Mathematics and Financial Economics View Homepage


Ontology type: schema:Periodical     


Journal Info

START YEAR

2007

PUBLISHER

Springer Berlin Heidelberg

LANGUAGE

en

HOMEPAGE

https://link.springer.com/journal/11579

Recent publications latest 20 shown

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  • 2022-01-04 A dynamical model for real economy and finance
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  • 2021-10-06 Arbitrage-free Nelson–Siegel model for multiple yield curves
  • 2021-09-30 Optimal finite horizon contract with limited commitment
  • 2021-09-23 Price formation and optimal trading in intraday electricity markets
  • 2021-09-18 Price impact equilibrium with transaction costs and TWAP trading
  • 2021-08-21 Investment timing and capacity choice in duopolistic competition under a jump-diffusion model
  • 2021-08-14 Optimal portfolios in the presence of stress scenarios A worst-case approach
  • 2021-08-02 Robust utility maximization under model uncertainty via a penalization approach
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    In the last twenty years mathematical finance has developed independently from economic theory, and largely as a branch of probability theory and stochastic analysis. This has led to important developments e.g. in asset pricing theory, and interest-rate modeling.

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    Mainstream finance on the other hand has often considered interesting economic problems, but finance journals typically pay less attention to the high-level quantitative approach. When quantitative methods useful to economists are developed by mathematicians and published in mathematical journals, they often remain unknown and confined to a very specific readership. More generally, there is a need for bridges between these disciplines.

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    History:
    \nThe first Editor-in-Chief was Elyès Jouini (2007), succeeded by Ivar Ekeland (2011) and from 2014, by Ulrich Horst and Frank Riedel jointly.

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