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Mathematics and Financial Economics

Issue 4/2017

Content (6 Articles)

Optimal investment with transaction costs under cumulative prospect theory in discrete time

Bin Zou, Rudi Zagst

Open Access

Optimal entry to an irreversible investment plan with non convex costs

Tiziano De Angelis, Giorgio Ferrari, Randall Martyr, John Moriarty

On the existence of competitive equilibrium in frictionless and incomplete stochastic asset markets

Robert Jarrow

Long-term factorization of affine pricing kernels

Likuan Qin, Vadim Linetsky

A simple trinomial lattice approach for the skew-extended CIR models

Xiaoyang Zhuo, Guangli Xu, Haoyan Zhang

An analytical study of norms and Banach spaces induced by the entropic value-at-risk

Amir Ahmadi-Javid, Alois Pichler

Jun 17
Issue: 3/2017
Jan 18
Issue: 1/2018
Special Issue: Robustness, Knightian Uncertainty, and Games in Finance

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