http://www.informaworld.com/smpp/title~content=t713694021~db=all informaworld: articles recently published in Applied Mathematical Finance Routledge Articles recently published in Applied Mathematical Finance RSS feed of the most recently published articles of Applied Mathematical Finance 2009-10-01 undefined Applied Mathematical Finance 1350-486X weekly 1 2009-10-01T00:00+00:00 Strategic Pricing of Commodities http://www.informaworld.com/smpp/content~content=a914592525~db=all~jumptype=rss Ubøe, Jan Jörnsten, Kurt 16 5 385 399 Valuation of Mortgage-Backed Securities and Mortgage Derivatives: A Closed-Form Approximation http://www.informaworld.com/smpp/content~content=a912326205~db=all~jumptype=rss Zagst, Rudi Kolbe, Andreas 16 5 401 427 Multi-Scale Time-Changed Birth Processes for Pricing Multi-Name Credit Derivatives http://www.informaworld.com/smpp/content~content=a914928045~db=all~jumptype=rss Yang, Bo Bayraktar, Erhan 16 5 429 449 On Markov-modulated Exponential-affine Bond Price Formulae http://www.informaworld.com/smpp/content~content=a792281247~db=all~jumptype=rss Elliott, Robert J. Siu, Tak Kuen 16 1 1 15 A Numerical Method to Price Defaultable Bonds Based on the Madan and Unal Credit Risk Model http://www.informaworld.com/smpp/content~content=a794136459~db=all~jumptype=rss Ballestra, Luca Vincenzo Pacelli, Graziella 16 1 17 36 American Call Options Under Jump-Diffusion Processes - A Fourier Transform Approach http://www.informaworld.com/smpp/content~content=a901400834~db=all~jumptype=rss Ziogas, Andrew Chiarella, Carl 16 1 37 79 Orderings and Probability Functionals Consistent with Preferences http://www.informaworld.com/smpp/content~content=a903235400~db=all~jumptype=rss Fabozzi, Frank J. Shalit, Haim Rachev, Svetlozar T. Ortobelli, Sergio 16 1 81 102 Optimal Quantization for the Pricing of Swing Options http://www.informaworld.com/smpp/content~content=a910204841~db=all~jumptype=rss Pagès, Gilles Bouthemy, Sandrine Bardou, Olivier 16 2 183 217 Modelling Electricity Prices with Forward Looking Capacity Constraints http://www.informaworld.com/smpp/content~content=a902648609~db=all~jumptype=rss Geman, Hélyette Figueroa, Marcelo G. Cartea, Álvaro 16 2 103 122 Trader Behavior and its Effect on Asset Price Dynamics http://www.informaworld.com/smpp/content~content=a909024803~db=all~jumptype=rss Rathinam, Muruhan Primbs, James A. 16 2 151 181 Convergence of a Least-Squares Monte Carlo Algorithm for Bounded Approximating Sets http://www.informaworld.com/smpp/content~content=a908481161~db=all~jumptype=rss Zanger, Daniel Z. 16 2 123 150 Mean-Variance Hedging with Uncertain Trade Execution http://www.informaworld.com/smpp/content~content=a912371821~db=all~jumptype=rss Matsumoto, Koichi 16 3 219 252 Boundary Values and Finite Difference Methods for the Single Factor Term Structure Equation http://www.informaworld.com/smpp/content~content=a912326259~db=all~jumptype=rss Tysk, Johan Lötstedt, Per Ekström, Erik 16 3 253 259 Numerical Approximation of the Implied Volatility Under Arithmetic Brownian Motion http://www.informaworld.com/smpp/content~content=a912392940~db=all~jumptype=rss Kwak, Minsuk Kim, Kwangmoon Choi, Jaehyuk 16 3 261 268 Displaced Diffusion as an Approximation of the Constant Elasticity of Variance http://www.informaworld.com/smpp/content~content=a912326105~db=all~jumptype=rss Svoboda-Greenwood, Simona 16 3 269 286 The Valuation of American Options with Stochastic Stopping Time Constraints http://www.informaworld.com/smpp/content~content=a912568639~db=all~jumptype=rss Leippold, Markus Egloff, Daniel 16 3 287 305 Computing the Volume of n -Dimensional Copulas http://www.informaworld.com/smpp/content~content=a912309956~db=all~jumptype=rss Romagnoli, Silvia Cherubini, Umberto 16 4 307 314 A Note on the Suboptimality of Path-Dependent Pay-Offs in Lévy Markets http://www.informaworld.com/smpp/content~content=a912904081~db=all~jumptype=rss Vanduffel, Steven Chernih, Andrew Maj, Matheusz Schoutens, Wim 16 4 315 330 Partial Hedging in Financial Markets with a Large Agent http://www.informaworld.com/smpp/content~content=a913272236~db=all~jumptype=rss Jonsson, Mattias Choi, Jungmin 16 4 331 346 Employee Stock Options: An Up-and-Out Protected Barrier Call http://www.informaworld.com/smpp/content~content=a912602831~db=all~jumptype=rss Brisley, Neil Anderson, Chris K. 16 4 347 352 Multiscale Intensity Models and Name Grouping for Valuation of Multi-Name Credit Derivatives http://www.informaworld.com/smpp/content~content=a912784754~db=all~jumptype=rss Sircar, Ronnie Papageorgiou, Evan 16 4 353 383 Valuing the Guaranteed Minimum Death Benefit Clause with Partial Withdrawals http://www.informaworld.com/smpp/content~content=a915918533~db=all~jumptype=rss Labahn, G. Forsyth, P. A. Bélanger, A. C. 16 6 451 496 A New Approach to Pricing Double-Barrier Options with Arbitrary Payoffs and Exponential Boundaries http://www.informaworld.com/smpp/content~content=a915326893~db=all~jumptype=rss Konstandatos, Otto Buchen, Peter 16 6 497 515 Closed Formula for Options with Discrete Dividends and Its Derivatives http://www.informaworld.com/smpp/content~content=a914928315~db=all~jumptype=rss Wystup, Uwe Veiga, Carlos 16 6 517 531 Two Useful Techniques for Financial Modelling Problems http://www.informaworld.com/smpp/content~content=a916173999~db=all~jumptype=rss Doust, Paul 99999 1 1 10 Risk Minimization for a Filtering Micromovement Model of Asset Price http://www.informaworld.com/smpp/content~content=a916174021~db=all~jumptype=rss Zeng, Yong Lee, Kiseop 99999 1 1 23 Short Positions, Rally Fears and Option Markets http://www.informaworld.com/smpp/content~content=a914466378~db=all~jumptype=rss Eberlein, Ernst Madan, Dilip B. 99999 1 1 16 Mean Variance Hedging in a General Jump Model http://www.informaworld.com/smpp/content~content=a914774955~db=all~jumptype=rss Ye, Zhongxing Xiong, Dewen Kohlmann, Michael 99999 1 1 29 Numerical Methods for Non-Linear Black-Scholes Equations http://www.informaworld.com/smpp/content~content=a914962544~db=all~jumptype=rss Heider, Pascal 99999 1 1 23 Comment on 'Correcting for Simulation Bias in Monte Carlo Methods to Value Exotic Options in Models Driven by Lévy Processes' by C. Ribeiro and N. Webber http://www.informaworld.com/smpp/content~content=a915275846~db=all~jumptype=rss Becker, Martin 99999 1 1 14 Real-World Pricing for a Modified Constant Elasticity of Variance Model http://www.informaworld.com/smpp/content~content=a915323011~db=all~jumptype=rss Platen, Eckhard Miller, Shane M. 99999 1 1 29 Risk-based Decisions on the Asset Structure of a Bank under Partial Economic Information http://www.informaworld.com/smpp/content~content=a792753014~db=all~jumptype=rss Hałaj, Grzegorz 15 4 305 329 Finite-dimensional Realizations of Regime-switching HJM Models http://www.informaworld.com/smpp/content~content=a792283864~db=all~jumptype=rss Elhouar, Mikael 15 4 331 354 Modelling the Temperature Time-dependent Speed of Mean Reversion in the Context of Weather Derivatives Pricing http://www.informaworld.com/smpp/content~content=a793983655~db=all~jumptype=rss Zapranis, A. Alexandridis, A. 15 4 355 386 Two Exotic Lookback Options http://www.informaworld.com/smpp/content~content=a793085974~db=all~jumptype=rss Konstandatos, Otto Buchen, Peter Bermin, Hans-Peter 15 4 387 402 Pricing Options on Defaultable Stocks http://www.informaworld.com/smpp/content~content=a792292639~db=all~jumptype=rss Bayraktar, E. 15 3 277 304 Empirical Evaluation of Hybrid Defaultable Bond Pricing Models http://www.informaworld.com/smpp/content~content=a793161401~db=all~jumptype=rss Zagst, R. Schmid, B. Ilg, M. Antes, S. 15 3 219 249 Hedging Large Portfolios of Options in Discrete Time http://www.informaworld.com/smpp/content~content=a792370813~db=all~jumptype=rss Peeters, B. Dert, C. L. Lucas, A. 15 3 251 275 Return and Value at Risk using the Dirichlet Process http://www.informaworld.com/smpp/content~content=a792209387~db=all~jumptype=rss Dabrowski, André R. Bédard, Thierry Zarepour, Mahmoud 15 3 205 218 Weak Approximation of Stochastic Differential Equations and Application to Derivative Pricing http://www.informaworld.com/smpp/content~content=a791530568~db=all~jumptype=rss Ninomiya, Syoiti Victoir, Nicolas 15 2 107 121 General Lower Bounds for Arithmetic Asian Option Prices http://www.informaworld.com/smpp/content~content=a791530955~db=all~jumptype=rss Albrecher, H. Mayer, P. A. Schoutens, W. 15 2 123 149 Stochastic Volatility: Option Pricing using a Multinomial Recombining Tree http://www.informaworld.com/smpp/content~content=a791530470~db=all~jumptype=rss Viens, Frederi G. Florescu, Ionuţ 15 2 151 181 A Structural Model with Unobserved Default Boundary http://www.informaworld.com/smpp/content~content=a791531244~db=all~jumptype=rss Schmidt, Thorsten Novikov, Alexander 15 2 183 203 Valuation of Performance-Dependent Options http://www.informaworld.com/smpp/content~content=a788629653~db=all~jumptype=rss Holtz, Markus Gerstner, Thomas 15 1 1 20 Market Influence of Portfolio Optimizers http://www.informaworld.com/smpp/content~content=a788633839~db=all~jumptype=rss Papanicolaou, George Nayak, Suhas 15 1 21 40 Using Affine Jump Diffusion Models for Modelling and Pricing Electricity Derivatives http://www.informaworld.com/smpp/content~content=a788627279~db=all~jumptype=rss Soldatos, O. Nomikos, N. K. 15 1 41 71 Multiscale Intensity Models for Single Name Credit Derivatives http://www.informaworld.com/smpp/content~content=a788632261~db=all~jumptype=rss Sircar, R. 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