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Mathematics and Financial Economics OnlineFirst articles


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 …


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 …

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 …


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 …


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 …

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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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