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Asymptotics for volatility derivatives in multi-factor rough volatility models 多因素粗糙波动模型中波动导数的渐近性
IF 1.6 3区 经济学
Mathematics and Financial Economics Pub Date : 2021-01-09 DOI: 10.1007/s11579-020-00288-5
Chloé Lacombe, Aitor Muguruza, Henry Stone
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引用次数: 3
Correction to: No-arbitrage commodity option pricing with market manipulation 修正: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 : 2021-01-09 DOI: 10.1007/s11579-020-00285-8
R. Aïd, Giorgia Callegaro, L. Campi
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引用次数: 0
Multiple yield curve modelling with CBI processes 多重收益率曲线建模与CBI过程
IF 1.6 3区 经济学
Mathematics and Financial Economics Pub Date : 2021-01-09 DOI: 10.1007/s11579-020-00289-4
Claudio Fontana, Alessandro Gnoatto, Guillaume Szulda
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引用次数: 4
Governmental incentives for green bonds investment 政府对绿色债券投资的激励措施
IF 1.6 3区 经济学
Mathematics and Financial Economics Pub Date : 2021-01-03 DOI: 10.1007/s11579-022-00320-w
Bastien Baldacci, Dylan Possamaï
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引用次数: 8
Preface to the special issue on systemic risk and financial networks 系统性风险与金融网络专题前言
IF 1.6 3区 经济学
Mathematics and Financial Economics Pub Date : 2021-01-01 DOI: 10.1007/s11579-020-00286-7
A. Capponi, R. Jarrow
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引用次数: 1
Traditional and digital currencies in over-the-counter markets 传统和数字货币在场外交易市场
IF 1.6 3区 经济学
Mathematics and Financial Economics Pub Date : 2020-12-07 DOI: 10.1007/s11579-023-00341-z
C. Frei, Qianhong Huang
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引用次数: 0
Scale effects in dynamic contracting 动态收缩中的尺度效应
IF 1.6 3区 经济学
Mathematics and Financial Economics Pub Date : 2020-11-04 DOI: 10.1007/s11579-020-00283-w
Shirley Bromberg-Silverstein, Santiago Moreno-Bromberg, G. Roger
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引用次数: 0
A closed-form pricing formula for European options under a new stochastic volatility model with a stochastic long-term mean 一种新的具有随机长期均值的随机波动率模型下欧式期权的封闭式定价公式
IF 1.6 3区 经济学
Mathematics and Financial Economics Pub Date : 2020-10-23 DOI: 10.1007/s11579-020-00281-y
Xin‐Jiang He, Wenting Chen
{"title":"A closed-form pricing formula for European options under a new stochastic volatility model with a stochastic long-term mean","authors":"Xin‐Jiang He, Wenting Chen","doi":"10.1007/s11579-020-00281-y","DOIUrl":"https://doi.org/10.1007/s11579-020-00281-y","url":null,"abstract":"","PeriodicalId":48722,"journal":{"name":"Mathematics and Financial Economics","volume":"27 1","pages":"381 - 396"},"PeriodicalIF":1.6,"publicationDate":"2020-10-23","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"89387754","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: 36
Certainty equivalent and utility indifference pricing for incomplete preferences via convex vector optimization 基于凸向量优化的不完全偏好的确定性等价和效用无差别定价
IF 1.6 3区 经济学
Mathematics and Financial Economics Pub Date : 2020-10-10 DOI: 10.1007/s11579-020-00282-x
Birgit Rudloff, Firdevs Ulus
{"title":"Certainty equivalent and utility indifference pricing for incomplete preferences via convex vector optimization","authors":"Birgit Rudloff, Firdevs Ulus","doi":"10.1007/s11579-020-00282-x","DOIUrl":"https://doi.org/10.1007/s11579-020-00282-x","url":null,"abstract":"","PeriodicalId":48722,"journal":{"name":"Mathematics and Financial Economics","volume":"102 1","pages":"397 - 430"},"PeriodicalIF":1.6,"publicationDate":"2020-10-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"76810708","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
An optimization model for minimizing systemic risk 最小化系统风险的优化模型
IF 1.6 3区 经济学
Mathematics and Financial Economics Pub Date : 2020-09-12 DOI: 10.1007/s11579-020-00279-6
R. Castellano, R. Cerqueti, G. P. Clemente, Rosanna Grassi
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引用次数: 6
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