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Journal of Mathematical Finance最新文献

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Hedging “Sudden Stops” and Emergent Recessions through International Reserves in Egypt—An Application of the Martingale Optimality Principle Approach 利用埃及的国际储备对冲“突然停止”和紧急衰退——鞅最优性原理方法的应用
Journal of Mathematical Finance Pub Date : 2021-06-09 DOI: 10.4236/jmf.2021.113024
A. Abutaleb, Michael G. Papaioannou
{"title":"Hedging “Sudden Stops” and Emergent Recessions through International Reserves in Egypt—An Application of the Martingale Optimality Principle Approach","authors":"A. Abutaleb, Michael G. Papaioannou","doi":"10.4236/jmf.2021.113024","DOIUrl":"https://doi.org/10.4236/jmf.2021.113024","url":null,"abstract":"This paper addresses the role of international reserves in mitigating the adverse effects of potential “sudden stops” on economic growth. As holding of reserves implies a cost in terms of domestic consumption, we calculate the optimal level of reserves that helps hedge against such eventuality. Treating it as an optimization problem, we employ the Martingale Optimality Principle to estimate the optimal values of reserves and consumption. For Egypt, we find that optimal consumption is trending upward when the optimal level of reserves is trending downward. Using stochastic control, we obtain another approximate or suboptimal set of values for both variables. These values closely mimic Egypt’s observed reserve and consumption measurements. Our findings indicate that Egypt’s actual reserves during 1985-2017 exceed estimated optimal levels of reserves, even under a highly risk averse scenario, and point out to the implied consumption costs.","PeriodicalId":299894,"journal":{"name":"Journal of Mathematical Finance","volume":"19 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-06-09","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"127867828","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 1
The Predictive Performance of Extreme Value Analysis Based-Models in Forecasting the Volatility of Cryptocurrencies 基于极值分析的模型在预测加密货币波动性中的预测性能
Journal of Mathematical Finance Pub Date : 2021-06-09 DOI: 10.4236/jmf.2021.113025
Cyprian O. Omari, Anthony Ngunyi
{"title":"The Predictive Performance of Extreme Value Analysis Based-Models in Forecasting the Volatility of Cryptocurrencies","authors":"Cyprian O. Omari, Anthony Ngunyi","doi":"10.4236/jmf.2021.113025","DOIUrl":"https://doi.org/10.4236/jmf.2021.113025","url":null,"abstract":"This paper implements the analysis of volatility behaviour of the eight major cryptocurrencies (Bitcoin, Ethereum, Ripple, Litecoin, Monero, Stellar, Dash and Tether) for the period starting from October 13th 2015 to November 18th 2019. The GARCH-type models with heavy-tailed distributions are fitted to filter the conditional volatility exhibited by cryptocurrencies. Extreme value analysis based on the peak over threshold approach is then used to model the extreme tail behaviour of the cryptocurrencies. The predictive performance of the GARCH-EVT model in forecasting Value-at-Risk is evaluated at both 5% and 1% levels of significance. The backtesting results demonstrate the superiority of the GARCH-EVT model in both out-of-sample forecasts and goodness-of-fit properties to cryptocurrency returns and forecasting Value-at-Risk. Overall, the empirical results of this study recommend the heavy-tailed GARCH-EVT based model for modelling and forecasting the volatility of cryptocurrencies.","PeriodicalId":299894,"journal":{"name":"Journal of Mathematical Finance","volume":"65 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-06-09","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"116807030","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 4
Spatio-Temporal Dynamics of the Spatial AK Model with Trade Costs 考虑贸易成本的空间AK模型的时空动态
Journal of Mathematical Finance Pub Date : 2021-06-09 DOI: 10.4236/jmf.2021.113023
Hanlei Hu, S. Lai
{"title":"Spatio-Temporal Dynamics of the Spatial AK Model with Trade Costs","authors":"Hanlei Hu, S. Lai","doi":"10.4236/jmf.2021.113023","DOIUrl":"https://doi.org/10.4236/jmf.2021.113023","url":null,"abstract":"In this paper, we introduce trade costs into the spatial AK model of economic growth and investigate the effects of trade costs on the spatio-temporal dynamics. We formulate an optimal control problem and obtain the evolution of the capital distribution along the optimal consumption trajectory via dynamic programming and semigroup theory. We also consider the convergence of the physical capital in the long-run and derive a value range for the cost coefficient that guarantee the convergence of the detrended capital across the location. Finally, we perform numerical simulations to support the analytical results and illustrate the spatiotemporal dynamics generated by the model.","PeriodicalId":299894,"journal":{"name":"Journal of Mathematical Finance","volume":"191 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-06-09","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"125848010","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 1
Combined Optimal Stopping and Mixed Regular-Singular Control of Jump Diffusions 跳跃扩散的组合最优停止与混合正则奇异控制
Journal of Mathematical Finance Pub Date : 2021-04-01 DOI: 10.4236/JMF.2021.112010
Charles Kusaya, Memory Mandiudza, Nicholas Mwareya, Confess Matete, Leonard Shambira, Nyashadzashe Ngaza
{"title":"Combined Optimal Stopping and Mixed Regular-Singular Control of Jump Diffusions","authors":"Charles Kusaya, Memory Mandiudza, Nicholas Mwareya, Confess Matete, Leonard Shambira, Nyashadzashe Ngaza","doi":"10.4236/JMF.2021.112010","DOIUrl":"https://doi.org/10.4236/JMF.2021.112010","url":null,"abstract":"In this paper, we examine a model that maximises dividend payments for an insurance company with a debt liability. We assume that the company has a policy to reinvest a proportion of its surplus cash before paying dividends to shareholders. We model the dynamics of the cash reserves as a jump-diffusion process. Combined optimal stopping and mixed regular-singular control of the jump-diffusion process is presented and investigated. In the paper, we show that when the premium rate  is less than the liability rate , then the company should not get into business and the optimal dividend policy is to immediately pay out the initial cash reserve as dividends to shareholders. For the case , we show that the optimal risk management depends on the current level of the cash reserves. We demonstrate that the company’s optimal dividend policy is to pay out as dividends surplus cash above a predetermined threshold. We also present numerical examples to illustrate the results obtained.","PeriodicalId":299894,"journal":{"name":"Journal of Mathematical Finance","volume":"56 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-04-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"125849478","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
The Driving Factors of China’s Housing Prices Pre- and after 2012 2012年前后中国房价的驱动因素分析
Journal of Mathematical Finance Pub Date : 2021-03-01 DOI: 10.4236/JMF.2021.112015
Haishan Li, Ting Pan, Qianqian Tang, Zhengxun Tan
{"title":"The Driving Factors of China’s Housing Prices Pre- and after 2012","authors":"Haishan Li, Ting Pan, Qianqian Tang, Zhengxun Tan","doi":"10.4236/JMF.2021.112015","DOIUrl":"https://doi.org/10.4236/JMF.2021.112015","url":null,"abstract":"While GDP and the money supply (M2), the two key demand fundamentals of China’s housing prices, shifted gears and decelerated after 2012, China’s housing prices maintained high growth rates, specifically during 2015-2018. To explain the puzzling phenomenon, we use the TVP-VAR model to compare the time-varying features of the factors driving up the housing prices. Our results depict the interesting finding that before 2012, macro-fundamental factors such as M2 and per capita GDP were the key drivers of housing prices. But after 2012, shadow banking had gained explanatory power alongside M2 and per capita GDP.","PeriodicalId":299894,"journal":{"name":"Journal of Mathematical Finance","volume":"13 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"129571167","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 1
Convergence of a Randomised Change Point Estimator in GARCH Models GARCH模型中随机变点估计量的收敛性
Journal of Mathematical Finance Pub Date : 2021-03-01 DOI: 10.4236/JMF.2021.112013
George Awiakye-Marfo, J. Mung'atu, Patrick G. O. Weke
{"title":"Convergence of a Randomised Change Point Estimator in GARCH Models","authors":"George Awiakye-Marfo, J. Mung'atu, Patrick G. O. Weke","doi":"10.4236/JMF.2021.112013","DOIUrl":"https://doi.org/10.4236/JMF.2021.112013","url":null,"abstract":"In this paper, the randomised pseudolikelihood ratio change point estimator for GARCH models in [1] is employed and its limiting distribution is derived as the supremum of a standard Brownian bridge. Data analysis to validate the estimator is carried out using the United states dollar (USD)-Ghana cedi (GHS) daily exchange rate data. The randomised estimator is able to detect and estimate a single change in the variance structure of the data and provides a reference point for historic data analysis.","PeriodicalId":299894,"journal":{"name":"Journal of Mathematical Finance","volume":"11 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"125656510","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Impact of Dual Stock Holding and Stochastic Income on the Investor’s Remuneration Package 双重持股和随机收益对投资者薪酬的影响
Journal of Mathematical Finance Pub Date : 2021-03-01 DOI: 10.4236/JMF.2021.112011
Kebareng I. Moalosi-Court, E. Lungu, E. Offen
{"title":"Impact of Dual Stock Holding and Stochastic Income on the Investor’s Remuneration Package","authors":"Kebareng I. Moalosi-Court, E. Lungu, E. Offen","doi":"10.4236/JMF.2021.112011","DOIUrl":"https://doi.org/10.4236/JMF.2021.112011","url":null,"abstract":"In this paper, we have investigated how an \u0000investor’s income, who is rewarded by managing dual company stocks and \u0000additionally receives stochastic income, grows. We have calculated the optimal \u0000stock price and \u0000the optimal stock output that \u0000maximize his returns. We have shown that the best strategy is to choose from the set of prices .","PeriodicalId":299894,"journal":{"name":"Journal of Mathematical Finance","volume":"24 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"123606139","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 1
Interest and Growth 兴趣与成长
Journal of Mathematical Finance Pub Date : 2021-03-01 DOI: 10.4236/JMF.2021.112016
Andrew P. Leung
{"title":"Interest and Growth","authors":"Andrew P. Leung","doi":"10.4236/JMF.2021.112016","DOIUrl":"https://doi.org/10.4236/JMF.2021.112016","url":null,"abstract":"This paper considers the relationship between population growth and capital accumulation. In general, the relationship is not monotonic; there is a tension between two opposing effects: a higher growth rate diluting capital that has already been accumulated, and the ability of a growing population to generate its own wealth. The strengths of these effects depend on the population structure and the time horizon for each generation to accumulate wealth. This type of analysis has been conducted within a natural Overlapping Generations framework. However, an explicit assumption is needed to allow a comparatively static analysis of levels of population growth and capital accumulation. That assumption is effectively the requirement for each generation to be self supporting in terms of its consumption and contribution to production. We show that this assumption can be justified in theory by a form of economic efficiency with respect to population changes, referred to as demographic efficiency. This analysis is also conducted within the Overlapping Generations model of modern economics. An interesting aspect is the structure of “steady state” economies, that is where each consumer is identical to any other through time. With simple examples and assumptions, this paper demonstrates that a given interest rate can support more than one population growth rate (unlike Samuelson’s golden rule, where these rates are equal). The ramifications for non steady state economies are accordingly more complex","PeriodicalId":299894,"journal":{"name":"Journal of Mathematical Finance","volume":"29 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"125079605","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Empirical Research on the Impact of Real Estate on Economic Development 房地产对经济发展影响的实证研究
Journal of Mathematical Finance Pub Date : 2021-03-01 DOI: 10.4236/JMF.2021.112014
Shichang Shen
{"title":"Empirical Research on the Impact of Real Estate on Economic Development","authors":"Shichang Shen","doi":"10.4236/JMF.2021.112014","DOIUrl":"https://doi.org/10.4236/JMF.2021.112014","url":null,"abstract":"Real estate development investment has a significant impact on economic development. Based on data from 17 prefecture-level cities and prefectures in Hubei Province from 2002 to 2018, the relationship between real estate development investment and economic growth is analyzed with the help of panel data models. The study found that there is a long-term equilibrium relationship between the two, and there are regional differences in the impact of real estate development investment on economic growth in Hubei Province. Among them, Wuhan has the largest impact and Shennongjia forest area has the smallest impact. The impact of real estate development investment on economic growth depends on the level of regional economic development.","PeriodicalId":299894,"journal":{"name":"Journal of Mathematical Finance","volume":"52 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"127520847","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 1
Application of Generalized Geometric Itô-Lévy Process to Investment-Consumption-Insurance Optimization Problem under Inflation Risk 广义几何Itô-Lévy过程在通货膨胀风险下投资-消费-保险优化问题中的应用
Journal of Mathematical Finance Pub Date : 2021-03-01 DOI: 10.4236/JMF.2021.112008
Obonye Doctor
{"title":"Application of Generalized Geometric Itô-Lévy Process to Investment-Consumption-Insurance Optimization Problem under Inflation Risk","authors":"Obonye Doctor","doi":"10.4236/JMF.2021.112008","DOIUrl":"https://doi.org/10.4236/JMF.2021.112008","url":null,"abstract":"We consider a problem of maximizing the utility of an agent who invests in a stock, money market account and an index bond incorporating life insurance, deterministic income, and consumption. The stock is assumed to be a generalized geometric It?-Levy process. Assuming a power utility function, we determine the optimal investment-consumption-insurance strategy under inflation risk for the investor in a jump-diffusion setting using martingale approach.","PeriodicalId":299894,"journal":{"name":"Journal of Mathematical Finance","volume":"129 ","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"113984905","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 1
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