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Energy transition under scenario uncertainty: a mean-field game of stopping with common noise 情景不确定下的能源转型：带有共同噪声的平均场停止博弈
IF 1.6 3区 经济学
Mathematics and Financial Economics Pub Date : 2024-01-24 DOI: 10.1007/s11579-023-00352-w
Roxana Dumitrescu, Marcos Leutscher, Peter Tankov
{"title":"Energy transition under scenario uncertainty: a mean-field game of stopping with common noise","authors":"Roxana Dumitrescu, Marcos Leutscher, Peter Tankov","doi":"10.1007/s11579-023-00352-w","DOIUrl":"https://doi.org/10.1007/s11579-023-00352-w","url":null,"abstract":"<p>We study the impact of transition scenario uncertainty, namely that of future carbon price and electricity demand, on the pace of decarbonization of the electricity industry. To this end, we develop a theory of optimal stopping mean-field games with non-Markovian common noise and partial observation. For mathematical tractability, the theory is formulated in discrete time and with common noise restricted to a finite probability space. We prove the existence of Nash equilibria for this game using the linear programming approach. We then apply the general theory to build a discrete time model for the long-term dynamics of the electricity market subject to common random shocks affecting the carbon price and the electricity demand. We consider two classes of agents: conventional producers and renewable producers. The former choose an optimal moment to exit the market and the latter choose an optimal moment to enter the market by investing into renewable generation. The agents interact through the market price determined by a merit order mechanism with an exogenous stochastic demand. We illustrate our model by an example inspired by the UK electricity market, and show that scenario uncertainty leads to significant changes in the speed of replacement of conventional generators by renewable production.</p>","PeriodicalId":48722,"journal":{"name":"Mathematics and Financial Economics","volume":"30 1","pages":""},"PeriodicalIF":1.6,"publicationDate":"2024-01-24","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139558866","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
A mean field model for the development of renewable capacities 可再生能源发展的平均场模型
IF 1.6 3区 经济学
Mathematics and Financial Economics Pub Date : 2023-11-25 DOI: 10.1007/s11579-023-00348-6
Clémence Alasseur, Matteo Basei, Charles Bertucci, Alekos Cecchin
{"title":"A mean field model for the development of renewable capacities","authors":"Clémence Alasseur, Matteo Basei, Charles Bertucci, Alekos Cecchin","doi":"10.1007/s11579-023-00348-6","DOIUrl":"https://doi.org/10.1007/s11579-023-00348-6","url":null,"abstract":"<p>We propose a model based on a large number of small competitive producers of renewable energies, to study the effect of subsidies on the aggregate level of capacity, taking into account a cannibalization effect. We first derive a model to explain how long-time equilibrium can be reached on the market of production of renewable electricity and compare this equilibrium to the case of monopoly. Then we consider the case in which other capacities of production adjust to the production of renewable energies. The analysis is based on a master equation and we get explicit formulae for the long-time equilibria. We also provide new numerical methods to simulate the master equation and the evolution of the capacities. Thus we find the optimal subsidies to be given by a central planner to the installation and the production in order to reach a desired equilibrium capacity.</p>","PeriodicalId":48722,"journal":{"name":"Mathematics and Financial Economics","volume":"10 1","pages":""},"PeriodicalIF":1.6,"publicationDate":"2023-11-25","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"138532198","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
Dynamic debt issuance with jumps 动态债券发行跳跃
IF 1.6 3区 经济学
Mathematics and Financial Economics Pub Date : 2023-11-22 DOI: 10.1007/s11579-023-00347-7
Andreea Minca, Johannes Wissel
{"title":"Dynamic debt issuance with jumps","authors":"Andreea Minca, Johannes Wissel","doi":"10.1007/s11579-023-00347-7","DOIUrl":"https://doi.org/10.1007/s11579-023-00347-7","url":null,"abstract":"","PeriodicalId":48722,"journal":{"name":"Mathematics and Financial Economics","volume":"22 1","pages":"663 - 694"},"PeriodicalIF":1.6,"publicationDate":"2023-11-22","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"138532190","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
Optimal insurance design under belief-dependent utility and ambiguity 信念依赖效用和模糊性下的最优保险设计
IF 1.6 3区 经济学
Mathematics and Financial Economics Pub Date : 2023-11-20 DOI: 10.1007/s11579-023-00349-5
Yulian Fan
{"title":"Optimal insurance design under belief-dependent utility and ambiguity","authors":"Yulian Fan","doi":"10.1007/s11579-023-00349-5","DOIUrl":"https://doi.org/10.1007/s11579-023-00349-5","url":null,"abstract":"<p>We introduce a smooth decision model under ambiguity by the belief-dependent utility (BDU) proposed in Fan (Acta Math Appl Sin 37(4):682–696, 2021). Using the smooth decision model under BDU, we get the explicit optimal insurance policy for the insurer. Then the optimal insurance policy for the insured under premium constraint (the insurer is assumed to be risk neutral) is studied. The explicit results can explain some notable behaviors in insurance demand which are inconsistent with the classical insurance contracting literature. For example, if the insured is very sensitive to small losses and the insurer is not so sensitive to small losses (or the insurer is risk neutral), the insured will prefer to purchase warranties for small losses rather than buy protections against devastating losses, which is consistent with some insurance demand behaviors observed on the insurance market. If the insured is less sensitive to small losses than the insurer, insurance policy against large losses above a deductible will be popular. At last, this paper provides an example.</p>","PeriodicalId":48722,"journal":{"name":"Mathematics and Financial Economics","volume":"129 1","pages":""},"PeriodicalIF":1.6,"publicationDate":"2023-11-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"138532197","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
An elementary proof of the dual representation of Expected Shortfall 期望缺额对偶表示的初步证明
IF 1.6 3区 经济学
Mathematics and Financial Economics Pub Date : 2023-11-16 DOI: 10.1007/s11579-023-00346-8
Martin Herdegen, Cosimo Munari
{"title":"An elementary proof of the dual representation of Expected Shortfall","authors":"Martin Herdegen, Cosimo Munari","doi":"10.1007/s11579-023-00346-8","DOIUrl":"https://doi.org/10.1007/s11579-023-00346-8","url":null,"abstract":"<p>We provide an elementary proof of the dual representation of Expected Shortfall on the space of integrable random variables over a general probability space. Unlike the results in the extant literature, our proof only exploits basic properties of quantile functions and can thus be easily implemented in any graduate course on risk measures. As a byproduct, we obtain a new proof of the subadditivity of Expected Shortfall.</p>","PeriodicalId":48722,"journal":{"name":"Mathematics and Financial Economics","volume":"39 1","pages":""},"PeriodicalIF":1.6,"publicationDate":"2023-11-16","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"138532158","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
On intermediate marginals in martingale optimal transportation 鞅最优运输的中间边际
3区 经济学
Mathematics and Financial Economics Pub Date : 2023-11-07 DOI: 10.1007/s11579-023-00345-9
Julian Sester
{"title":"On intermediate marginals in martingale optimal transportation","authors":"Julian Sester","doi":"10.1007/s11579-023-00345-9","DOIUrl":"https://doi.org/10.1007/s11579-023-00345-9","url":null,"abstract":"","PeriodicalId":48722,"journal":{"name":"Mathematics and Financial Economics","volume":"265 10‐24","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2023-11-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"135475353","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
Investment in two alternative projects with multiple switches and the exit option 投资于两个具有多个开关和退出选项的备选项目
IF 1.6 3区 经济学
Mathematics and Financial Economics Pub Date : 2023-08-03 DOI: 10.1007/s11579-023-00343-x
Igor V. Kravchenko, C. Nunes, Carlos Oliveira
{"title":"Investment in two alternative projects with multiple switches and the exit option","authors":"Igor V. Kravchenko, C. Nunes, Carlos Oliveira","doi":"10.1007/s11579-023-00343-x","DOIUrl":"https://doi.org/10.1007/s11579-023-00343-x","url":null,"abstract":"","PeriodicalId":48722,"journal":{"name":"Mathematics and Financial Economics","volume":"73 1","pages":""},"PeriodicalIF":1.6,"publicationDate":"2023-08-03","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"86027163","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
Optimization of regional economic industrial structure based on fuzzy k-means algorithm 基于模糊k均值算法的区域经济产业结构优化
IF 1.6 3区 经济学
Mathematics and Financial Economics Pub Date : 2023-07-28 DOI: 10.1007/s11579-023-00340-0
Y. Wang
{"title":"Optimization of regional economic industrial structure based on fuzzy k-means algorithm","authors":"Y. Wang","doi":"10.1007/s11579-023-00340-0","DOIUrl":"https://doi.org/10.1007/s11579-023-00340-0","url":null,"abstract":"","PeriodicalId":48722,"journal":{"name":"Mathematics and Financial Economics","volume":"213 1","pages":""},"PeriodicalIF":1.6,"publicationDate":"2023-07-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"85518195","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
Valuation of vulnerable options with stochastic corporate liabilities in a mixed fractional Brownian motion environment 混合分数布朗运动环境下随机公司负债易损期权的估值
IF 1.6 3区 经济学
Mathematics and Financial Economics Pub Date : 2023-07-10 DOI: 10.1007/s11579-023-00339-7
Panhong Cheng, Zhihong Xu, Zexing Dai
{"title":"Valuation of vulnerable options with stochastic corporate liabilities in a mixed fractional Brownian motion environment","authors":"Panhong Cheng, Zhihong Xu, Zexing Dai","doi":"10.1007/s11579-023-00339-7","DOIUrl":"https://doi.org/10.1007/s11579-023-00339-7","url":null,"abstract":"","PeriodicalId":48722,"journal":{"name":"Mathematics and Financial Economics","volume":"353 1","pages":"429 - 455"},"PeriodicalIF":1.6,"publicationDate":"2023-07-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"76465862","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
Optimal design of bank regulation under aggregate risk 总风险下银行监管的优化设计
IF 1.6 3区 经济学
Mathematics and Financial Economics Pub Date : 2023-07-06 DOI: 10.1007/s11579-023-00338-8
Ahmad Peivandi, M. Rezaei, Ajay Subramanian
{"title":"Optimal design of bank regulation under aggregate risk","authors":"Ahmad Peivandi, M. Rezaei, Ajay Subramanian","doi":"10.1007/s11579-023-00338-8","DOIUrl":"https://doi.org/10.1007/s11579-023-00338-8","url":null,"abstract":"","PeriodicalId":48722,"journal":{"name":"Mathematics and Financial Economics","volume":"1984 1","pages":"373 - 427"},"PeriodicalIF":1.6,"publicationDate":"2023-07-06","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"88188768","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
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