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Mathematics and Financial Economics OnlineFirst articles


A scaled version of the double-mean-reverting model for VIX derivatives

As the Heston model is not consistent with VIX data in real market well enough, alternative stochastic volatility models including the double-mean-reverting model of Gatheral (in: Bachelier Congress, 2008) have been developed to overcome its …


Riskiness in gambles that belong to the same location-scale family and with well-defined means and variances

This paper investigates the orderings of gambles with well-defined means and variances that belong to the same location-scale family under: (i) the index of riskiness analyzed by Aumann and Serrano (AS) and (ii) the measure of riskiness proposed …


Black–Scholes in a CEV random environment

Classical (Itô diffusions) stochastic volatility models are not able to capture the steepness of small-maturity implied volatility smiles. Jumps, in particular exponential Lévy and affine models, which exhibit small-maturity exploding smiles, have …


Sensitivity analysis for expected utility maximization in incomplete Brownian market models

We examine the issue of sensitivity with respect to model parameters for the problem of utility maximization from final wealth in an incomplete Samuelson model and mainly, but not exclusively, for utility functions of positive-power type. The …


Strongly consistent multivariate conditional risk measures

We consider families of strongly consistent multivariate conditional risk measures. We show that under strong consistency these families admit a decomposition into a conditional aggregation function and a univariate conditional risk measure as …

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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.

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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