Mathematical Finance最新文献

Agents' Behavior and Interest Rate Model Optimization in DeFi Lending DeFi贷款中代理人行为与利率模型优化

IF 2.4 3区经济学

Mathematical Finance Pub Date : 2026-03-02 Epub Date: 2025-10-13 DOI: 10.1111/mafi.70002

Charles Bertucci, Louis Bertucci, Mathis Gontier Delaunay, Olivier Guéant, Matthieu Lesbre

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引用次数: 0

An Extended Merton Problem With Relaxed Benchmark Tracking 放宽基准跟踪的扩展Merton问题

IF 2.4 3区经济学

Mathematical Finance Pub Date : 2026-03-02 Epub Date: 2025-11-03 DOI: 10.1111/mafi.70015

Lijun Bo, Yijie Huang, Xiang Yu

{"title":"An Extended Merton Problem With Relaxed Benchmark Tracking","authors":"Lijun Bo, Yijie Huang, Xiang Yu","doi":"10.1111/mafi.70015","DOIUrl":"https://doi.org/10.1111/mafi.70015","url":null,"abstract":"<div>\u0000 \u0000 <p>This paper studies Merton's problem in an extended formulation by incorporating a benchmark tracking on the wealth process. We consider a tracking formulation where the fund manager aims to maximize the trade-off between the expected utility of consumption and the expected largest shortfall in wealth relative to the benchmark level. Equivalently, the problem can be interpreted as a mixed stochastic control problem if a fictitious capital injection singular control is allowed, subject to the dynamic constraint that the wealth process compensated by the costly capital injection outperforms the benchmark at all times. By considering an auxiliary state process, we formulate an equivalent stochastic control problem with state reflections at zero. For general utility functions and Itô's diffusion benchmark process, we develop a convex duality theorem, new to the literature, for the auxiliary stochastic control problem with state reflections in which the dual process also exhibits reflections from above. For CRRA utility and geometric Brownian motion benchmark process, we further derive the optimal portfolio and consumption in feedback form using the new duality theorem, allowing us to discuss some interesting financial implications induced by the additional risk-taking from the capital injection and the goal of tracking.</p></div>","PeriodicalId":49867,"journal":{"name":"Mathematical Finance","volume":"36 2","pages":"422-448"},"PeriodicalIF":2.4,"publicationDate":"2026-03-02","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"147562922","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

Partial Information in a Mean-Variance Portfolio Selection Game 均值-方差投资组合博弈中的部分信息

IF 2.4 3区经济学

Mathematical Finance Pub Date : 2026-03-02 Epub Date: 2025-09-22 DOI: 10.1111/mafi.70013

Yu-Jui Huang, Li-Hsien Sun

{"title":"Partial Information in a Mean-Variance Portfolio Selection Game","authors":"Yu-Jui Huang, Li-Hsien Sun","doi":"10.1111/mafi.70013","DOIUrl":"https://doi.org/10.1111/mafi.70013","url":null,"abstract":"<div>\u0000 \u0000 <p>This paper considers finitely many investors who perform mean-variance portfolio selection under relative performance criteria. That is, each investor is concerned about not only her terminal wealth, but how it compares to the average terminal wealth of all investors. At the <i>inter-personal</i> level, each investor selects a trading strategy in response to others' strategies. This selected strategy additionally needs to yield an equilibrium <i>intra-personally</i>, so as to resolve time inconsistency among the investor's current and future selves (triggered by the mean-variance objective). A Nash equilibrium we look for is thus a tuple of trading strategies under which every investor achieves her intra-personal equilibrium simultaneously. We derive such a Nash equilibrium explicitly in the idealized case of full information (i.e., the dynamics of the underlying stock is perfectly known) and semi-explicitly in the realistic case of partial information (i.e., the stock evolution is observed, but the expected return of the stock is not precisely known). The formula under partial information consists of the myopic trading and intertemporal hedging terms, both of which depend on an additional state process that serves to filter the true expected return and whose influence on trading is captured by a degenerate Cauchy problem. Our results identify that relative performance criteria can induce <i>downward self-reinforcement</i> of investors' wealth—if every investor suffers a wealth decline simultaneously, then everyone's wealth tends to decline further. This phenomenon, as numerical examples show, is negligible under full information but pronounced under partial information.</p></div>","PeriodicalId":49867,"journal":{"name":"Mathematical Finance","volume":"36 2","pages":"309-329"},"PeriodicalIF":2.4,"publicationDate":"2026-03-02","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"147568284","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

Macroscopic Market Making Games 宏观做市游戏

IF 2.4 3区经济学

Mathematical Finance Pub Date : 2026-03-02 Epub Date: 2025-10-11 DOI: 10.1111/mafi.70010

Ivan Guo, Shijia Jin

引用次数: 0

Order Routing and Market Quality: Who Benefits From Internalization? 订单路径和市场质量：谁从内部化中受益？

IF 2.4 3区经济学

Mathematical Finance Pub Date : 2026-03-02 Epub Date: 2025-10-20 DOI: 10.1111/mafi.70014

Umut Çeti̇n, Albina Danilova

引用次数: 0

Risk Sharing, Measuring Variability, and Distortion Riskmetrics 风险分担、测量变异性和失真风险度量

IF 2.4 3区经济学

Mathematical Finance Pub Date : 2026-03-02 Epub Date: 2025-09-24 DOI: 10.1111/mafi.70007

Jean-Gabriel Lauzier, Liyuan Lin, Ruodu Wang

引用次数: 0

Nonconcave Stochastic Optimal Control in Finite Discrete Time Under Model Uncertainty 模型不确定性下有限离散时间非凹随机最优控制

IF 2.4 3区经济学

Mathematical Finance Pub Date : 2026-03-02 Epub Date: 2025-09-18 DOI: 10.1111/mafi.70012

Ariel Neufeld, Julian Sester

{"title":"Nonconcave Stochastic Optimal Control in Finite Discrete Time Under Model Uncertainty","authors":"Ariel Neufeld, Julian Sester","doi":"10.1111/mafi.70012","DOIUrl":"https://doi.org/10.1111/mafi.70012","url":null,"abstract":"<div>\u0000 \u0000 <p>In this article, we present a general framework for nonconcave robust stochastic control problems under model uncertainty in a discrete time finite horizon setting. Our framework allows to consider a variety of different path-dependent ambiguity sets of probability measures comprising, as a natural example, the ambiguity set defined via Wasserstein balls around path-dependent reference measures with path-dependent radii, as well as parametric classes of probability distributions. We establish a dynamic programming principle, which allows to derive both optimal control and worst-case measure by solving recursively a sequence of one-step optimization problems. Moreover, we derive upper bounds for the difference of the values of the robust and nonrobust stochastic control problem in the Wasserstein uncertainty and parameter uncertainty case. As a concrete application, we study the robust hedging problem of financial derivatives under an asymmetric (and nonconvex) loss function accounting for different preferences of sell and buy side when it comes to the hedging of financial derivatives. As our entirely data-driven ambiguity set of probability measures, we consider Wasserstein balls around the empirical measure derived from real financial data. We demonstrate that during adverse scenarios such as a financial crisis, our robust approach outperforms typical model-based hedging strategies, such as the classical <i>Delta-hedging</i> strategy as well as the hedging strategy obtained in the nonrobust setting with respect to the empirical measure and therefore overcomes the problem of model misspecification in such critical periods.</p></div>","PeriodicalId":49867,"journal":{"name":"Mathematical Finance","volume":"36 2","pages":"271-308"},"PeriodicalIF":2.4,"publicationDate":"2026-03-02","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"147566901","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

Dynamically Consistent Analysis of Realized Covariations in Term Structure Models 期限结构模型中已实现协变的动态一致性分析

IF 2.4 3区经济学

Mathematical Finance Pub Date : 2025-09-10 DOI: 10.1111/mafi.70011

Dennis Schroers

引用次数: 0

A Cross-Border Market Model with Limited Transmission Capacities 具有有限传输能力的跨境市场模型

IF 2.4 3区经济学

Mathematical Finance Pub Date : 2025-09-10 DOI: 10.1111/mafi.70009

Dörte Kreher, Cassandra Milbradt

{"title":"A Cross-Border Market Model with Limited Transmission Capacities","authors":"Dörte Kreher, Cassandra Milbradt","doi":"10.1111/mafi.70009","DOIUrl":"https://doi.org/10.1111/mafi.70009","url":null,"abstract":"<p>We develop a cross-border market model for two countries based on a continuous trading mechanism, in which the transmission capacities that enable transactions between market participants from different countries are limited. Our market model can be described by a regime-switching process alternating between active and inactive regimes, in which cross-border trading is possible, respectively prohibited. Starting from a reduced-form representation of the two national limit order books, we derive a high-frequency approximation of the microscopic model, assuming that the size of an individual order converges to zero while the order arrival rate tends to infinity. If transmission capacities are available, the limiting dynamics are as follows: the queue size processes at the top of the two limit order books follow a four-dimensional linear Brownian motion in the positive orthant with oblique reflection at the axes. Each time the two best ask queues or the two best bid queues simultaneously hit zero, the queue size process is reinitialized. The capacity process can be described as a linear combination of local times and ishence of finite variation. The analytic tractability of the limiting dynamics allows us to compute key quantities of interest.</p>","PeriodicalId":49867,"journal":{"name":"Mathematical Finance","volume":"36 1","pages":"237-264"},"PeriodicalIF":2.4,"publicationDate":"2025-09-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1111/mafi.70009","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"145905075","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}

引用次数: 0

Pricing and Hedging of SOFR Derivatives SOFR衍生品的定价与套期保值

IF 2.4 3区经济学

Mathematical Finance Pub Date : 2025-09-09 DOI: 10.1111/mafi.70004

Matthew Bickersteth, Yining Ding, Marek Rutkowski

引用次数: 0