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Publication Name: Mathematical Finance

Brief description: An International Journal of Mathematics, Statistics and Financial Economics.

Publication URL: link

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Joined: February 14th, 2012

Activity

Mathematical Finance wrote a new blog post titled Issue Information

(129 days ago)

Mathematical Finance wrote a new blog post titled On American VIX options under the generalized 3/2 and 1/2 models

Abstract In this paper, we extend the 3/2 model for VIX studied by Goard and Mazur and introduce the generalized 3/2 and 1/2 classes of volatility processes. Under these models, we study the pricing of European and American VIX options, and for the latter, we obtain an early exercise premium representation using a free‐boundary approach and local time‐space calculus. The optimal exercise boundary for the volatility is obtained as the unique solution to an integral equation of Volterra type. We also consider a model mixing these two classes and formulate the corresponding optimal stopping...
(169 days ago)

Mathematical Finance wrote a new blog post titled Small‐cost asymptotics for long‐term growth rates in incomplete markets

Abstract This paper provides a rigorous asymptotic analysis of long‐term growth rates under both proportional and Morton–Pliska transaction costs. We consider a general incomplete financial market with an unspanned Markov factor process that includes the Heston stochastic volatility model and the Kim–Omberg stochastic excess return model as special cases. Using a dynamic programming approach, we determine the leading‐order expansions of long‐term growth rates and explicitly construct strategies that are optimal at the leading order. We further analyze the asymptotic performance of...
(169 days ago)

About:

Overview

Mathematical Finance is a high-quality journal which brings together work on the mathematical aspects of finance theory from such diverse fields as finance, economics, mathematics, and statistics. An essential resource for academic finance researchers and practitioners alike, the journal publishes clear and concise articles which present the latest theoretical developments in an accessible way. Modern finance is becoming increasingly technical, requiring the use of sophisticated mathematical tools in both research and practice. Mathematical Finance offers a forum for the publication of articles which employ these techniques, as well as providing a much-needed bridge between mathematical scientists and financial economists.

Aims and Scope

Mathematical Finance brings together work on the mathematical aspects of finance theory from such diverse fields as finance, economics, mathematics, and statistics. An essential resource for academic finance researchers and practitioners alike, the journal publishes clear and concise articles which present the latest theoretical developments. Modern finance is becoming increasingly technical, requiring the use of sophisticated mathematical tools in both research and practice. Mathematical Finance offers a forum for the publication of articles which employ these techniques, as well as providing a much-needed bridge between mathematical scientists and financial economists. Mathematical Finance has been ranked 3rd in the category of Social Sciences/Mathematical Methods, and 6th in the category of Business and Finance journals according to the latest ISI rankings.