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Mathematics and Financial Economics

Mathematics and Financial Economics 2/2021

Issue 2/2021

Table of Contents ( 8 Articles )

19-01-2021 | Issue 2/2021 Open Access

Systemic optimal risk transfer equilibrium

Francesca Biagini, Alessandro Doldi, Jean-Pierre Fouque, Marco Frittelli, Thilo Meyer-Brandis

30-07-2020 | Issue 2/2021

Optimal life-cycle consumption and investment decisions under age-dependent risk preferences

Andreas Lichtenstern, Pavel V. Shevchenko, Rudi Zagst

04-09-2020 | Issue 2/2021

Equilibrium effects of intraday order-splitting benchmarks

Jin Hyuk Choi, Kasper Larsen, Duane J. Seppi

07-09-2020 | Issue 2/2021

Preferences over rich sets of random variables: on the incompatibility of convexity and semicontinuity in measure

Alexander Zimper, Hirbod Assa

23-10-2020 | Issue 2/2021

A closed-form pricing formula for European options under a new stochastic volatility model with a stochastic long-term mean

Xin-Jiang He, Wenting Chen

10-10-2020 | Issue 2/2021

Certainty equivalent and utility indifference pricing for incomplete preferences via convex vector optimization

Birgit Rudloff, Firdevs Ulus

04-11-2020 | Issue 2/2021

Scale effects in dynamic contracting

Shirley Bromberg-Silverstein, Santiago Moreno-Bromberg, Guillaume Roger

09-01-2021 | Correction | Issue 2/2021

Correction to: No-arbitrage commodity option pricing with market manipulation

René Aïd, Giorgia Callegaro, Luciano Campi

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