In memoriam: Mark H. A. Davis and his contributions to mathematical finance by Obłój, J, Zariphopoulou, T

“…This Special Issue of Mathematical Finance celebrates the memory of Mark H. A. …”

In memoriam: Marco Avellaneda (1955-2022) by Cont, R

“…We provide a sketch of his trajectory and outline some of his main research contributions to mathematical finance.…”

A matched asymptotic expansions approach to continuity corrections for discretely sampled options. Part 1: barrier options. by Howison, S, Steinberg, M

“…Using a matched asymptotic expansions approach we show that the correction of Broadie, Glasserman & Kou (Mathematical Finance 7, 325 (1997)) can be applied in a very wide variety of cases. …”

A matched asymptotic expansions approach to continuity corrections for discretely sampled options. Part 2: Bermudan options. by Howison, S

“…Using a matched asymptotic expansions approach we compute the correction and relate it to that discussed by Broadie, Glasserman & Kou (Mathematical Finance 7, 325 (1997)) for barrier options. …”

Pathwise superreplication via Vovk’s outer measure by Beiglböck, M, Cox, A, Huesmann, M, Perkowski, N, Prömel, D

“…<br/> Using Vovk’s approach to mathematical finance, we derive a model-independent superreplication theorem in continuous time, given information on finitely many marginals. …”

Discretely sampled signals and the rough Hoff process by Flint, G, Hambly, B, Lyons, T

“…Such random ODEs have a natural interpretation in the context of mathematical finance.…”

High-order filtered schemes for time-dependent second order HJB equations by Bokanowski, O, Picarelli, A, Reisinger, C

“…We give theoretical proofs of these claims and illustrate the behaviour with numerical tests from mathematical finance, focussing also on the use of backward difference formulae (BDF) for constructing the high order schemes.…”

A PENALTY METHOD FOR THE NUMERICAL SOLUTION OF HAMILTON-JACOBI-BELLMAN (HJB) EQUATIONS IN FINANCE by Witte, J, Reisinger, C

“…We include a number of examples from mathematical finance for which the described approach yields a rigorous numerical scheme and present numerical results. © 2011 Society for Industrial and Applied Mathematics.…”

Sensitivity analysis of Wasserstein distributionally robust optimization problems by Bartl, D, Drapeau, S, Obloj, J, Wiesel, J

“…We present applications to statistics, machine learning, mathematical finance and uncertainty quantification. In particular, we provide an explicit first-order approximation for square-root LASSO regression coefficients and deduce coefficient shrinkage compared to the ordinary least-squares regression. …”

High-order filtered schemes for time-dependent second order HJB equations by Bokanowski, O, Picarelli, A, Reisinger, C

“…We give theoretical proofs of these claims and illustrate the behaviour with numerical tests from mathematical finance, focussing also on the use of backward differencing formulae for constructing the high order schemes.…”

An iterated Azéma-Yor type embedding for finitely many marginals by Obloj, J, Spoida, P

“…We are motivated, as was the case for several earlier works in the field, by questions arising in mathematical finance which we highlight below.…”

On robust pricing--hedging duality in continuous time by Hou, Z, Obloj, J

“…We pursue robust approach to pricing and hedging in mathematical finance. We consider a continuous time setting in which some underlying assets and options, with continuous paths, are available for dynamic trading and a further set of European options, possibly with varying maturities, is available for static trading. …”

Robust pricing–hedging dualities in continuous time by Hou, Z, Obłój, J

“…We pursue a robust approach to pricing and hedging in mathematical finance. We consider a continuous-time setting in which some underlying assets and options, with continuous price paths, are available for dynamic trading and a further set of European options, possibly with varying maturities, is available for static trading. …”

Robust trading of implied skew by Nadtochiy, S, Obloj, J

“…Rogers (2001) Robust hedging of barrier options, Mathematical Finance 11 (3), 285–314.], which exploits the given beliefs on the implied skew. …”

Empirically Effective Bond Pricing Model and Analysis on Term Structures of Implied Interest Rates in Financial Crisis by Kariya, T, Wang, J, Wang, Z, Doi, E, Yamamura, Y

“…In this paper we first clarify the theoretical relation between our stochastic discount function approach and the spot rate or forward rate approach in mathematical finance. Then we make a comprehensive empirical study on the capacity of the model in view of its pricing capability for individual GBs with different attributes and in view of its capacity of describing the movements of term structures of interest rates that JGBs imply as yield curves. …”