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Price formation and optimal trading in intraday electricity markets 日内电力市场的价格形成与最优交易
IF 1.6 3区 经济学
Mathematics and Financial Economics Pub Date : 2020-09-10 DOI: 10.1007/s11579-021-00307-z
Olivier F'eron, P. Tankov, L. Tinsi
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引用次数: 29
Law-Invariant Functionals that Collapse to the Mean: Beyond Convexity 趋于均值的不变法泛函:超越凸性
IF 1.6 3区 经济学
Mathematics and Financial Economics Pub Date : 2020-09-09 DOI: 10.1007/s11579-022-00313-9
Felix-Benedikt Liebrich, Cosimo Munari
{"title":"Law-Invariant Functionals that Collapse to the Mean: Beyond Convexity","authors":"Felix-Benedikt Liebrich, Cosimo Munari","doi":"10.1007/s11579-022-00313-9","DOIUrl":"https://doi.org/10.1007/s11579-022-00313-9","url":null,"abstract":"","PeriodicalId":48722,"journal":{"name":"Mathematics and Financial Economics","volume":"27 1","pages":"447 - 480"},"PeriodicalIF":1.6,"publicationDate":"2020-09-09","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"80089793","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: 20
Preferences over rich sets of random variables: on the incompatibility of convexity and semicontinuity in measure 对丰富随机变量集的偏好:关于测度上的凸性和半连续性的不相容
IF 1.6 3区 经济学
Mathematics and Financial Economics Pub Date : 2020-09-07 DOI: 10.1007/s11579-020-00280-z
A. Zimper, H. Assa
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引用次数: 3
Capital allocation rules and acceptance sets 资本配置规则和接受设置
IF 1.6 3区 经济学
Mathematics and Financial Economics Pub Date : 2020-07-09 DOI: 10.1007/s11579-020-00275-w
G. Canna, F. Centrone, Emanuela Rosazza Gianin
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引用次数: 0
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 : 2020-07-01 DOI: 10.1007/s11579-020-00272-z
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":"10.1007/s11579-020-00272-z","DOIUrl":"https://doi.org/10.1007/s11579-020-00272-z","url":null,"abstract":"","PeriodicalId":48722,"journal":{"name":"Mathematics and Financial Economics","volume":"72 1","pages":"185 - 232"},"PeriodicalIF":1.6,"publicationDate":"2020-07-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"86321534","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 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
{"title":"An integrated model for fire sales and default contagion","authors":"Nils Detering, T. Meyer-Brandis, K. Panagiotou, D. Ritter","doi":"10.1007/s11579-020-00273-y","DOIUrl":"https://doi.org/10.1007/s11579-020-00273-y","url":null,"abstract":"","PeriodicalId":48722,"journal":{"name":"Mathematics and Financial Economics","volume":"39 1","pages":"59 - 101"},"PeriodicalIF":1.6,"publicationDate":"2020-06-27","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"73286196","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
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":"87 1","pages":"661 - 674"},"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":"32 1","pages":"699 - 724"},"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
{"title":"Compound Poisson models for weighted networks with applications in finance","authors":"A. Gandy, L. Veraart","doi":"10.1007/s11579-020-00268-9","DOIUrl":"https://doi.org/10.1007/s11579-020-00268-9","url":null,"abstract":"","PeriodicalId":48722,"journal":{"name":"Mathematics and Financial Economics","volume":"158 1","pages":"131 - 153"},"PeriodicalIF":1.6,"publicationDate":"2020-05-29","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"82914210","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 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":"29 1","pages":"267 - 315"},"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
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