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Mathematics and Financial Economics OnlineFirst articles


Asset pricing in a pure exchange economy with heterogeneous investors

In this paper, we provide a complete solution to the problem of equilibrium asset pricing in a pure exchange economy with two types of heterogeneous investors having higher/lower risk aversion. Using a perturbation method, we obtain analytical …

29-05-2020 Open Access

Compound Poisson models for weighted networks with applications in finance

We develop a modelling framework for estimating and predicting weighted network data. The edge weights in weighted networks often arise from aggregating some individual relationships between the nodes. Motivated by this, we introduce a modelling …

29-05-2020 Open Access

Mean-variance efficiency of optimal power and logarithmic utility portfolios

We derive new results related to the portfolio choice problem for power and logarithmic utilities. Assuming that the portfolio returns follow an approximate log-normal distribution, the closed-form expressions of the optimal portfolio weights are …


How safe are central counterparties in credit default swap markets?

We propose a general framework for estimating the vulnerability to default by a central counterparty (CCP) in the credit default swaps market. Unlike conventional stress testing approaches, which estimate the ability of a CCP to withstand …


Dual representations for systemic risk measures based on acceptance sets

We establish dual representations for systemic risk measures based on acceptance sets in a general setting. We deal with systemic risk measures of both “first allocate, then aggregate” and “first aggregate, then allocate” type. In both cases, we …

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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.

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