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Applied Mathematical Finance is a peer-reviewed journal published by Taylor & Francis, covering Stochastic processes and financial applications, Financial Risk and Volatility Modeling, Financial Markets and Investment Strategies. Over its lifetime it has published 571 papers, which have received 14,090 citations.
| Publisher | Taylor & Francis |
|---|---|
| Reference style | Author–year (Chicago, T&F) Author–year — (Smith, 2023) in the text Smith, Ada, Ben Jones, and Cara Lee. 2023. "A Representative Article Title." Applied Mathematical Finance 12 (3): 45–58.
Formats any DOI in Applied Mathematical Finance style. No sign-up. |
| Publishes research in | Stochastic processes and financial applications Financial Risk and Volatility Modeling Financial Markets and Investment Strategies Complex Systems and Time Series Analysis Capital Investment and Risk Analysis |
| ISSN | 1350-486X |
| Citation impact (2-yr) | 1.12 |
| h-index | 59 |
| i10-index | 253 |
| Top institutions publishing here | University of Oxford |
| Journal website | www.tandfonline.com |
| You get | A submission-ready PDF and the editable LaTeX source — ready to submit. |
Citations each year’s papers have accumulated so far — the most recent years are still building up.
We present a model for pricing and hedging derivative securities and option portfolios in an environment where the volatility is not known precisely, but is assumed instead to lie between two extreme values σminand σmax. These bounds could be inferred from extreme values of the implied volatilities of liquid options, or from high-low peaks in…
We determine optimal trading strategies for liquidation of a large single-asset portfolio to minimize a combination of volatility risk and market impact costs. We take the market impact cost per share to be a power law function of the trading rate, with an arbitrary positive exponent. This includes, for example, the square-root law that has…
The main objective of the work described is to find a pricing model for weather derivatives with payouts depending on temperature. Historical data are used to suggest a stochastic process that describes the evolution of the temperature. Since temperature is a non-tradable quantity, unique prices of contracts in an incomplete market are obtained using the…
To price contingent claims in a multidimensional frictionless security market it is sufficient that the volatility of the security process is a known function of price and time. In this note we introduce optimal and risk-free strategies for intermediaries in such markets to meet their obligations when the volatility is unknown, and is only assumed…
A framework for calibrating a pricing model to a prescribed set of options prices quoted in the market is presented. Our algorithm yields an arbitrage-free diffusion process that minimizes the Kullback-Leibler relative entropy distance to a prior diffusion. It consists in solving a constrained (minimax) optimal control problem using a finite-difference scheme for a Bellman…
