Mathematics and Financial Economics最新文献

{"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":null,"pages":null},"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}

{"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":null,"pages":null},"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}

{"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":null,"pages":null},"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}

{"title":"Asymptotics for volatility derivatives in multi-factor rough volatility models","authors":"Chloé Lacombe, Aitor Muguruza, Henry Stone","doi":"10.1007/s11579-020-00288-5","DOIUrl":"https://doi.org/10.1007/s11579-020-00288-5","url":null,"abstract":"","PeriodicalId":48722,"journal":{"name":"Mathematics and Financial Economics","volume":null,"pages":null},"PeriodicalIF":1.6,"publicationDate":"2021-01-09","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"84406931","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}

{"title":"Correction to: No-arbitrage commodity option pricing with market manipulation","authors":"R. Aïd, Giorgia Callegaro, L. Campi","doi":"10.1007/s11579-020-00285-8","DOIUrl":"https://doi.org/10.1007/s11579-020-00285-8","url":null,"abstract":"","PeriodicalId":48722,"journal":{"name":"Mathematics and Financial Economics","volume":null,"pages":null},"PeriodicalIF":1.6,"publicationDate":"2021-01-09","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"77316384","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}

{"title":"Multiple yield curve modelling with CBI processes","authors":"Claudio Fontana, Alessandro Gnoatto, Guillaume Szulda","doi":"10.1007/s11579-020-00289-4","DOIUrl":"https://doi.org/10.1007/s11579-020-00289-4","url":null,"abstract":"","PeriodicalId":48722,"journal":{"name":"Mathematics and Financial Economics","volume":null,"pages":null},"PeriodicalIF":1.6,"publicationDate":"2021-01-09","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"86750758","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}

{"title":"Governmental incentives for green bonds investment","authors":"Bastien Baldacci, Dylan Possamaï","doi":"10.1007/s11579-022-00320-w","DOIUrl":"https://doi.org/10.1007/s11579-022-00320-w","url":null,"abstract":"","PeriodicalId":48722,"journal":{"name":"Mathematics and Financial Economics","volume":null,"pages":null},"PeriodicalIF":1.6,"publicationDate":"2021-01-03","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"75164829","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}

{"title":"Preface to the special issue on systemic risk and financial networks","authors":"A. Capponi, R. Jarrow","doi":"10.1007/s11579-020-00286-7","DOIUrl":"https://doi.org/10.1007/s11579-020-00286-7","url":null,"abstract":"","PeriodicalId":48722,"journal":{"name":"Mathematics and Financial Economics","volume":null,"pages":null},"PeriodicalIF":1.6,"publicationDate":"2021-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1007/s11579-020-00286-7","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"72374008","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}

{"title":"A financial market with singular drift and no arbitrage.","authors":"Nacira Agram, Bernt Øksendal","doi":"10.1007/s11579-020-00284-9","DOIUrl":"10.1007/s11579-020-00284-9","url":null,"abstract":"<p><p>We study a financial market where the risky asset is modelled by a geometric Itô-Lévy process, with a singular drift term. This can for example model a situation where the asset price is partially controlled by a company which intervenes when the price is reaching a certain lower barrier. See e.g. Jarrow and Protter (J Bank Finan 29:2803-2820, 2005) for an explanation and discussion of this model in the Brownian motion case. As already pointed out by Karatzas and Shreve (Methods of Mathematical Finance, Springer, Berlin, 1998) (in the continuous setting), this allows for arbitrages in the market. However, the situation in the case of jumps is not clear. Moreover, it is not clear what happens if there is a delay in the system. In this paper we consider a jump diffusion market model with a singular drift term modelled as the local time of a given process, and with a delay <math><mrow><mi>θ</mi><mo>></mo><mn>0</mn></mrow></math> in the information flow available for the trader. We allow the stock price dynamics to depend on both a continuous process (Brownian motion) and a jump process (Poisson random measure). We believe that jumps and delays are essential in order to get more realistic financial market models. Using white noise calculus we compute explicitly the optimal consumption rate and portfolio in this case and we show that the maximal value is finite as long as <math><mrow><mi>θ</mi><mo>></mo><mn>0</mn></mrow></math>. This implies that there is no arbitrage in the market in that case. However, when <math><mi>θ</mi></math> goes to 0, the value goes to infinity. This is in agreement with the above result that is an arbitrage when there is no delay. Our model is also relevant for high frequency trading issues. This is because high frequency trading often leads to intensive trading taking place on close to infinitesimal lengths of time, which in the limit corresponds to trading on time sets of measure 0. This may in turn lead to a singular drift in the pricing dynamics. See e.g. Lachapelle et al. (Math Finan Econom 10(3):223-262, 2016) and the references therein.</p>","PeriodicalId":48722,"journal":{"name":"Mathematics and Financial Economics","volume":null,"pages":null},"PeriodicalIF":1.6,"publicationDate":"2021-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://www.ncbi.nlm.nih.gov/pmc/articles/PMC7688205/pdf/","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"81936947","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"A Gamma Ornstein-Uhlenbeck model driven by a Hawkes process.","authors":"Guillaume Bernis, Riccardo Brignone, Simone Scotti, Carlo Sgarra","doi":"10.1007/s11579-021-00295-0","DOIUrl":"10.1007/s11579-021-00295-0","url":null,"abstract":"<p><p>We propose an extension of the <math><mi>Γ</mi></math>-OU Barndorff-Nielsen and Shephard model taking into account jump clustering phenomena. We assume that the intensity process of the Hawkes driver coincides, up to a constant, with the variance process. By applying the theory of continuous-state branching processes with immigration, we prove existence and uniqueness of strong solutions of the SDE governing the asset price dynamics. We propose a measure change of self-exciting Esscher type in order to describe the relation between the risk-neutral and the historical dynamics, showing that the <math><mi>Γ</mi></math>-OU Hawkes framework is stable under this probability change. By exploiting the affine features of the model we provide an explicit form for the Laplace transform of the asset log-return, for its quadratic variation and for the ergodic distribution of the variance process. We show that the proposed model exhibits a larger flexibility in comparison with the <math><mi>Γ</mi></math>-OU model, in spite of the same number of parameters required. We calibrate the model on market vanilla option prices via characteristic function inversion techniques, we study the price sensitivities and propose an exact simulation scheme. The main financial achievement is that implied volatility of options written on VIX is upward shaped due to the self-exciting property of Hawkes processes, in contrast with the usual downward slope exhibited by the <math><mi>Γ</mi></math>-OU Barndorff-Nielsen and Shephard model.</p>","PeriodicalId":48722,"journal":{"name":"Mathematics and Financial Economics","volume":null,"pages":null},"PeriodicalIF":1.6,"publicationDate":"2021-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://www.ncbi.nlm.nih.gov/pmc/articles/PMC7987553/pdf/","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"72480515","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}