research papers on financial mathematics

The Library has an extensive collections of mathematics and financial journals, both online and in print. Please let us know what you think of our products and services. On the one hand, the development of mathematical and probabilistic models for finance have allowed to make progress in the classical fields of financial mathematics. Note (10/1999): Provides citation data on scholarly journals for purposes of evaluation and comparison. By backtesting. With globalization, financial transactions require new analysis based on tools of probability, statistics, and economic theory. Feature Start your submission and get more impact for your research by publishing with us. Across the range one finds research projects and interests focusing on, e.g., asset pricing and hedging (fixed-income, equity, credit, commodities & emissions markets, insurance, etc.

servetti leonid passions A rapidly growing area of mathematical finance is quantitative behavioral finance. Thus, we find new models for the evaluation of credit risk of bonds and of bank loans, and models for the assessment of the sovereign risk. The chart shows the ratio of a journal's documents signed by researchers from more than one country; that is including more than one country address. Deadline for manuscript submissions: closed (31 May 2020) | Viewed by 17704. MDPI stays neutral with regard to jurisdictional claims in published maps and institutional affiliations. Furthermore, this article also provides the meta-frontier Malmquist model, which can be utilized to analyze in detail technological progress. In this paper, we have analyzed and tested the Expected Tail Loss (ETL) approach for the Value at Risk (VaR) on the Moroccan stock market portfolio. Math Assistance Center/Posvar Computing Lab, Information for Incoming Graduate Students. English editing service prior to publication or during author revisions. These show the quantitative model of an active stock trading algorithm in the three main Latin-American stock markets (Brazil, Chile, and Mexico). algorithms of multivariate path dependent options, Contingent For more recent For minimum withdrawal benefit in variable annuities, Counterparty The users of Scimago Journal & Country Rank have the possibility to dialogue through comments linked to a specific journal. risk for credit default swaps: Markov chain interacting intensities An excellent source for foreign newspapers. Traditionally, financial mathematics has been used to solve financial problems. The most prolific affiliation is the British University of Oxford. Editors Choice articles are based on recommendations by the scientific editors of MDPI journals from around the world. meets replication: hedging of swap derivatives and annuity on pricing perpetual fund protection with withdrawal option, Sub-replication Dr Camilo Garcia TrillosDr Andrea MacrinaProf Carlo MarinelliDr Hao NiDr Neofytos RodosthenousDr Daniel SchwarzDr Alex Tse, University College London,Gower Street,London,WC1E 6BTTel:+44(0)20 7679 2000.

Papers are submitted upon individual invitation or recommendation by the scientific editors and undergo peer review Best for empirical studies Also indexes book chapters, working papers and dissertations. Our results are of use for practitioners by the fact that MS-GARCH models could be part of quantitative and computer algorithms for active trading in these three stock markets. Indexes journal articles and books in mathematics; more European in coverage than MathSciNet. arbitrage strategies on stock index futures under position The computational results confirm the superiority and practicality of the proposed algorithm. Not every article in a journal is considered primary research and therefore "citable", this chart shows the ratio of a journal's articles including substantial research (research articles, conference papers and reviews) in three year windows vs. those documents other than research articles, reviews and conference papers. 773-702-7569 The results reveal an increasing trend, mainly in the last decade. This type of volatilities, Managing the volatility risk of portfolios of Provides access to global news and business information, including local newspapers, same-day newswires, company reports, and media programs. Journal Self-citation is defined as the number of citation from a journal citing article to articles published by the same journal. Evolution of the number of total citation per document and external citation per document (i.e. For topics on particular articles, maintain the dialogue through the usual channels with your editor. Jennifer Hart We co-author research papers with industry practitioners and are keen on collaborating with the financial and insurance industry on current issues and challenges. Find items in all campus libraries, including books, periodicals, sound recordings, videos, DVDs and more. The statements, opinions and data contained in the journal, 1996-2022 MDPI (Basel, Switzerland) unless otherwise stated. Ryerson Physical Laboratory 156 Full text is often available. multiple stopping models of reload options and shout options, Employee These databases are focused on business and economics and are generally the best starting points for finding articles in these disciplines. As the main contribution, this paper proposes a novel efficiency estimation framework for securities companies based on data envelopment analysis (DEA), which takes into account operational risks and technical heterogeneity. We have compared the results with the general approaches for the standard VaR, which has been the. With this objective, a. Full text is often available.

Coverage is 1868 to current. paper provides an outlook on future directions of research or possible applications. The increase in publications in recent years at the international level confirms the growing trend in research on financial transactions. We can put registered members of Publons' reviewer community in touch with partnered journals they would like to review for. Global research trends in this topic during the period 19352019 have been analyzed.

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Our work advances those modeling methods with supplementation by inputs from the ETL approach for application to the Moroccan stock market portfoliothe Moroccan All Shares Index (MASI). execution strategy of liquidation, Pricing It is based on the idea that 'all citations are not created equal'. We will find that representative bubbles may start at any time, depending on the definition of a behavioral component. The set of journals have been ranked according to their SJR and divided into four equal groups, four quartiles. Full text of over 9000 publications, including newspapers and trade journals. Coverage is 1868 to current. Now includes records from the Jahrbuch Database. Accurate assessment of the efficiency of securities companies is of great significance to improve the competitiveness of companies, due to their increasingly important role in supporting economic development. shouting policies of options with reset rights, Valuation barrier options and occupation time derivatives, Anatomy Furthermore, with suitable modeling, one can deduce nonlinear effects. Once you are registered, click here to go to the submission form. See our editorial guidelines for everything you need to know about Frontiers peer review process.

The data envelopment analysis models proposed in the mutual funds literature do not generally set restrictions on the weights assigned to the input and output variables. Submitted manuscripts should not have been published previously, nor be under consideration for publication elsewhere (except conference proceedings papers). Uncertain Volatilities, Pricing and hedging derivative securities in markets with uncertain Indexes journal articles, books, and conference proceedings in pure and applied mathematics, mathematical statistics and some computer science. Our efficient and rigorous peer review means youll get a decision on your manuscript in just 77 days. presence of large transaction costs. Includes the Science Citation Expanded, Social Sciences Citation Index, and Arts & Humanities Citation Index. In addition, we found that the use of t-Student MS-ARCH models is preferable in the Chilean market. Breaking the general assumption that the knowledge of the holder is restricted to the price history of the underlying asset, we allow for the disclosure of future information about the terminal price of the asset by modeling it as a Brownian bridge. swaps, No Does not allow reviews to be publicly displayed, Only allows reviewers to display the journal they reviewed for, Does not allow reviewers to sign or publicly display reviews of rejected publications subsequently published in another journal. price formulas for lookback options, Options ELS is a very popular investment product in South Korea. These topics have been the focus of the PhD thesis of Mark DeSantis at the University of Pittsburgh. Global research trends in this topic during the period 19352019 have been analyzed. In accordance with Journal of Mathematical Finance's editorial policy, review content is not publicly displayed on Publons. For a complete list of all databases provided by the Library, visit the Database Finder. The chart shows the evolution of the average number of times documents published in a journal in the past two, three and four years have been cited in the current year. A special issue of Mathematics (ISSN 2227-7390). Breaking the general assumption that the knowledge of the holder is restricted to the price history of the underlying asset, we allow for the disclosure of. The data envelopment analysis models proposed in the mutual funds literature do. Evolution of the total number of citations and journal's self-citations received by a journal's published documents during the three previous years. Researchers from Other Colleges & Universities, Finding Articles in Mathematics and Related Topics, Finding Articles on Financial and Business Topics, Science and Engineering Journal Abbreviations, Cited reference searching in Scopus (Tutorial). Authors may use MDPI's The purpose of this Special Issue is to establish a collection of articles that reflect the latest mathematical methods and models in the field of financial mathematics, a bridge between mathematical theory and its applications to finance. multi-asset options with an external barrier, Asian In addition, we provide a unified matrix representation for three widely used approaches on weight restrictions: virtual weight restrictions with constraints on all decision-making units (DMUs) (on all funds); virtual weight restrictions with constraints only on the target unit; assurance regions.

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the Courant Finance Server. International Collaboration accounts for the articles that have been produced by researchers from several countries.

Check out our author guidelines for everything you need to know about submission, from choosing a journal and section to preparing your manuscript. Data envelopment analysis has been applied in a number of papers to measure the performance of mutual funds, besides a great many applications on the more diverse fields of performance evaluation. First, the risk variable is incorporated in the evaluation system as an undesirable output through the setting of weak disposability. options with lookback payoff, Credit There are one-, two-, and three-asset ELS. Since financial engineering problems are of great importance in the academic community, effective methods are still needed to analyze these models. Manuscripts can be submitted until the deadline. In this study, we first present a time-fractional L, In this article, we propose a super-fast computational algorithm for three-asset equity-linked securities (ELS) using the finite difference method (FDM). Follow us on @ScimagoJRScimago Lab, Copyright 2007-2022. A Mathematics is an international peer-reviewed open access semimonthly journal published by MDPI. theory of risk, A risk-neutral stochastic volatility model, E-ARCH Model for the Term-Structure of Implied Volatility Accurate assessment of the efficiency of securities companies is of great significance to improve the competitiveness of companies, due to their increasingly important role in supporting economic development. 2022 Imperial College London, Multidisciplinary networks, centres and institutes, seminars and numerous conferences and workshops, Imperial College Academic Health Science Centre. In addition, the most used keywords in articles are financial management, financial transaction tax, banking, financial service, blockchain, decision making, and financial market. algorithms for options with exotic path dependence, Early In the last few years, financial mathematics has become an important field for mathematicians. To overcome the limitation of dimension for FDM, we propose a systematic non-uniform grid with an explicit Euler scheme and an optimal implementation of the algorithm. We will find that representative bubbles may start at any time, depending on the definition of a behavioral component. In particular, a recent uptrend that is too steep has a negative influence on prices. The following are those which are most useful in finding articles on topics in mathematics. tree methods for strongly path dependent options, Optimal American EndNote and Zotero are research management tools that helps you collect, organize, and share citations from library databases and catalogs. of employee reload options using utility maximization framework, Integral with combined reset rights on strike and maturity, Valuing model with stochastic intensity, Lattice However, the three-asset ELS is still priced using the Monte Carlo simulation (MCS) due to the curse of dimensionality for FDM. Visit our dedicated information section to learn more about MDPI. Research articles, review articles as well as short communications are invited. All articles published by MDPI are made immediately available worldwide under an open access license. Publons users have indicated that they sit on Journal of Mathematical Finance's editorial board but we are unable to verify these claims. Data envelopment analysis has been applied in a number of papers to measure the performance of mutual funds, besides a great many applications on the more diverse fields of performance evaluation. stock option valuation with repricing features, Guaranteed This research is disseminated through our Working Paper Series and our Publications. Authoritative, multidisciplinary content covers over 10,000 of the highest impact journals worldwide, including Open Access journals and over 110,000 conference proceedings. Current research topics in the section include: Stochastic analysis and Probability theory:Functional Ito calculus, path-dependent partial differential equations, Backward Stochastic Differential Equations, Malliavin calculus. To find them search by "journal title". External citations are calculated by subtracting the number of self-citations from the total number of citations received by the journals documents. Ratio of a journal's items, grouped in three years windows, that have been cited at least once vs. those not cited during the following year. options, Pricing The high-tech boom and bust of the late 1990s followed by the housing and financial upheavals of 2008 have made a convincing case for the necessity of adopting broader assumptions in finance. participating policies with rate guarantees and bonuses, Valuation This indicator counts the number of citations received by documents from a journal and divides them by the total number of documents published in that journal. to nonlinear volatility and free-boundary problems, Dynamic hedging portfolios for derivative securities in the Access the Research Publications from the Mathematical Finance Group, Explore the Mathematical Finance Group Working Papers Series, South Kensington CampusLondon SW7 2AZ, UKtel: +44 (0)20 7589 5111 progress in the field that systematically reviews the most exciting advances in scientific literature. Department of Economics, Ca Foscari University of Venice, Cannaregio 873, 30121 Venice, Italy, Mathematically, the execution of an American-style financial derivative is commonly reduced to solving an optimal stopping problem. On the other hand, other important issues have called for the formulation of mathematical models for studying new issues that have become relevant, sometimes hot, in financial markets. articles published under an open access Creative Common CC BY license, any part of the article may be reused without In this work, we aim to formalize the inception of representative bubbles giving the condition under which they may arise.

There are one-, two-, and three-asset ELS. By backtesting the performance of a U.S. dollar based investor, we found that the use of the Gaussian MS-GARCH leads, in the Brazilian market, to a better performance against a buy and hold strategy (BH). Reviewing a manuscript? permission provided that the original article is clearly cited. A number of senior industry practitioners are affiliated to UCL Mathematics allowing regular exchange of ideas and updates on research problems which benefit from cooperation between academia and the industry. of FX Options, Calibrating volatility surfaces via relative-entropy minimization, Pricing Interest Rate Contingent Claims in Markets with those of the individual authors and contributors and not of the publisher and the editor(s). Finally, we compare our method with the optimal exercise time based on a geometric Brownian motion by using real data exhibiting pinning. These methods calculate the maximum loss that a portfolio is likely to experience over a given time span. multi-asset extensions, Effects Therefore, this method appears to be a very reliable alternative and flexible to implement in solving the problem while preserving the physical properties of such realistic processes. We investigate the effects of the different weight restrictions on the performance evaluation by means of an empirical application on a set of European mutual funds. It measures the scientific influence of the average article in a journal, it expresses how central to the global scientific discussion an average article of the journal is. Their use leads to the best overall performance than the BH portfolio. The main subjects of knowledge are social sciences and economics, econometrics, and finance. These equations are being used to understand the dynamics and stability. The efficiency evaluation model for securities companies proposed in this paper will provide a reference for related evaluation issues. The purpose is to have a forum in which general doubts about the processes of publication in the journal, experiences and other issues derived from the publication of papers are resolved. limits, Convexity United States The country with the most academic publications and international collaborations is the United States. Since financial engineering problems are of great importance in the academic community, effective methods are still needed to analyze these models. For planned papers, a title and short abstract (about 100 words) can be sent to the Editorial Office for announcement on this website. options games analysis of sleeping patents. Register now to let Journal of Mathematical Finance know you want to review for them. Please note that many of the page functionalities won't work as expected without javascript enabled. Email Jenny. Use the following links toaccess specific journals or look up journal title abbreviations. Subsequently, the meta-frontier model is introduced to consider the impact of the technical heterogeneity of different companies to improve the accuracy of the assessment. of optimal stopping regions of American path dependent options, Optimal and reliability considerations of option pricing algorithms, Pricing
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