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Multivariate tempered stable additive subordination for financial models 金融模型的多变量回火稳定加性隶属关系
IF 1.6 3区 经济学
Mathematics and Financial Economics Pub Date : 2021-05-03 DOI: 10.1007/s11579-022-00321-9
P. Semeraro
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引用次数: 2
Risk management with expected shortfall 风险管理与预期不足
IF 1.6 3区 经济学
Mathematics and Financial Economics Pub Date : 2021-04-30 DOI: 10.1007/s11579-021-00298-x
Pengyu Wei
{"title":"Risk management with expected shortfall","authors":"Pengyu Wei","doi":"10.1007/s11579-021-00298-x","DOIUrl":"https://doi.org/10.1007/s11579-021-00298-x","url":null,"abstract":"","PeriodicalId":48722,"journal":{"name":"Mathematics and Financial Economics","volume":"60 1","pages":"847 - 883"},"PeriodicalIF":1.6,"publicationDate":"2021-04-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"75997715","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: 7
Dynamically complete markets under Brownian motion 布朗运动下的动态完全市场
IF 1.6 3区 经济学
Mathematics and Financial Economics Pub Date : 2021-04-29 DOI: 10.1007/s11579-021-00294-1
Theodoros M. Diasakos
{"title":"Dynamically complete markets under Brownian motion","authors":"Theodoros M. Diasakos","doi":"10.1007/s11579-021-00294-1","DOIUrl":"https://doi.org/10.1007/s11579-021-00294-1","url":null,"abstract":"<p>This paper investigates how continuous-time trading renders complete a financial market in which the underlying risk process is a Brownian motion. A sufficient condition, that the instantaneous dispersion matrix of the relative dividends is non-degenerate, has been established in the literature for single-commodity, pure-exchange economies with many heterogenous agents where the securities’ dividends as well as the agents’ utilities and endowments include flows during the trading horizon which are analytic functions. In sharp contrast, the present analysis is based upon a different mathematical argument that assumes neither analyticity nor a particular underlying economic environment. The novelty of our approach lies in deriving closed-form expressions for the dispersion coefficients of the securities’ prices. To this end, we assume only that the pricing kernels and dividends satisfy standard growth and smoothness restrictions (mild enough to allow even for options). In this sense, our sufficiency conditions apply irrespectively of preferences, endowments or other structural elements (for instance, whether or not the budget constraints include only pure exchange).</p>","PeriodicalId":48722,"journal":{"name":"Mathematics and Financial Economics","volume":"3 1-2","pages":""},"PeriodicalIF":1.6,"publicationDate":"2021-04-29","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"138507916","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
Diffusion bank networks and capital flows 扩散银行网络和资本流动
IF 1.6 3区 经济学
Mathematics and Financial Economics Pub Date : 2021-04-28 DOI: 10.1007/s11579-021-00297-y
Ioannis Leventidis, E. Melas
{"title":"Diffusion bank networks and capital flows","authors":"Ioannis Leventidis, E. Melas","doi":"10.1007/s11579-021-00297-y","DOIUrl":"https://doi.org/10.1007/s11579-021-00297-y","url":null,"abstract":"","PeriodicalId":48722,"journal":{"name":"Mathematics and Financial Economics","volume":"46 1","pages":"811 - 845"},"PeriodicalIF":1.6,"publicationDate":"2021-04-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"80074960","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
Utility maximization in a multidimensional semimartingale model with nonlinear wealth dynamics 具有非线性财富动态的多维半鞅模型中的效用最大化
IF 1.6 3区 经济学
Mathematics and Financial Economics Pub Date : 2021-03-29 DOI: 10.1007/s11579-021-00296-z
Mauricio Junca, Rafael Serrano
{"title":"Utility maximization in a multidimensional semimartingale model with nonlinear wealth dynamics","authors":"Mauricio Junca, Rafael Serrano","doi":"10.1007/s11579-021-00296-z","DOIUrl":"https://doi.org/10.1007/s11579-021-00296-z","url":null,"abstract":"","PeriodicalId":48722,"journal":{"name":"Mathematics and Financial Economics","volume":"596 1","pages":"775 - 809"},"PeriodicalIF":1.6,"publicationDate":"2021-03-29","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"77238826","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 the market price of risk 风险的市场价格
IF 1.6 3区 经济学
Mathematics and Financial Economics Pub Date : 2021-03-19 DOI: 10.1007/s11579-021-00293-2
R. M. Korkie, H. Turtle
{"title":"On the market price of risk","authors":"R. M. Korkie, H. Turtle","doi":"10.1007/s11579-021-00293-2","DOIUrl":"https://doi.org/10.1007/s11579-021-00293-2","url":null,"abstract":"","PeriodicalId":48722,"journal":{"name":"Mathematics and Financial Economics","volume":"29 1","pages":"675 - 718"},"PeriodicalIF":1.6,"publicationDate":"2021-03-19","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"81028421","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
Safety-first portfolio selection 安全第一的投资组合选择
IF 1.6 3区 经济学
Mathematics and Financial Economics Pub Date : 2021-02-11 DOI: 10.1007/s11579-021-00292-3
Wan-Yi Chiu
{"title":"Safety-first portfolio selection","authors":"Wan-Yi Chiu","doi":"10.1007/s11579-021-00292-3","DOIUrl":"https://doi.org/10.1007/s11579-021-00292-3","url":null,"abstract":"","PeriodicalId":48722,"journal":{"name":"Mathematics and Financial Economics","volume":"52 1","pages":"657 - 674"},"PeriodicalIF":1.6,"publicationDate":"2021-02-11","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"74234590","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: 4
Connectedness versus diversification: two sides of the same coin 连通性与多样化:同一枚硬币的两面
IF 1.6 3区 经济学
Mathematics and Financial Economics Pub Date : 2021-02-09 DOI: 10.1007/s11579-021-00291-4
M. Torrente, P. Uberti
{"title":"Connectedness versus diversification: two sides of the same coin","authors":"M. Torrente, P. Uberti","doi":"10.1007/s11579-021-00291-4","DOIUrl":"https://doi.org/10.1007/s11579-021-00291-4","url":null,"abstract":"","PeriodicalId":48722,"journal":{"name":"Mathematics and Financial Economics","volume":"30 1","pages":"639 - 655"},"PeriodicalIF":1.6,"publicationDate":"2021-02-09","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"90104824","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
Climate change adaptation under heterogeneous beliefs 异质信仰下的气候变化适应
IF 1.6 3区 经济学
Mathematics and Financial Economics Pub Date : 2021-01-20 DOI: 10.2139/ssrn.3770442
Marcel Nutz, Florian Stebegg
{"title":"Climate change adaptation under heterogeneous beliefs","authors":"Marcel Nutz, Florian Stebegg","doi":"10.2139/ssrn.3770442","DOIUrl":"https://doi.org/10.2139/ssrn.3770442","url":null,"abstract":"We study strategic interactions between firms with heterogeneous beliefs about future climate impacts. To that end, we propose a Cournot-type equilibrium model where firms choose mitigation efforts and production quantities such as to maximize the expected profits under their subjective beliefs. It is shown that optimal mitigation efforts are increased by the presence of uncertainty and act as substitutes; i.e., one firm’s lack of mitigation incentivizes others to act more decidedly, and vice versa.","PeriodicalId":48722,"journal":{"name":"Mathematics and Financial Economics","volume":"27 1","pages":"481 - 508"},"PeriodicalIF":1.6,"publicationDate":"2021-01-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"81825674","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
Forward price and fitting of electricity Nord Pool market under regime-switching two-factor model 制度切换双因素模型下北池电力市场远期价格与拟合
IF 1.6 3区 经济学
Mathematics and Financial Economics Pub Date : 2021-01-11 DOI: 10.1007/s11579-020-00287-6
F. Mehrdoust, Idin Noorani
{"title":"Forward price and fitting of electricity Nord Pool market under regime-switching two-factor model","authors":"F. Mehrdoust, Idin Noorani","doi":"10.1007/s11579-020-00287-6","DOIUrl":"https://doi.org/10.1007/s11579-020-00287-6","url":null,"abstract":"","PeriodicalId":48722,"journal":{"name":"Mathematics and Financial Economics","volume":"82 12","pages":"501 - 543"},"PeriodicalIF":1.6,"publicationDate":"2021-01-11","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1007/s11579-020-00287-6","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"72453857","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: 10
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