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Zeitschrift

Mathematics and Financial Economics

Mathematics and Financial Economics OnlineFirst articles

18.02.2019

Impact of contingent payments on systemic risk in financial networks

In this paper we study the implications of contingent payments on the clearing wealth in a network model of financial contagion. We consider an extension of the Eisenberg–Noe financial contagion model in which the nominal interbank obligations …

13.02.2019

Mean-reverting additive energy forward curves in a Heath–Jarrow–Morton framework

In this paper, we make the traditional modeling approach of energy commodity forwards consistent with no-arbitrage. In fact, traditionally energy prices are modeled as mean-reverting processes under the real-world probability measure $$\mathbb …

29.01.2019

A macroscopic portfolio model: from rational agents to bounded rationality

We introduce a microscopic model of interacting financial agents, where each agent is characterized by two portfolios; money invested in bonds and money invested in stocks. Furthermore, each agent is faced with an optimization problem in order to …

08.01.2019

A switching microstructure model for stock prices

This article proposes a microstructure model for stock prices in which parameters are modulated by a Markov chain determining the market behaviour. In this approach, called the switching microstructure model (SMM), the stock price is the result of …

01.01.2019

Bubbles in assets with finite life

We study the speculative value of a finitely lived asset when investors disagree and short sales are limited. In this case, investors are willing to pay a speculative value for the resale option they obtain when they acquire the asset. Using …

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Über diese Zeitschrift

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.

History:
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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