Applied Mathematical Finance, Volume 21, Issue 4 (2014)

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Applied Mathematical Finance, Volume 21, Issue 4 (2014)

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Original Articles

Article
Consistent Modelling of VIX and Equity Derivatives Using a 3/2 plus Jumps Model
Jan Baldeaux & Alexander Badran
Pages: 299-312
Published online: 15 Jan 2014
AbstractforConsistent Modelling of VIX and Equity Derivatives Using a 3/2 plus Jumps Model | Full Text | References | PDF (261.6 KB)
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Article
Approximate Hedging in a Local Volatility Model with Proportional Transaction Costs
Emmanuel Lépinette & Tuan Tran
Pages: 313-341
Published online: 23 Jan 2014
AbstractforApproximate Hedging in a Local Volatility Model with Proportional Transaction Costs | Full Text | References | PDF (240.8 KB)
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Article
Optimal Trade Execution Under Stochastic Volatility and Liquidity
Patrick Cheridito & Tardu Sepin
Pages: 342-362
Published online: 31 Jan 2014
AbstractforOptimal Trade Execution Under Stochastic Volatility and Liquidity | Full Text | References | PDF (552.1 KB)
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Article
Closed-Form Pricing of Two-Asset Barrier Options with Stochastic Covariance
Barbara Götz, Marcos Escobar & Rudi Zagst
Pages: 363-397
Published online: 31 Jan 2014
AbstractforClosed-Form Pricing of Two-Asset Barrier Options with Stochastic Covariance | Full Text | References | PDF (485.9 KB)
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