Skip to main content

Mathematics and Financial Economics OnlineFirst articles


Convergence rates of large-time sensitivities with the Hansen–Scheinkman decomposition

This paper investigates the large-time asymptotic behavior of the sensitivities of cash flows. In quantitative finance, the price of a cash flow is expressed in terms of a pricing operator of a Markov diffusion process. We study the extent to …

Hyungbin Park


Supermartingale deflators in the absence of a numéraire

In this paper we study arbitrage theory of financial markets in the absence of a numéraire both in discrete and continuous time. In our main results, we provide a generalization of the classical equivalence between no unbounded profits with …

Philipp Harms, Chong Liu, Ariel Neufeld


Risk management with expected shortfall

This article studies optimal, dynamic portfolio and wealth/consumption policies of expected utility-maximizing investors who must also manage market-risk exposure which is measured by expected shortfall (ES). We find that ES managers can incur …

Pengyu Wei

29.04.2021 Open Access

Dynamically complete markets under Brownian motion

This paper investigates how continuous-time trading renders complete a financial market in which the underlying risk process is a Brownian motion. A sufficient condition, that the instantaneous dispersion matrix of the relative dividends is …

Theodoros M. Diasakos


Diffusion bank networks and capital flows

We study how bank networks can be driven, via diffusion, to a state where they exhibit greater resistance to a systemic shock. Firstly without making any assumption about the dynamics which drives the interbank lending in the network we prove that …

Ioannis Leventidis, Evangelos Melas


Utility maximization in a multidimensional semimartingale model with nonlinear wealth dynamics

We explore martingale and convex duality techniques to maximize expected risk-averse utility from consumption in a general multi-dimensional (non-Markovian) semimartingale market model with jumps and non-linear wealth dynamics. The model allows to …

Mauricio Junca, Rafael Serrano

24.03.2021 Open Access

A Gamma Ornstein–Uhlenbeck model driven by a Hawkes process

We propose an extension of the $$\Gamma $$ Γ -OU Barndorff-Nielsen and Shephard model taking into account jump clustering phenomena. We assume that the intensity process of the Hawkes driver coincides, up to a constant, with the variance process.

Guillaume Bernis, Riccardo Brignone, Simone Scotti, Carlo Sgarra


On the market price of risk

An important parameter describing the state of capital markets, investment opportunity sets, and asset pricing is the unobservable market risk price. The estimated risk price depends upon the selected asset set, the number of assets, the …

Robert Korkie, Harry Turtle