Results 31 to 40 of about 2,723,796 (303)

Continuous Time Portfolio Selection under Conditional Capital at Risk

Journal of Probability and Statistics, 2010
Portfolio optimization with respect to different risk measures is of interest to both practitioners and academics. For there to be a well-defined optimal portfolio, it is important that the risk measure be coherent and quasiconvex with respect to the ...
Gordana Dmitrasinovic-Vidovic, Ali Lari-Lavassani, Xun Li, Antony Ware   +3 more
doaj   +1 more source

A brief history of mathematics in finance

Borsa Istanbul Review, 2014
In the list of possible scapegoats for the recent financial crises, mathematics, in particular mathematical finance has been ranked, without a doubt, as the first among many and quants, as mathematicians are known in the industry, have been blamed for ...
Erdinç Akyıldırım, Halil Mete Soner
doaj   +1 more source

Degenerate-elliptic operators in mathematical finance and higher-order regularity for solutions to variational equations [PDF]

Advances in Differential Equations, 2012
We establish higher-order weighted Sobolev and Holder regularity for solutions to variational equations defined by the elliptic Heston operator, a linear second-order degenerate-elliptic operator arising in mathematical finance.
P. Feehan, C. Pop
semanticscholar   +1 more source

Informational Updates and the Derivative Pricing Kernel

AppliedMath
It is common in financial markets for market makers to offer prices on derivative instruments even though they are uncertain about the underlying asset’s value. This paper studies the mathematical problem that arises as a result.
Ayan Bhattacharya
doaj   +1 more source

Inflation Protected Investment Strategies

Risks, 2016
In this paper, a dynamic inflation-protected investment strategy is presented, which is based on traditional asset classes and Markov-switching models.
Mirco Mahlstedt, Rudi Zagst
doaj   +1 more source

A stakeholder perspective on social stability risk of public–private partnerships project for water environmental governance in China: A social network analysis

Frontiers in Ecology and Evolution, 2023
The pluralism of stakeholders in PPP project for water environmental governance and the complex interrelationship among stakeholders are the important factors affecting social stability risk.
Wenke Wang, Wenke Wang, Xinlin Guo, Qilin Cao, Qilin Cao, Aomei Tang   +5 more
doaj   +1 more source

Nonlinear Parabolic Equations arising in Mathematical Finance

, 2017
This survey paper is focused on qualitative and numerical analyses of fully nonlinear partial differential equations of parabolic type arising in financial mathematics.
A. Tourin, B. Bank, B. Düring, C.G. Averbuj, D. Ševčovič, D. Ševčovič, D.P. Bertsekas, G. Barles, J. Ankudinova, J.H. Witte, K. Muthuraman, L.A. Bordag, M. Avellaneda, M. Hamala, M. Jandačka, M. Koleva, M. Kratka, M. Musiela, M.C. Crandall, M.C. Mariani, M.N. Koleva, N. Ishimura, N. Ishimura, P. Amster, P. Schönbucher, Q.S. Song, R. Abe, R. Company, R. Frey, S. Kilianová, S. Kilianová, S. Nayak, S. Zhou, T. Hoggard, T. Zariphopoulou, W. Liao, W.H. Fleming, Y. Huang, Y.K. Kwok, Z. Macová   +39 more
core   +1 more source

Re-examining the moderating role of ICT in the nexus between financial development and banking efficiency: evidence from Africa

Cogent Economics & Finance
Studies on the tripartite nexuses among information and communication technology (ICT), financial development (FD), and banking sector efficiency have largely produced mixed findings. More importantly, how countries’ levels of ICT advancement moderate FD-
Emmanuel Issifu Fuseini, Muazu Ibrahim, Ibrahim Osman Adam, Xuan Vinh Vo   +3 more
doaj   +1 more source

Reliable intermittent extended dissipative control for uncertain fuzzy flexible spacecraft systems with Bernoulli stochastic distribution

IET Control Theory & Applications, 2021
This paper addresses the problem of uncertain fuzzy intermittent extended dissipative control to stabilize the flexible spacecraft (FS). However, to the systems with actuator random failures, input saturation and Bernoulli stochastic distribution by ...
Kui Ding, Quanxin Zhu
doaj   +1 more source

Stochastic representation of solutions to degenerate elliptic and parabolic boundary value and obstacle problems with Dirichlet boundary conditions

, 2013
We prove existence and uniqueness of stochastic representations for solutions to elliptic and parabolic boundary value and obstacle problems associated with a degenerate Markov diffusion process.
Feehan, Paul M. N., Pop, Camelia
core   +1 more source