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An integrated model for fire sales and default contagion 一个关于甩卖和违约传染的综合模型
IF 1.6 3区 经济学
Mathematics and Financial Economics Pub Date : 2020-06-27 DOI: 10.1007/s11579-020-00273-y
Nils Detering, T. Meyer-Brandis, K. Panagiotou, D. Ritter
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引用次数: 7
Properly discounted asset prices are semimartingales 适当贴现的资产价格是半鞅
IF 1.6 3区 经济学
Mathematics and Financial Economics Pub Date : 2020-06-11 DOI: 10.1007/s11579-020-00269-8
D. Bálint, M. Schweizer
{"title":"Properly discounted asset prices are semimartingales","authors":"D. Bálint, M. Schweizer","doi":"10.1007/s11579-020-00269-8","DOIUrl":"https://doi.org/10.1007/s11579-020-00269-8","url":null,"abstract":"","PeriodicalId":48722,"journal":{"name":"Mathematics and Financial Economics","volume":null,"pages":null},"PeriodicalIF":1.6,"publicationDate":"2020-06-11","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"78145292","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 1
Robust time-consistent mean–variance portfolio selection problem with multivariate stochastic volatility 多元随机波动的稳健时一致均值方差投资选择问题
IF 1.6 3区 经济学
Mathematics and Financial Economics Pub Date : 2020-06-08 DOI: 10.1007/s11579-020-00271-0
Tingjin Yan, Bingyan Han, Chi Seng Pun, H. Y. Wong
{"title":"Robust time-consistent mean–variance portfolio selection problem with multivariate stochastic volatility","authors":"Tingjin Yan, Bingyan Han, Chi Seng Pun, H. Y. Wong","doi":"10.1007/s11579-020-00271-0","DOIUrl":"https://doi.org/10.1007/s11579-020-00271-0","url":null,"abstract":"","PeriodicalId":48722,"journal":{"name":"Mathematics and Financial Economics","volume":null,"pages":null},"PeriodicalIF":1.6,"publicationDate":"2020-06-08","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"74460541","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Compound Poisson models for weighted networks with applications in finance 加权网络的复合泊松模型及其在金融中的应用
IF 1.6 3区 经济学
Mathematics and Financial Economics Pub Date : 2020-05-29 DOI: 10.1007/s11579-020-00268-9
A. Gandy, L. Veraart
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引用次数: 1
Optimal finite horizon contract with limited commitment 有限承诺的最优有限地平线契约
IF 1.6 3区 经济学
Mathematics and Financial Economics Pub Date : 2020-05-29 DOI: 10.1007/s11579-021-00309-x
Junkee Jeon, H. Koo, Kyunghyun Park
{"title":"Optimal finite horizon contract with limited commitment","authors":"Junkee Jeon, H. Koo, Kyunghyun Park","doi":"10.1007/s11579-021-00309-x","DOIUrl":"https://doi.org/10.1007/s11579-021-00309-x","url":null,"abstract":"","PeriodicalId":48722,"journal":{"name":"Mathematics and Financial Economics","volume":null,"pages":null},"PeriodicalIF":1.6,"publicationDate":"2020-05-29","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"80534107","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 1
Asset pricing in a pure exchange economy with heterogeneous investors 异质投资者纯交换经济下的资产定价
IF 1.6 3区 经济学
Mathematics and Financial Economics Pub Date : 2020-05-29 DOI: 10.1007/s11579-020-00266-x
Xinfeng Ruan, Jin E. Zhang
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引用次数: 1
Systemic credit freezes in financial lending networks 金融借贷网络的系统性信贷冻结
IF 1.6 3区 经济学
Mathematics and Financial Economics Pub Date : 2020-05-01 DOI: 10.3386/w27149
Daron Acemoglu, A. Ozdaglar, James Siderius, A. Tahbaz-Salehi
{"title":"Systemic credit freezes in financial lending networks","authors":"Daron Acemoglu, A. Ozdaglar, James Siderius, A. Tahbaz-Salehi","doi":"10.3386/w27149","DOIUrl":"https://doi.org/10.3386/w27149","url":null,"abstract":"This paper develops a network model of interbank lending, in which banks decide to extend credit to their potential borrowers. Borrowers are subject to shocks that may force them to default on their loans. In contrast to much of the previous literature on financial networks, we focus on how anticipation of future defaults may result in ex ante “credit freezes,” whereby banks refuse to extend credit to one another. We first characterize the terms of the interbank contracts and the patterns of interbank lending that emerge in equilibrium. We then study how shifts in the distribution of shocks can result in complex credit freezes that travel throughout the network. We use this framework to analyze the effects of various policy interventions on systemic credit freezes.","PeriodicalId":48722,"journal":{"name":"Mathematics and Financial Economics","volume":null,"pages":null},"PeriodicalIF":1.6,"publicationDate":"2020-05-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"81059130","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 6
Compound Poisson models for weighted networks with applications in finance 加权网络的复合泊松模型及其在金融中的应用
IF 1.6 3区 经济学
Mathematics and Financial Economics Pub Date : 2020-04-13 DOI: 10.2139/ssrn.3401059
A. Gandy, L. Veraart
{"title":"Compound Poisson models for weighted networks with applications in finance","authors":"A. Gandy, L. Veraart","doi":"10.2139/ssrn.3401059","DOIUrl":"https://doi.org/10.2139/ssrn.3401059","url":null,"abstract":"We develop a modelling framework for estimating and predicting weighted network data. The edge weights in weighted networks often arise from aggregating some individual relationships between the nodes. Motivated by this, we introduce a modelling framework for weighted networks based on the compound Poisson distribution. To allow for heterogeneity between the nodes, we use a regression approach for the model parameters. We test the new modelling framework on two types of financial networks: a network of financial institutions in which the edge weights represent exposures from trading Credit Default Swaps and a network of countries in which the edge weights represent cross-border lending. The compound Poisson Gamma distributions with regression fit the data well in both situations. We illustrate how this modelling framework can be used for predicting unobserved edges and their weights in an only partially observed network. This is for example relevant for assessing systemic risk in financial networks.","PeriodicalId":48722,"journal":{"name":"Mathematics and Financial Economics","volume":null,"pages":null},"PeriodicalIF":1.6,"publicationDate":"2020-04-13","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"76060319","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 3
No–arbitrage commodity option pricing with market manipulation 无套利商品期权定价与市场操纵
IF 1.6 3区 经济学
Mathematics and Financial Economics Pub Date : 2020-04-02 DOI: 10.1007/s11579-020-00265-y
R. Aïd, Giorgia Callegaro, L. Campi
{"title":"No–arbitrage commodity option pricing with market manipulation","authors":"R. Aïd, Giorgia Callegaro, L. Campi","doi":"10.1007/s11579-020-00265-y","DOIUrl":"https://doi.org/10.1007/s11579-020-00265-y","url":null,"abstract":"","PeriodicalId":48722,"journal":{"name":"Mathematics and Financial Economics","volume":null,"pages":null},"PeriodicalIF":1.6,"publicationDate":"2020-04-02","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"83420113","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 2
No arbitrage in continuous financial markets 在连续的金融市场中没有套利
IF 1.6 3区 经济学
Mathematics and Financial Economics Pub Date : 2020-03-14 DOI: 10.1007/s11579-020-00262-1
David Criens
{"title":"No arbitrage in continuous financial markets","authors":"David Criens","doi":"10.1007/s11579-020-00262-1","DOIUrl":"https://doi.org/10.1007/s11579-020-00262-1","url":null,"abstract":"","PeriodicalId":48722,"journal":{"name":"Mathematics and Financial Economics","volume":null,"pages":null},"PeriodicalIF":1.6,"publicationDate":"2020-03-14","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"81436780","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 8
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