Issue Information

Issue Information 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 detemple@bu.edu CO-EDITORS JAKSA CVITANIC VADIM LINETSKY Manuscripts should http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png Mathematical Finance Wiley

Issue Information

Mathematical Finance , Volume 28 (2) – Jan 1, 2018

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Publisher
Wiley Subscription Services, Inc., A Wiley Company
Copyright
© 2018 Wiley Periodicals, Inc.
ISSN
0960-1627
eISSN
1467-9965
D.O.I.
10.1111/mafi.12165
Publisher site
See Article on Publisher Site

Abstract

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 detemple@bu.edu CO-EDITORS JAKSA CVITANIC VADIM LINETSKY Manuscripts should

Journal

Mathematical FinanceWiley

Published: Jan 1, 2018

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