Mathematical Finance Volume 17 Issues 3-4

Article added: Thursday Sep 20, 17:36PM

Volume 17 Issue 3
PORTFOLIO MANAGEMENT WITH CONSTRAINTS - Phelim Boyle and Weidong Tian LARGE DEVIATIONS IN MULTIFACTOR PORTFOLIO CREDIT RISK - Paul Glasserman , Wanmo Kang , Perwez Shahabuddin PROPERTIES OF OPTION PRICES IN MODELS WITH JUMPS - Erik Ekstrm , Johan Tysk A STATE-SPACE PARTITIONING METHOD FOR PRICING HIGH-DIMENSIONAL AMERICAN-STYLE OPTIONS - Xing Jin , Hwee Huat Tan , Junhua Sun HEATH?JARROW?MORTON INTEREST RATE DYNAMICS AND APPROXIMATELY CONSISTENT FORWARD RATE CURVES - Claudia La Chioma , Benedetto Piccoli AN OLD-NEW CONCEPT OF CONVEX RISK MEASURES: THE OPTIMIZED CERTAINTY EQUIVALENT Aharon Ben-Tal , Marc Teboulle

Volume 17 Issue 4
A NOTE ON THE EFFECTS OF TAXES ON OPTIMAL INVESTMENT - Cristin Buescu, Abel Cadenillas, Stanley R. Pliska CALLABLE PUTS AS COMPOSITE EXOTIC OPTIONS - Christoph Khn, Andreas E. Kyprianou THE EIGENFUNCTION EXPANSION METHOD IN MULTI-FACTOR QUADRATIC TERM STRUCTURE MODELS - Nina Boyarchenko, Sergei Levendorskii INTENSITY-BASED VALUATION OF RESIDENTIAL MORTGAGES: AN ANALYTICALLY TRACTABLE MODEL - Vyacheslav Gorovoy, Vadim Linetsky

LINEAR-QUADRATIC JUMP-DIFFUSION MODELING - Peng Cheng, Olivier Scaillet DYNAMIC INDIFFERENCE VALUATION VIA CONVEX RISK MEASURES - Susanne Klppel and Martin Schweizer