)
2
,
pp. 161-187
Persistent link: https://www.econbiz.de/10003827568
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36
An equilibrium guide to designing affine pricing models
Eraker, Bjørn
;
Shaliastovich, Ivan
- In:
Mathematical finance : an international journal of …
18
(
2008
)
4
,
pp. 519-543
Persistent link: https://www.econbiz.de/10003769010
Saved in:
37
Guaranteed minimum withdrawal benefit in variable annuities
Dai, Min
;
Kwok, Yue-Kuen
;
Zong, Jianping
- In:
Mathematical finance : an international journal of …
18
(
2008
)
4
,
pp. 595-611
Persistent link: https://www.econbiz.de/10003769016
Saved in:
38
Liquidation of a large block of stock with regime switching
Pemy, Moustapha
;
Zhang, Qing
;
Yin, George
- In:
Mathematical finance : an international journal of …
18
(
2008
)
4
,
pp. 629-648
Persistent link: https://www.econbiz.de/10003769023
Saved in:
39
On the consistency of the Lucas pricing formula
Aase, Knut K.
- In:
Mathematical finance : an international journal of …
18
(
2008
)
2
,
pp. 293-303
Persistent link: https://www.econbiz.de/10003683282
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40
A counterexample concerning the variance-optimal martingale measure
Černý, Aleš
;
Kallsen, Jan
- In:
Mathematical finance : an international journal of …
18
(
2008
)
2
,
pp. 305-316
Persistent link: https://www.econbiz.de/10003683288
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41
Asset pricing with no exogenous probability measure
Cassese, Gianluca
- In:
Mathematical finance : an international journal of …
18
(
2008
)
1
,
pp. 23-54
Persistent link: https://www.econbiz.de/10003643459
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42
Intensity-based valuation of residential mortgages : an analytically tractable model
Gorovoy, Vyacheslav
;
Linetsky, Vadim
- In:
Mathematical finance : an international journal of …
17
(
2007
)
4
,
pp. 541-573
Persistent link: https://www.econbiz.de/10003626607
Saved in:
43
Dynamic indifference valuation via convex risk measures
Klöppel, Susanne
;
Schweizer, Martin
- In:
Mathematical finance : an international journal of …
17
(
2007
)
4
,
pp. 599-627
Persistent link: https://www.econbiz.de/10003626635
Saved in:
44
A benchmark approach to finance
Platen, Eckhard
- In:
Mathematical finance : an international journal of …
16
(
2006
)
1
,
pp. 131-151
Persistent link: https://www.econbiz.de/10003336868
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45
A comment on market free lunch and free lunch
Klein, Irene
- In:
Mathematical finance : an international journal of …
16
(
2006
)
3
,
pp. 583-588
Persistent link: https://www.econbiz.de/10003338702
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46
Minimal entropy-Hellinger martingale measure in incomplete markets
Choulli, Tahir
;
Stricker, Christophe
- In:
Mathematical finance : an international journal of …
15
(
2005
)
3
,
pp. 465-490
Persistent link: https://www.econbiz.de/10002983174
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47
A note on arbitrage and closed convex cones
Schachermayer, Walter
- In:
Mathematical finance : an international journal of …
15
(
2005
)
1
,
pp. 183-189
Persistent link: https://www.econbiz.de/10002583073
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48
A general framework for pricing credit risk
Bélanger, Alain
;
Shreve, Steven E.
;
Wong, Dennis
- In:
Mathematical finance : an international journal of …
14
(
2004
)
3
,
pp. 317-350
Persistent link: https://www.econbiz.de/10002125505
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49
Some remarks on arbitrage and preferences in securities markt models
Frittelli, Marco
- In:
Mathematical finance : an international journal of …
14
(
2004
)
3
,
pp. 351-357
Persistent link: https://www.econbiz.de/10002125515
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50
The squared Ornstein-Uhlenbeck market
Aquilina, J.
;
Rogers, Leonard C. G.
- In:
Mathematical finance : an international journal of …
14
(
2004
)
4
,
pp. 487-513
Persistent link: https://www.econbiz.de/10002396340
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