This model may be used under special market conditions, in particular we focus on what in the literature is known as the pinning effect, that is, when the price of the asset approaches the strike price of a highly-traded option close to its expiration date. 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. algorithms of multivariate path dependent options, Contingent
The Dietrich School of Stochastic processes. Check out our author guidelines for everything you need to know about submission, from choosing a journal and section to preparing your manuscript. All articles published by MDPI are made immediately available worldwide under an open access license. In this work, we aim to formalize the inception of representative bubbles giving the condition under which they may arise. Article processing charges (APCs) apply to articles that are accepted for publication by our external editors, following rigorous peer review. 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). If you are an administrator for Journal of Mathematical Finance, please get in touch to find out how you can verify the contributions of your editorial board members and more. Find support for a specific problem in the support section of our website. Editors Choice articles are based on recommendations by the scientific editors of MDPI journals from around the world. An excellent source for foreign newspapers. Journal Self-citation is defined as the number of citation from a journal citing article to articles published by the same journal.
barrier options and occupation time derivatives, Anatomy In accordance with Journal of Mathematical Finance's editorial policy, review content is not publicly displayed on Publons. 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. The SJR is a size-independent prestige indicator that ranks journals by their 'average prestige per article'.
presence of large transaction costs. 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. Indexes journal articles, books, and conference proceedings in pure and applied mathematics, mathematical statistics and some computer science. The computational time is less than 6 s. We perform standard ELS option pricing and compare the results from the fast FDM with the ones from MCS. shouting policies of options with reset rights, Valuation
Help us to further improve by taking part in this short 5 minute survey, Special Issues, Collections and Topics in MDPI journals, Discounted Optimal Stopping of a Brownian Bridge, with Application to American Options under Pinning, Markov-Switching Stochastic Processes in an Active Trading Algorithm in the Main Latin-American Stock Markets, Global Research Trends in Financial Transactions, Efficiency of Chinas Listed Securities Companies: Estimation through a DEA-Based Method, Fractional Partial Differential Equations Associated with L, Super-Fast Computation for the Three-Asset Equity-Linked Securities Using the Finite Difference Method, A New Approach for the BlackScholes Model with Linear and Nonlinear Volatilities, Introducing Weights Restrictions in Data Envelopment Analysis Models for Mutual Funds, Advanced Expected Tail Loss Measurement and Quantification for the Moroccan All Shares Index Portfolio, On the Inception of Financial Representative Bubbles. options games analysis of sleeping patents. 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. We calculate these indicators using several methods, according to an easy and fast implementation with a high-level probability and with accommodation for extreme risks; this is in order to numerically simulate and study their behavior to better understand investment opportunities and, thus, form a clear view of the Moroccan financial landscape. Feature Papers represent the most advanced research with significant potential for high impact in the field. Global research trends in this topic during the period 19352019 have been analyzed. Reviewing a manuscript? 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). Please note that many of the page functionalities won't work as expected without javascript enabled. 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
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). Uncertain Volatilities, Pricing and hedging derivative securities in markets with uncertain options with lookback payoff, Credit
The most prolific affiliation is the British University of Oxford. The aim is to provide a snapshot of some of the most exciting work Ready to publish? 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. The Article Processing Charge (APC) for publication in this open access journal is 1800 CHF (Swiss Francs). Now includes records from the Jahrbuch Database. tree methods for strongly path dependent options, Optimal
This research is disseminated through our Working Paper Series and our Publications. The main subjects of knowledge are social sciences and economics, econometrics, and finance. For more recent
Among these, we may cite criteria for the choice of the best alternative among investment or financing projects, and models for studying: The dynamics of interest rates, the evaluation of bonds, portfolio theory and dynamic asset allocation, the dynamics of stock prices, and the pricing and the risk assessment of many derivatives (options, forwards and futures, swaps, a variety of exotic derivatives). Furthermore, this article also provides the meta-frontier Malmquist model, which can be utilized to analyze in detail technological progress. Alphabetical list of journal abbreviations for sciences. The Library has an extensive collections of mathematics and financial journals, both online and in print. For a complete list of all databases provided by the Library, visit the Database Finder. Advanced methods for pricing and hedgingof derivative securities: models with jumps and stochastic volatility, asymptotic methods in option pricing, model calibration, valuation of long-term equity contracts and investment strategies, market with imperfections (proportional transaction costs, delta constraint), Interest rate modeling: multi-factor models, multi-curve term structure models, impact of funding on interest rate derivatives, Systemic risk: network models of credit contagion, quantitative modeling of feedback effects, metrics for systemic risk, quantitative models of financial stability, Counterparty Credit risk, Collateral and Funding: Credit Value Adjustment (CVA), DVA, collateral requirements and their impact on pricing of derivatives, and consistent inclusion of funding costs (FVA); credit derivatives, Stochastic control and applications in finance, Liquidity risk: models of price impact and liquidity risk, liquidity-adjusted risk measures, liquidity-based pricing models. Stock data and indices are available for 5 years. minimum withdrawal benefit in variable annuities, Counterparty We are a member of the London Graduate School of Mathematical Finance, co-organise the London Mathematical Finance Seminar series, and run the financial mathematics practitioner seminars. Using the unified matrix representation of the weights constraints, we formulate the data envelopment analysis (DEA ) efficiency model and express the efficient frontier in a unified way for the different weight restrictions considered. and reliability considerations of option pricing algorithms, Pricing Especially the evaluation and management of the risks to which financial markets are exposed have become crucial. volatilities, Managing the volatility risk of portfolios of These databases are focused on business and economics and are generally the best starting points for finding articles in these disciplines. We will find that representative bubbles may start at any time, depending on the definition of a behavioral component. progress in the field that systematically reviews the most exciting advances in scientific literature. By extracting the valuation, recent studies have shown that momentum trading (buying on uptrend) plays a strong role, as do money supply, changes in volume and several other variable. Name of option features in convertible bond, Reset There are one-, two-, and three-asset ELS. options, Pricing Math Assistance Center/Posvar Computing Lab, Information for Incoming Graduate Students. stock option valuation with repricing features, Guaranteed Submitted manuscripts should not have been published previously, nor be under consideration for publication elsewhere (except conference proceedings papers). Coverage is 1868 to current. Manuscripts can be submitted until the deadline. Follow us on @ScimagoJRScimago Lab, Copyright 2007-2022. swaps, No Authoritative, multidisciplinary content covers over 10,000 of the highest impact journals worldwide, including Open Access journals and over 110,000 conference proceedings. Full text is often available. journal self-citations removed) received by a journal's published documents during the three previous years. Please visit the Instructions for Authors page before submitting a manuscript. to nonlinear volatility and free-boundary problems, Dynamic hedging portfolios for derivative securities in the 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. Provides links to available full text. Especially useful for its citation linking. Research articles, review articles as well as short communications are invited. calling policies in convertible bonds, Jump The users of Scimago Journal & Country Rank have the possibility to dialogue through comments linked to a specific journal.
Moreover, we study the behaviour of the fund performance scores as the restrictions on the weights become increasingly strict. This special issue belongs to the section "Financial Mathematics". Data Source: Scopus, Explore, visually communicate and make sense of data with our, Metrics based on Scopus data as of April 2022. 773-702-7569 FDM has been used for pricing the one- and two-asset ELS because it is accurate. For 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 future information about the terminal price of the asset by modeling it as a Brownian bridge. Note (10/1999): 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. Now includes records from the Jahrbuch Database. participating policies with rate guarantees and bonuses, Valuation exercise policies of American floating and fixed strike lookback options, Pricing To achieve this, this article presents a combined method; a sixth order finite difference (FD6) scheme in space and a thirdorder strong stability preserving RungeKutta (SSPRK3) over time. 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. We have compared the results with the general approaches for the standard VaR, which has been the most suitable method for Moroccan stock investors up to now. 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. Global research trends in this topic during the period 19352019 have been analyzed. and convertible bonds, Characterization See our editorial guidelines for everything you need to know about Frontiers peer review process. Coverage is 1868 to current. In addition, new models to assess the performance of mutual funds makes use of different approaches drawn from different fieldsamong these data envelopment analysisand allows to study socially-responsible investments. of FX Options, Calibrating volatility surfaces via relative-entropy minimization, Pricing Interest Rate Contingent Claims in Markets with Since financial engineering problems are of great importance in the academic community, effective methods are still needed to analyze these models. algorithms for options with exotic path dependence, Early These methods calculate the maximum loss that a portfolio is likely to experience over a given time span. the Courant Finance Server. We show how to numerically compute the solution and we analyze the effect of the volatility estimation on the strategy by computing the confidence curves around the optimal stopping boundary. over 100,000 data points) of market data that can be used to deduce underlying motivational effects. Evolution of the number of total citation per document and external citation per document (i.e.
Full text of over 9000 publications, including newspapers and trade journals. Tools are often integrated into articles databases. 2022 Frontiers Media S.A. All rights reserved, Mathematics of Computation and Data Science, Numerical Analysis and Scientific Computation, Frontiers in Applied Mathematics and Statistics.
An introduction to option pricing and the mathematical
In addition, we found that the use of t-Student MS-ARCH models is preferable in the Chilean market. (This article belongs to the Special Issue, In the present paper, we review the use of two-state, Generalized Auto Regressive Conditionally Heteroskedastic Markovian stochastic processes (MS-GARCH). These equations are being used to understand the dynamics and stability. Arbitrage Approach for Pricing Credit Spread Derivatives, Optimal
Full text is often available. Ryerson Physical Laboratory 156 models with interacting default intensity processes, Intensity-based
Deadline for manuscript submissions: closed (31 May 2020) | Viewed by 17704. on pricing perpetual fund protection with withdrawal option, Sub-replication
You are accessing a machine-readable page. The Mathematical Finance section organises the weeklyFinance and Stochastics seminaras well as other seminars and numerous conferences and workshops on topics related to mathematical modeling in finance. Traditionally, financial mathematics has been used to solve financial problems. The country with the most academic publications and international collaborations is the United States. For planned papers, a title and short abstract (about 100 words) can be sent to the Editorial Office for announcement on this website. Article database that includes trade publications, academic journals, industry profiles, country information and company profiles, which include SWOT analyses. articles published under an open access Creative Common CC BY license, any part of the article may be reused without Accepted papers will be published continuously in the journal (as soon as accepted) and will be listed together on the special issue website. For topics on particular articles, maintain the dialogue through the usual channels with your editor.
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. theory of risk, A risk-neutral stochastic volatility model, E-ARCH Model for the Term-Structure of Implied Volatility In addition, the most used keywords in articles are financial management, financial transaction tax, banking, financial service, blockchain, decision making, and financial market. You'll find current and retrospective coverage in the sciences, social sciences, arts, and humanities, with coverage available to 1900.
Use the following links toaccess specific journals or look up journal title abbreviations. The increase in publications in recent years at the international level confirms the growing trend in research on financial transactions. Furthermore, with suitable modeling, one can deduce nonlinear effects. We can put registered members of Publons' reviewer community in touch with partnered journals they would like to review for. price formulas for lookback options, Options Mathematics is an international peer-reviewed open access semimonthly journal published by MDPI. These show the quantitative model of an active stock trading algorithm in the three main Latin-American stock markets (Brazil, Chile, and Mexico). prior to publication. Q1 (green) comprises the quarter of the journals with the highest values, Q2 (yellow) the second highest values, Q3 (orange) the third highest values and Q4 (red) the lowest values. Universities and research institutions in United States, Society for Industrial and Applied Mathematics Publications. * Required. 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. Jennifer Hart 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. The computed results are compared with available literature and the exact solution. Therefore, this article focuses mainly on capturing the discrete behavior of linear and nonlinear BlackScholes European option pricing models. ), financial risk management, computational methods for finance and insurance, stochastic (partial) differential equations, control theory and applications, algorithmic finance, filtrations and information modelling, probabilistic numerical methods, rough path theory, statistical inference and machine learning, and research on heavy-tailed processes. The data envelopment analysis models proposed in the mutual funds literature do. A Acting courageously: Professor Alice Gast delivers final President's Address, New Health Secretary sees cutting-edge medical robotics research at Imperial, Imperial and Indian Institute of Science form research and education partnership. execution strategy of liquidation, Pricing of occupation times for CEV diffusions and pricing of a-quantile options, Real 2022 Imperial College London, Multidisciplinary networks, centres and institutes, seminars and numerous conferences and workshops, Imperial College Academic Health Science Centre. Finally, we compare our method with the optimal exercise time based on a geometric Brownian motion by using real data exhibiting pinning. International Collaboration accounts for the articles that have been produced by researchers from several countries. risk for credit default swaps: Markov chain interacting intensities Papers are submitted upon individual invitation or recommendation by the scientific editors and undergo peer review Content is available in many different languages, including Chinese, French, German, Japanese and Russian. For further information on our research activities,browse the list of ourresearch publications or visit thepersonal homepagesof our academic staff.
Most of these papers have been in print for at least 2 years. With globalization, financial transactions require new analysis based on tools of probability, statistics, and economic theory. multi-asset options with an external barrier, Asian 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. claim approach for analyzing the creditrisk of defaultable currency You seem to have javascript disabled. The statements, opinions and data contained in the journals are solely In the last few years, financial mathematics has become an important field for mathematicians. Mathematically, the execution of an American-style financial derivative is commonly reduced to solving an optimal stopping problem. Evolution of the total number of citations and journal's self-citations received by a journal's published documents during the three previous years. 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. Visit our dedicated information section to learn more about MDPI. 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. The results reveal an increasing trend, mainly in the last decade. With this objective, a bibliometric methodology of 1486 articles from the Scopus database was applied. Web of Science is especially useful for its citation linking. those of the individual authors and contributors and not of the publisher and the editor(s). In this work, we aim to formalize the inception of representative bubbles giving the condition under which they may arise. This means that a classic rational bubble (differently from our model) cannot follow a cycle since if a bubble exists, it will burst by definition and never arise again. However, the three-asset ELS is still priced using the Monte Carlo simulation (MCS) due to the curse of dimensionality for FDM. 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. options, Real In order to be human-readable, please install an RSS reader. The two years line is equivalent to journal impact factor (Thomson Reuters) metric. Therefore, this article focuses mainly on capturing the discrete behavior of linear and nonlinear BlackScholes European option pricing models. The set of journals have been ranked according to their SJR and divided into four equal groups, four quartiles. Numerical Methods for finance: probabilistic methods for non-linear PDE, numerical methods for BSDEs, model calibration. A rapidly growing area of mathematical finance is quantitative behavioral finance.
Lists journals the library owns by title. 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. Email Jenny. Sign up to receiveBy the Numb3rs,the Department of Mathematics e-newsletter. 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. The three-asset ELS is the most.
Article database that indexes academic journals, trade publications, newspapers and magazines in business and economics. permission is required to reuse all or part of the article published by MDPI, including figures and tables. We co-author research papers with industry practitioners and are keen on collaborating with the financial and insurance industry on current issues and challenges. The author with the most articles is Khare from the Indian Institute of Management Rohtak.
The computed results revealed that the current method seems to be quite strong both quantitatively and qualitatively with minimal computational effort. 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). Pittsburgh, PA 15260. ELS is a very popular investment product in South Korea. Submitted papers should be well formatted and use good English. The three-asset ELS is the most popular financial product among them.
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. 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. All manuscripts are thoroughly refereed through a single-blind peer-review process. 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. Their use leads to the best overall performance than the BH portfolio. The Library subscribes to many article indexing databases in all areas of science, engineering and medicine. This result is at odds with the theory of classic rational bubbles, which are those models that rely on the fulfillment of the transversality condition by which a bubble in a financial asset can arise just at its first trade. 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. Register now to let Journal of Mathematical Finance know you want to review for them. It is based on the idea that 'all citations are not created equal'. derivative securities: the Lagrangian Uncertain Volatility Model, Dynamic hedging with transaction costs: from lattice models ELS is a very popular investment product in South Korea. Manuscripts should be submitted online at www.mdpi.com by registering and logging in to this website.
with combined reset rights on strike and maturity, Valuing front-fixing finite difference method for the valuation of American meets replication: hedging of swap derivatives and annuity Market microstructure and high frequency modeling: mathematical modeling of limit order markets, statistical modeling of high frequency market data, consequences of high frequency trading for market stability and volatility. In particular, a recent uptrend that is too steep has a negative influence on prices. Limit to "ejournals" for electronic access only. 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. of employee reload options using utility maximization framework, Integral It is a very good source for empirical studies on economics and finance. SJR is a measure of scientific influence of journals that accounts for both the number of citations received by a journal and the importance or prestige of the journals where such citations come from papers, go to
This type of
EndNote and Zotero are research management tools that helps you collect, organize, and share citations from library databases and catalogs. To achieve this. Scopus is an interdisciplinary, bibliographic database that indexes the contents of more than 15,000 journals in the physical sciences, engineering, earth and environmental sciences, life and health sciences, social sciences, psychology, business, and management. and withdrawal rights in dynamic fund protection, Optimal Indexes journal articles and books in mathematics; more European in coverage than MathSciNet. Best for empirical studies Also indexes book chapters, working papers and dissertations. Publons users have indicated that they sit on Journal of Mathematical Finance's editorial board but we are unable to verify these claims. of callable feature on early exercise policy, Accuracy In this article, we propose a super-fast computational algorithm for three-asset equity-linked securities (ELS) using the finite difference method (FDM). EconLit indexes articles from economics journals, books, book chapters, dissertations and working papers. Indexes journal articles and books in mathematics; more European in coverage than MathSciNet.
barrier options and occupation time derivatives, Anatomy In accordance with Journal of Mathematical Finance's editorial policy, review content is not publicly displayed on Publons. 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. The SJR is a size-independent prestige indicator that ranks journals by their 'average prestige per article'.
presence of large transaction costs. 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. Indexes journal articles, books, and conference proceedings in pure and applied mathematics, mathematical statistics and some computer science. The computational time is less than 6 s. We perform standard ELS option pricing and compare the results from the fast FDM with the ones from MCS. shouting policies of options with reset rights, Valuation
Help us to further improve by taking part in this short 5 minute survey, Special Issues, Collections and Topics in MDPI journals, Discounted Optimal Stopping of a Brownian Bridge, with Application to American Options under Pinning, Markov-Switching Stochastic Processes in an Active Trading Algorithm in the Main Latin-American Stock Markets, Global Research Trends in Financial Transactions, Efficiency of Chinas Listed Securities Companies: Estimation through a DEA-Based Method, Fractional Partial Differential Equations Associated with L, Super-Fast Computation for the Three-Asset Equity-Linked Securities Using the Finite Difference Method, A New Approach for the BlackScholes Model with Linear and Nonlinear Volatilities, Introducing Weights Restrictions in Data Envelopment Analysis Models for Mutual Funds, Advanced Expected Tail Loss Measurement and Quantification for the Moroccan All Shares Index Portfolio, On the Inception of Financial Representative Bubbles. options games analysis of sleeping patents. 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. We calculate these indicators using several methods, according to an easy and fast implementation with a high-level probability and with accommodation for extreme risks; this is in order to numerically simulate and study their behavior to better understand investment opportunities and, thus, form a clear view of the Moroccan financial landscape. Feature Papers represent the most advanced research with significant potential for high impact in the field. Global research trends in this topic during the period 19352019 have been analyzed. Reviewing a manuscript? 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). Please note that many of the page functionalities won't work as expected without javascript enabled. 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
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). Uncertain Volatilities, Pricing and hedging derivative securities in markets with uncertain options with lookback payoff, Credit
The most prolific affiliation is the British University of Oxford. The aim is to provide a snapshot of some of the most exciting work Ready to publish? 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. The Article Processing Charge (APC) for publication in this open access journal is 1800 CHF (Swiss Francs). Now includes records from the Jahrbuch Database. tree methods for strongly path dependent options, Optimal
This research is disseminated through our Working Paper Series and our Publications. The main subjects of knowledge are social sciences and economics, econometrics, and finance. For more recent Among these, we may cite criteria for the choice of the best alternative among investment or financing projects, and models for studying: The dynamics of interest rates, the evaluation of bonds, portfolio theory and dynamic asset allocation, the dynamics of stock prices, and the pricing and the risk assessment of many derivatives (options, forwards and futures, swaps, a variety of exotic derivatives). Furthermore, this article also provides the meta-frontier Malmquist model, which can be utilized to analyze in detail technological progress. Alphabetical list of journal abbreviations for sciences. The Library has an extensive collections of mathematics and financial journals, both online and in print. For a complete list of all databases provided by the Library, visit the Database Finder. Advanced methods for pricing and hedgingof derivative securities: models with jumps and stochastic volatility, asymptotic methods in option pricing, model calibration, valuation of long-term equity contracts and investment strategies, market with imperfections (proportional transaction costs, delta constraint), Interest rate modeling: multi-factor models, multi-curve term structure models, impact of funding on interest rate derivatives, Systemic risk: network models of credit contagion, quantitative modeling of feedback effects, metrics for systemic risk, quantitative models of financial stability, Counterparty Credit risk, Collateral and Funding: Credit Value Adjustment (CVA), DVA, collateral requirements and their impact on pricing of derivatives, and consistent inclusion of funding costs (FVA); credit derivatives, Stochastic control and applications in finance, Liquidity risk: models of price impact and liquidity risk, liquidity-adjusted risk measures, liquidity-based pricing models. Stock data and indices are available for 5 years. minimum withdrawal benefit in variable annuities, Counterparty We are a member of the London Graduate School of Mathematical Finance, co-organise the London Mathematical Finance Seminar series, and run the financial mathematics practitioner seminars. Using the unified matrix representation of the weights constraints, we formulate the data envelopment analysis (DEA ) efficiency model and express the efficient frontier in a unified way for the different weight restrictions considered. and reliability considerations of option pricing algorithms, Pricing Especially the evaluation and management of the risks to which financial markets are exposed have become crucial. volatilities, Managing the volatility risk of portfolios of These databases are focused on business and economics and are generally the best starting points for finding articles in these disciplines. We will find that representative bubbles may start at any time, depending on the definition of a behavioral component. progress in the field that systematically reviews the most exciting advances in scientific literature. By extracting the valuation, recent studies have shown that momentum trading (buying on uptrend) plays a strong role, as do money supply, changes in volume and several other variable. Name of option features in convertible bond, Reset There are one-, two-, and three-asset ELS. options, Pricing Math Assistance Center/Posvar Computing Lab, Information for Incoming Graduate Students. stock option valuation with repricing features, Guaranteed Submitted manuscripts should not have been published previously, nor be under consideration for publication elsewhere (except conference proceedings papers). Coverage is 1868 to current. Manuscripts can be submitted until the deadline. Follow us on @ScimagoJRScimago Lab, Copyright 2007-2022. swaps, No Authoritative, multidisciplinary content covers over 10,000 of the highest impact journals worldwide, including Open Access journals and over 110,000 conference proceedings. Full text is often available. journal self-citations removed) received by a journal's published documents during the three previous years. Please visit the Instructions for Authors page before submitting a manuscript. to nonlinear volatility and free-boundary problems, Dynamic hedging portfolios for derivative securities in the 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. Provides links to available full text. Especially useful for its citation linking. Research articles, review articles as well as short communications are invited. calling policies in convertible bonds, Jump The users of Scimago Journal & Country Rank have the possibility to dialogue through comments linked to a specific journal.
Moreover, we study the behaviour of the fund performance scores as the restrictions on the weights become increasingly strict. This special issue belongs to the section "Financial Mathematics". Data Source: Scopus, Explore, visually communicate and make sense of data with our, Metrics based on Scopus data as of April 2022. 773-702-7569 FDM has been used for pricing the one- and two-asset ELS because it is accurate. For 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 future information about the terminal price of the asset by modeling it as a Brownian bridge. Note (10/1999): 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. Now includes records from the Jahrbuch Database. participating policies with rate guarantees and bonuses, Valuation exercise policies of American floating and fixed strike lookback options, Pricing To achieve this, this article presents a combined method; a sixth order finite difference (FD6) scheme in space and a thirdorder strong stability preserving RungeKutta (SSPRK3) over time. 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. We have compared the results with the general approaches for the standard VaR, which has been the most suitable method for Moroccan stock investors up to now. 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. Global research trends in this topic during the period 19352019 have been analyzed. and convertible bonds, Characterization See our editorial guidelines for everything you need to know about Frontiers peer review process. Coverage is 1868 to current. In addition, new models to assess the performance of mutual funds makes use of different approaches drawn from different fieldsamong these data envelopment analysisand allows to study socially-responsible investments. of FX Options, Calibrating volatility surfaces via relative-entropy minimization, Pricing Interest Rate Contingent Claims in Markets with Since financial engineering problems are of great importance in the academic community, effective methods are still needed to analyze these models. algorithms for options with exotic path dependence, Early These methods calculate the maximum loss that a portfolio is likely to experience over a given time span. the Courant Finance Server. We show how to numerically compute the solution and we analyze the effect of the volatility estimation on the strategy by computing the confidence curves around the optimal stopping boundary. over 100,000 data points) of market data that can be used to deduce underlying motivational effects. Evolution of the number of total citation per document and external citation per document (i.e.
Full text of over 9000 publications, including newspapers and trade journals. Tools are often integrated into articles databases. 2022 Frontiers Media S.A. All rights reserved, Mathematics of Computation and Data Science, Numerical Analysis and Scientific Computation, Frontiers in Applied Mathematics and Statistics. An introduction to option pricing and the mathematical
In addition, we found that the use of t-Student MS-ARCH models is preferable in the Chilean market. (This article belongs to the Special Issue, In the present paper, we review the use of two-state, Generalized Auto Regressive Conditionally Heteroskedastic Markovian stochastic processes (MS-GARCH). These equations are being used to understand the dynamics and stability. Arbitrage Approach for Pricing Credit Spread Derivatives, Optimal
Full text is often available. Ryerson Physical Laboratory 156 models with interacting default intensity processes, Intensity-based
Deadline for manuscript submissions: closed (31 May 2020) | Viewed by 17704. on pricing perpetual fund protection with withdrawal option, Sub-replication
You are accessing a machine-readable page. The Mathematical Finance section organises the weeklyFinance and Stochastics seminaras well as other seminars and numerous conferences and workshops on topics related to mathematical modeling in finance. Traditionally, financial mathematics has been used to solve financial problems. The country with the most academic publications and international collaborations is the United States. For planned papers, a title and short abstract (about 100 words) can be sent to the Editorial Office for announcement on this website. Article database that includes trade publications, academic journals, industry profiles, country information and company profiles, which include SWOT analyses. articles published under an open access Creative Common CC BY license, any part of the article may be reused without Accepted papers will be published continuously in the journal (as soon as accepted) and will be listed together on the special issue website. For topics on particular articles, maintain the dialogue through the usual channels with your editor.
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. theory of risk, A risk-neutral stochastic volatility model, E-ARCH Model for the Term-Structure of Implied Volatility In addition, the most used keywords in articles are financial management, financial transaction tax, banking, financial service, blockchain, decision making, and financial market. You'll find current and retrospective coverage in the sciences, social sciences, arts, and humanities, with coverage available to 1900. Use the following links toaccess specific journals or look up journal title abbreviations. The increase in publications in recent years at the international level confirms the growing trend in research on financial transactions. Furthermore, with suitable modeling, one can deduce nonlinear effects. We can put registered members of Publons' reviewer community in touch with partnered journals they would like to review for. price formulas for lookback options, Options Mathematics is an international peer-reviewed open access semimonthly journal published by MDPI. These show the quantitative model of an active stock trading algorithm in the three main Latin-American stock markets (Brazil, Chile, and Mexico). prior to publication. Q1 (green) comprises the quarter of the journals with the highest values, Q2 (yellow) the second highest values, Q3 (orange) the third highest values and Q4 (red) the lowest values. Universities and research institutions in United States, Society for Industrial and Applied Mathematics Publications. * Required. 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. Jennifer Hart 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. The computed results are compared with available literature and the exact solution. Therefore, this article focuses mainly on capturing the discrete behavior of linear and nonlinear BlackScholes European option pricing models. ), financial risk management, computational methods for finance and insurance, stochastic (partial) differential equations, control theory and applications, algorithmic finance, filtrations and information modelling, probabilistic numerical methods, rough path theory, statistical inference and machine learning, and research on heavy-tailed processes. The data envelopment analysis models proposed in the mutual funds literature do. A Acting courageously: Professor Alice Gast delivers final President's Address, New Health Secretary sees cutting-edge medical robotics research at Imperial, Imperial and Indian Institute of Science form research and education partnership. execution strategy of liquidation, Pricing of occupation times for CEV diffusions and pricing of a-quantile options, Real 2022 Imperial College London, Multidisciplinary networks, centres and institutes, seminars and numerous conferences and workshops, Imperial College Academic Health Science Centre. Finally, we compare our method with the optimal exercise time based on a geometric Brownian motion by using real data exhibiting pinning. International Collaboration accounts for the articles that have been produced by researchers from several countries. risk for credit default swaps: Markov chain interacting intensities Papers are submitted upon individual invitation or recommendation by the scientific editors and undergo peer review Content is available in many different languages, including Chinese, French, German, Japanese and Russian. For further information on our research activities,browse the list of ourresearch publications or visit thepersonal homepagesof our academic staff.
Most of these papers have been in print for at least 2 years. With globalization, financial transactions require new analysis based on tools of probability, statistics, and economic theory. multi-asset options with an external barrier, Asian 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. claim approach for analyzing the creditrisk of defaultable currency You seem to have javascript disabled. The statements, opinions and data contained in the journals are solely In the last few years, financial mathematics has become an important field for mathematicians. Mathematically, the execution of an American-style financial derivative is commonly reduced to solving an optimal stopping problem. Evolution of the total number of citations and journal's self-citations received by a journal's published documents during the three previous years. 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. Visit our dedicated information section to learn more about MDPI. 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. The results reveal an increasing trend, mainly in the last decade. With this objective, a bibliometric methodology of 1486 articles from the Scopus database was applied. Web of Science is especially useful for its citation linking. those of the individual authors and contributors and not of the publisher and the editor(s). In this work, we aim to formalize the inception of representative bubbles giving the condition under which they may arise. This means that a classic rational bubble (differently from our model) cannot follow a cycle since if a bubble exists, it will burst by definition and never arise again. However, the three-asset ELS is still priced using the Monte Carlo simulation (MCS) due to the curse of dimensionality for FDM. 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. options, Real In order to be human-readable, please install an RSS reader. The two years line is equivalent to journal impact factor (Thomson Reuters) metric. Therefore, this article focuses mainly on capturing the discrete behavior of linear and nonlinear BlackScholes European option pricing models. The set of journals have been ranked according to their SJR and divided into four equal groups, four quartiles. Numerical Methods for finance: probabilistic methods for non-linear PDE, numerical methods for BSDEs, model calibration. A rapidly growing area of mathematical finance is quantitative behavioral finance.
Lists journals the library owns by title. 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. Email Jenny. Sign up to receiveBy the Numb3rs,the Department of Mathematics e-newsletter. 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. The three-asset ELS is the most.
Article database that indexes academic journals, trade publications, newspapers and magazines in business and economics. permission is required to reuse all or part of the article published by MDPI, including figures and tables. We co-author research papers with industry practitioners and are keen on collaborating with the financial and insurance industry on current issues and challenges. The author with the most articles is Khare from the Indian Institute of Management Rohtak.
The computed results revealed that the current method seems to be quite strong both quantitatively and qualitatively with minimal computational effort. 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). Pittsburgh, PA 15260. ELS is a very popular investment product in South Korea. Submitted papers should be well formatted and use good English. The three-asset ELS is the most popular financial product among them.
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. 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. All manuscripts are thoroughly refereed through a single-blind peer-review process. 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. Their use leads to the best overall performance than the BH portfolio. The Library subscribes to many article indexing databases in all areas of science, engineering and medicine. This result is at odds with the theory of classic rational bubbles, which are those models that rely on the fulfillment of the transversality condition by which a bubble in a financial asset can arise just at its first trade. 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. Register now to let Journal of Mathematical Finance know you want to review for them. It is based on the idea that 'all citations are not created equal'. derivative securities: the Lagrangian Uncertain Volatility Model, Dynamic hedging with transaction costs: from lattice models ELS is a very popular investment product in South Korea. Manuscripts should be submitted online at www.mdpi.com by registering and logging in to this website.
with combined reset rights on strike and maturity, Valuing front-fixing finite difference method for the valuation of American meets replication: hedging of swap derivatives and annuity Market microstructure and high frequency modeling: mathematical modeling of limit order markets, statistical modeling of high frequency market data, consequences of high frequency trading for market stability and volatility. In particular, a recent uptrend that is too steep has a negative influence on prices. Limit to "ejournals" for electronic access only. 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. of employee reload options using utility maximization framework, Integral It is a very good source for empirical studies on economics and finance. SJR is a measure of scientific influence of journals that accounts for both the number of citations received by a journal and the importance or prestige of the journals where such citations come from papers, go to
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EndNote and Zotero are research management tools that helps you collect, organize, and share citations from library databases and catalogs. To achieve this. Scopus is an interdisciplinary, bibliographic database that indexes the contents of more than 15,000 journals in the physical sciences, engineering, earth and environmental sciences, life and health sciences, social sciences, psychology, business, and management. and withdrawal rights in dynamic fund protection, Optimal Indexes journal articles and books in mathematics; more European in coverage than MathSciNet. Best for empirical studies Also indexes book chapters, working papers and dissertations. Publons users have indicated that they sit on Journal of Mathematical Finance's editorial board but we are unable to verify these claims. of callable feature on early exercise policy, Accuracy In this article, we propose a super-fast computational algorithm for three-asset equity-linked securities (ELS) using the finite difference method (FDM). EconLit indexes articles from economics journals, books, book chapters, dissertations and working papers. Indexes journal articles and books in mathematics; more European in coverage than MathSciNet.