Mathematical Finance will publish a special issue with contributions presented at the 11th World Congress of the Bachelier Finance Society (Hong Kong 2021).
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additional contingent funds.
When managers try to consolidate their social networks by divulging inside information, agency problems are exacerbated.
A short running title of less than 40 characters; The author's institutional affiliations where the work was conducted, with a footnote for the author’s present address if different from where the work was conducted; Tables (each table complete with title and footnotes); All copy should be typed double-spaced with one-inch margins. International Scientific Journal & Country Ranking. All Journals Applied Mathematical Finance List of Issues Volume 27, Issue 1-2 Applied Mathematical Finance.
We propose a long term portfolio management method which takes into strategy hedges the liability by directly tracking a benchmark process Mathematical modeling in finance has continued to enjoy a strong interaction with research in stochastic processes.
The improvements have mostly included addition of constraints to the traditional MVO model, using alternative risk measures and using non risk-reward models.
This article belongs to the Special Issue on, The Risk in the Insurance Field: A Generalized Analysis (), Journal of Mathematical Finance
The paper establishes an ARIMA and RBF-ANN combined model and makes a short-term prediction on the time series of CSI 300 index by choosing various typical input variables. those of the individual authors and contributors and not of the publisher and the editor(s). The TA model has portfolios with generally more superior risk-adjusted returns for the full period and during periods of high volatility in the stock market performance market.
Also, as a conclusion of our research we suggest that the simulation approach be used when sigma^2*T. In this study we propose an approach to solve a partial differential equation (PDE), the boundary integral method, for the valuation of both discrete and continuous window barrier options, as well as multi-window barrier options within a deterministic term structure of volatility and interest rates. Editorial Board members are welcome to submit papers to the journal.
This paper focuses on assessing the financial position of an insurer issuing a portfolio of Variable Annuities (VAs). Theories of developmental dyslexia: Insights from a multiple case study of dyslexic adults. finance, mathematical, economics, mathematics, statistics, theoretical, international, securities, markets, stock, risk, rate, trading, portfolio, pricing, insurance, exchange, data, journal, article, periodical, analysis, research.
10.4236/jmf.2020.103022
The journal aims at presenting the latest development on pure and applied financial mathematics. Downloads
In this paper, we identify the role of foreign currency as an important risk factor from an international investor's point of view.
11.999 Q1.
Authors may choose to publish under the terms of the journal’s standard copyright agreement, or. This long-short alternative portfolio is build based on a Sharpe-ratio-like alpha ratio optimization program, and the historical performance from the portfolio shows statistically significant improvement adding to existing alphas. Moreover we propose two conditions in order to compare the performance of these two price models, and illustrate that the performances of the two models are surprisingly different under certain conditions.
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10.4236/jmf.2020.101010
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Both models are capable of successful fitting of the Black-Scholes data, as well as defining Greeks. corresponding author will receive an email asking them to login or register with. Scientific Research
We considered the Nigerian Pension Reform Act of 2004 which allow members to contribute an additional proportion of their income into the pension account different from the mandatory contribution. Measurements should be given in SI or SI-derived units. We also Views Citations
Predicting Equity Price with Corporate Action Events Using LSTM-RNN, Adaptive Wave Models for Sophisticated Option Pricing. The algorithm of trade on the “heavy tails” of distributions of financial sequences is considered. It considers important theoretical , empirical and review papers. The Article Processing Charge (APC) for publication in this open access journal is 1200 CHF (Swiss Francs). Copyright © 2006-2020 Scientific Research Publishing Inc. All Rights Reserved. As the degree of a manager’s risk aversion increases, the risk-reduction effect of inside trading is reduced. objective is to minimize the total maintenance cost. Finally, we obtain the integro-differential equations satisfied by the time to reach the dividend barrier.
In some cases, the existence of inside trading makes managers select projects with negative returns, which results in agency problems.
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It should describe the implications of the results for researchers, traders, policy makers, etc. If you do not receive an email within 10 minutes, your email address may not be registered, 357.
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Manuscripts should be submitted online at www.mdpi.com by registering and logging in to this website. The procedure is easy to implement for all class of Lévy processes numerically. For non-open access articles, the corresponding author and co-authors can nominate up to ten colleagues to receive a publication alert and free online access to the article. For simplicity, the insurer is assumed to be able to implement a static hedging programme to manage the risk. This takes around 2 minutes to complete. Please click.
Other basic execution strategies include POV (also called PVol) -- for
Research articles, review articles as well as short communications are invited. Views Citations
Two numerical results using empirical May 21, 2020, DOI:
Vol.10 No.3,
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The author will be asked to sign a publication license at this point. This article belongs to the Special Issue on, Optimal Entry and Exit Strategy under Uncertainty with Stochastic Volatility (), DOI:
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The nonlinear approach comes in two flavors: for the case of constant volatility, it is defined by a single adaptive nonlinear Schrödinger (NLS) equation, while for the case of stochastic volatility, it is de-fined by an adaptive Manakov system of two coupled NLS equations.
This article belongs to the Special Issue on, Statistical Arbitrage Strategy in Multi-Asset Market Using Time Series Analysis (), Journal of Mathematical Finance
Effect of Extra Contribution on Stochastic Optimal Investment Strategies for DC Pension with Stochastic Salary under the Affine Interest Rate Model, The essence of this research is to study the optimal investment strategy for a plan contributor in a defined contribution (DC) pension scheme, with stochastic salary and stochastic extra contribution, under the affine interest rate model. Evidence from the Taiwan Stock Market, Factors Affecting Successful Equity Crowdfunding, Identification and Estimation of Gaussian Affine Term Structure Models with Regime Switching, Arbitrage-Free Gaussian Affine Term Structure Model with Observable Factors, On Spatial Spillover and Industrial Agglomeration of Financial Crises to Real Economy, "The Effects of Systemic Risk on the Allocation between Value and Growth Portfolios", An Equilibrium Asset Pricing Model under the Dual Theory of the Smooth Ambiguity Model, An Ambiguity Measure under EUUP and Its Application to a Portfolio Problem, Analyzing China’s Term Structure of Interest Rates Using VAR and Nelson-Siegel Model, Appraising Commercial Expenditure Efficiency of General Medical Education and Residency Programmes in Nigeria, Pricing Asian Options: a Comparison of Numerical and Simulation Approaches Twenty Years Later, Pricing Asian Options: A Comparison of Numerical and Simulation Approaches Twenty Years Later, Closed-Form Approximate Solutions of Window Barrier Options with Term-Structure Volatility and Interest Rates Using the Boundary Integral Method, Good Approximation of Exponential Utility Function for Optimal Futures Hedging, instructions how to enable JavaScript in your web browser. Submissions should be presented in a mathematically rigorous style and will be evaluated according to their methodological novelty and their contribution to financial modelling. Even in this simple framework, they often require a rather sophisticated mathematical background and are of a deep economic significance. 10.4236/jmf.2020.103029
August 25, 2020, DOI:
The new option-pricing model, representing a controlled Brownian motion, in-cludes two wave-type approaches: nonlinear and quantum, both based on (adaptive form of) the Schrödinger equation.
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Vol.10 No.1,
An Academic Publisher, The Comparative History and Development of E-Commerce in China and the United States (), Journal of Mathematical Finance
process that is required to be positive, a mutual insurance differs in allowing
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