Applied Mathematical Finance

Volume 3 Number 4

Contents

Valuation of sinking-fund bonds in the Vasicek and CIR frameworks

ANNA RITA BACINELLO, FULVIO ORTU, PATRIZIA STUCCHI, PP. 269-294

A systematic approach to pricing and hedging international derivatives with interest rate risk: analysis of international derivatives under stochastic interest rates
RÜDIGER FREY, DANIEL SOMMER, PP. 295-317

Binomial models for option valuation - examining and improving convergence
PP. 319-346

Arbitrage pricing with incomplete markets
MARK BRITTEN-JONES, ANTHONY NEUBERGER, PP. 347-363

Applied Mathematical Finance

Volume 3 Number 3

Contents

The use and pricing of convertible bonds
K. G. NYBORG, PP. 167-190

Financial leverage strategy with transaction costs
C. N. BAGLEY, U. YAARI, PP. 191-208

The pricing of Asian options under stochastic interest rates
J. A. NIELSEN, K. SANDMANN, PP. 209-236

Valuation and hedging of contingent claims in the HJM model with deterministic volatilities
M. RUTKOWSKI, PP. 237-267

Applied Mathematical Finance

Volume 3 Number 2

Contents

Investment diversification and investment specialization and the assumed holding period
HAIM LEVY, PP. 117-134

Option pricing with hedging at fixed trading dates
FABIO MERCURIO, TON C. F. VORST, PP. 135-158

Models of information aggregation in financial markets: a review
MICHEL HABIB, NARAYAN NAIK, PP. 159-166

Bond, futures and option evaluation in thequadratic interest rate model
FARSHID JAMSHIDIAN, PP. 93-115

Applied Mathematical Finance

Volume 3, Number 1

Contents

Toward real-time pricing of complex financial derivatives
S NINOMIYA, S. TEZUKA, PP. 1-20

Managing the volatility risk of portfolios of derivative securities: the Lagrangian uncertain volatility model
MARCO AVELLANEDA, ANTONIO PARA´S, PP. 21-52

Default risk and derivative products
IAN COOPER, MARCEL MARTIN, PP. 53-74

Compound and exchange options in the affine term structure model
O. SCAILLET, PP. 53-74

Applied Mathematical Finance

Volume 2, Number 4, September 1995

Contents

Papers
PDE models for pricing stocks and options with memory feedback 211
R. Peszek

Statistical inference and modelling of momentum in stock prices 225
G. Caginalp and G. Constantine

Risk arbitrage in the Nikkei put warrant market of 1989-1990 243
J. Shaw, E.O. Thorp and W.T. Ziemba

Lookback options with discrete and partial monitoring of the underlying price 273
R.C. Heynen and H.M. Kat

Indexes to Volume 2 (1995) 285

Applied Mathematical Finance

Volume 2, Number 3, September 1995

Contents

Papers
A multiplicative model for volume and volatility 135
R. Bauer and F. Nieuwland

Statistical modelling of asymmetric risk in asset returns 155
J.L. knight, S.E. Satchell and K.C. Tran

Two extensions to barrier option valuation 173
P. Carr

Applied Mathematical Finance

Volume 2, Number 2, June 1995

Contents

Papers
Pricing and hedging derivative securities in markets with uncertain volatilities 73
M. Avellaneda, A. Levy and A. Parás

Genetic algorithms and applications to finance 89
J. Kingdon and K. Feldman

Uncertain volatility and the risk-free synthesis of derivatives 117
T.J. Lyons

Applied Mathematical Finance

Volume 2, Number 1, March 1995

Contents

Papers
Options in and on interest rate futures contracts: results from martingale pricing theory 1
U. Cherubini and M. Esposito

Neural networks and some applications to finance 17
K. Feldman and J. Kingdon

Stochastic equity volatility related to the leverage effect II: Valuation of European equity options and warrants 43
A. Bensoussan, M. Crouchy and D. Galai

A simple class of square-root interest-rate models 61
F. Jamshidian

Applied Mathematical Finance

Volume 1, Number 2, December 1994

Contents

Papers
Stock market bubbles in the laboratory 111
D.P. Porter and V.L.Smith

Market oscillations induced by the competition between value-based and trend-based investment strategies 129
G. Caginalp and D. Balenovich

Dynamic hedging portfolios for derivative securities in the presence of large transaction costs 165
M. Avellaneda and A. Parás

Intelligent systems in finance 195
K. Feldman and P. Treleaven

Applied Mathematical Finance:

Volume 1, Number 1, September 1994

Contents

Papers
Hedging quantos, differential swaps and ratios 1
F. Jamshidian

Delta, gamma and bucket hedging of interest rate derivatives 21
R.A. Jarrow and S.M Turnbull

Simulations of transaction costs and optimal rehedging 49
B. Mohamed

Stochastic equity volatility related to the leverage effect 63
A. Bensoussan, M. Crouhy, D. Galai

Optimal pricing, use and exploration of uncertain natural resources 87
P.S. Hagan, D.E. Woodward, R.E. Caflisch and J.B. Keller

Book Reviews
P. Wilmott, J. Dewynne and S. Howison Option Pricing: Mathematical Models and Computation 109
J. Jones

J. Hull Options, Futures and Other Derivitive Securities 110
J. Jones