Applied Mathematical Finance, Volume 16, Issue 1 (2009)

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Applied Mathematical Finance, Volume 16, Issue 1 (2009)

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PAPERS

Article
On Markov‐modulated Exponential‐affine Bond Price Formulae
Robert J. Elliott & Tak Kuen Siu
Pages: 1-15
Published online: 02 Mar 2009
AbstractforOn Markov‐modulated Exponential‐affine Bond Price Formulae | Full Text | References | PDF (434.2 KB)
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Article
A Numerical Method to Price Defaultable Bonds Based on the Madan and Unal Credit Risk Model
Luca Vincenzo Ballestra & Graziella Pacelli
Pages: 17-36
Published online: 02 Mar 2009
AbstractforA Numerical Method to Price Defaultable Bonds Based on the Madan and Unal Credit Risk Model | Full Text | References | PDF (477.2 KB)
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Article
American Call Options Under Jump‐Diffusion Processes – A Fourier Transform Approach
Carl Chiarella & Andrew Ziogas
Pages: 37-79
Published online: 02 Mar 2009
AbstractforAmerican Call Options Under Jump‐Diffusion Processes – A Fourier Transform Approach | Full Text | References | PDF (1.2 MB)
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Article
Orderings and Probability Functionals Consistent with Preferences
Sergio Ortobelli, Svetlozar T. Rachev, Haim Shalit & Frank J. Fabozzi
Pages: 81-102
Published online: 02 Mar 2009
AbstractforOrderings and Probability Functionals Consistent with Preferences | Full Text | References | PDF (539.3 KB)
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