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Mathematics and Financial Economics OnlineFirst articles


Governmental incentives for green bonds investment

Motivated by the recent studies on the green bond market, we build a Principal–Agent model in which an investor trades on a portfolio of green and conventional bonds, both issued by the same governmental entity. The government provides incentives …

Open Access 23-04-2022

Learning about latent dynamic trading demand

We present an equilibrium model of dynamic trading, learning, and pricing by strategic investors with trading targets and price impact. Since trading targets are private, investors filter the child order flow dynamically over time to estimate the …


The implications of tax loss carryforwards on investment policy

This paper explores the effects of tax loss carryforwards (TLCs) on the timing of an irreversible investment. Tax asymmetries restrict the use of TLCs, which induces an option value on the benefits of investing. We highlight the trade-off between …


Semi-analytical solution for consumption and investment problem under quadratic security market model with inflation risk

There exists strong empirical evidence that all inflation rates, interest rates, market price of risk, and return volatilities of assets are stochastic, which is now a stylized fact. However, to the best of our knowledge, existing models providing …

Open Access 28-03-2022

Law-Invariant Functionals that Collapse to the Mean: Beyond Convexity

We establish general “collapse to the mean” principles that provide conditions under which a law-invariant functional reduces to an expectation. In the convex setting, we retrieve and sharpen known results from the literature. However, our results …

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About this journal

In the last twenty years mathematical finance has developed independently from economic theory, and largely as a branch of probability theory and stochastic analysis. This has led to important developments e.g. in asset pricing theory, and interest-rate modeling.

This direction of research however can be viewed as somewhat removed from real-world considerations and increasingly many academics in the field agree over the necessity of returning to foundational economic issues.

Mainstream finance on the other hand has often considered interesting economic problems, but finance journals typically pay less attention to the high-level quantitative approach. When quantitative methods useful to economists are developed by mathematicians and published in mathematical journals, they often remain unknown and confined to a very specific readership. More generally, there is a need for bridges between these disciplines.

The aim of this new journal is to reconcile these two approaches and to provide the bridging links between mathematics, economics and finance. Typical areas of interest include foundational issues in asset pricing, financial markets equilibrium, insurance models, portfolio management, quantitative risk management, intertemporal economics, uncertainty and information in finance models.

The first Editor-in-Chief was Elyès Jouini (2007), succeeded by Ivar Ekeland (2011) and from 2014, by Ulrich Horst and Frank Riedel jointly.

Mathematics and Financial Economics
Volume 1/2007 - Volume 16/2022
Springer Berlin Heidelberg
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