We propose a model with economic and environmental domains that interact with each other. The economic sphere is described by a Solow growth model, in which productivity is not exogenous but negatively affected by the stock of pollution that stems …

The paper demonstrates the construction of a stock price stochastic process that aligns with observed option prices, drawing inspiration from a manuscript by Professor Erio Castagnoli that employs the concept of a non-linear monotonic …

Acceleration clauses shorten the residual life of an option when an acceleration condition is met. Acceleration clauses are frequent in warrants, American call options on traded stocks. In warrants with the acceleration clause, if an index (e.g.

I study the exact percentage price reaction (in absolute value) to changes in the short rate for long-lived assets in a tractable long-run risk equilibrium model with fluctuating expected growth rates. Calibration reveals that, under time-additive …

In this study, we provide a simple one period mean-field-games setting for the joint optimal trading problem for electricity producers in the electricity markets. Based on the Markowitz mean-variance approach from stock trading, we consider a …

This study addresses a research gap in quantitative modeling framework and scenario analysis for the risk management of stable value fund wraps, a crucial segment of the U.S. financial market with over USD $400 billion in assets. In this paper, we …

This note in the Milestones series is dedicated to the paper “A Behavioral Model of Rational Choice”, written by Herbert Simon and published in 1955 on the Quarterly Journal of Economics.

The aim of this paper is to deepen the study of solution methods for rank-two nonconvex problems with polyhedral feasible region, expressed by means of equality, inequality and box constraints, and objective function in the form of $$\phi \left( …

Traditional stochastic mortality models tend to extrapolate, to focus on identifying trends in mortality without explaining them. Those that do link mortality with other variables usually limit themselves to GDP. This article presents a novel …

The evolution of digital technologies is reshaping consumer habits and needs, driving process automation, and giving rise to innovative business models like Insurtech. Peer-to-peer (P2P) insurance is emerging as part of this trend. P2P involves …

This paper examines the profit testing of life insurance companies that issue participating policies, type B and type A universal life policies, and variable annuities with guaranteed minimum maturity and death benefits, when investment returns …

Risk aversion has an unambiguous meaning in the univariate context: But, what does it mean to be risk averse in the multivariate case? Concave Risk Aversion (CRA) and Multivariate Risk Aversion (MRA) are relevant extensions of the risk aversion …

We consider the Bachelier model with linear price impact. Exponential utility indifference prices are studied for vanilla European options in the case where the investor is required to liquidate her position. Our main result is establishing a …

The Fundamental Theorem of Asset Pricing is extended to a market model over a finite probability space with many assets that can be exchanged into one another under combined fixed and proportional transaction costs. The absence of arbitrage in …

This paper demonstrates the benefits, from an expected utility perspective, of including a derivative into the universe of tradeable assets under the affine GARCH model proposed by Heston and Nandi (Rev Financ Stud 13(3):585–625, 2000.

We have developed a financial market model that incorporates the Disposition Effect, which refers to traders’ tendency to avoid realizing losses. Specifically, our model replicates several stylized facts commonly observed in financial markets …

In this paper, we give an overview of (nonlinear) pricing-hedging duality and of its connection with the theory of entropy martingale optimal transport (EMOT), recently developed, and that of convex risk measures. Similarly to Doldi and Frittelli …

Leasing valuation is a topic that has aroused considerable interest in business circles. This paper examines leasing from the point of view of the lessor who can decide to leave the contract due to default. We analyze in introducing a model in …

We investigate the asset’s price and the portfolio choices of the managers in the equilibrium generated by a winner takes all contest in a financial market with cash and a risky asset. The manager’s payoff consists in the value of the portfolio at …

We consider an insurer offering various single premium variable annuity contracts with a guaranteed lifetime withdrawal benefit (GLWB) rider to policyholders. All the contracts have the same structure, but differ for the contractual parameters or …