MATHEMATICAL FINANCE Volume 28 / 2 April 2018 Volume 28 / 2 April 2018 MATHEMATICAL FINANCE An International Journal of Mathematics, Statistics and Financial Economics CONTENTS Super-replication in fully incomplete markets YAN DOLINSKY AND ARIEL NEUFELD Conic martingales from stochastic integrals MONIQUE JEANBLANC AND FRÉDÉRIC VRINS On peacocks and lyrebirds: Australian options, Brownian bridges, and the average of submartingales CHRISTIAN-OLIVER EWALD AND MARC YOR On American VIX options under the generalized 3/2 and 1/2 models JÉRÔME DETEMPLE AND YERKIN KITAPBAYEV Arbitrage-free XVA MAXIM BICHUCH , AGOSTINO CAPPONI , AND STEPHAN STURM Fair bilateral pricing under funding costs and exogenous collateralization TIANYANG NIE AND MAREK RUTKOWSKI A note on the long rate in factor models of the term structure JAN DE KORT Small-cost asymptotics for long-term growth rates in incomplete markets YAROSLAV MELNYK AND FRANK THOMAS SEIFRIED Optimal cash holdings under heterogeneous beliefs ROBERT JARROW , ANDREY KRISHENIK , AND ANDREEA MINCA On the C-property and w* -representations of risk measures NIUSHAN GAO AND FOIVOS XANTHOS M MAFI_28_2_cover_HR 1 AFI_28_2_cover_HR 1 2 26/02/18 3:05 PM 6/02/18 3:05 PM EDITOR Submission of Manuscripts to JEROME DETEMPLE School of Management Boston University Mathematical Finance email@example.com CO-EDITORS JAKSA CVITANIC VADIM LINETSKY Manuscripts should
Mathematical Finance – Wiley
Published: Jan 1, 2018
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