Results 41 to 50 of about 2,743 (120)
Mathematical Finance, EarlyView.ABSTRACT We extend the notion of forward performance criteria to settings with random endowment in incomplete markets. Building on these results, we introduce and develop the novel concept of forward optimized certainty equivalent (forward OCE), which offers a genuinely dynamic valuation mechanism that accommodates progressively adaptive market model ...
Gechun Liang +2 more
wiley +1 more source
On Short‐Term Behavior of Implied Volatility for Index Options
Mathematical Finance, EarlyView.ABSTRACT This paper investigates short‐term behavior of implied volatility of derivatives written on a market index when the index is constructed using a ranking procedure. Even when stock prices follow geometric Brownian motion dynamics, the ranking mechanism can lead to the observed term structure of at‐the‐money (ATM) implied volatility skew for ...
Huy N. Chau, Duy Nguyen, Thai Nguyen
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Applied Research, Volume 5, Issue 5, October 2026.UniNS is a hybrid neuro‐symbolic framework that simulates nanoscale swarms in tumor microenvironments by coupling mesoscopic hydrodynamics with structure‐regularized causal discovery. It reduces biochemical prediction errors by 27.3% and dynamically prevents spurious correlations, offering a scalable, thermodynamically consistent testbed for precision ...
Xinyuan Chen +3 more
wiley +1 more source
Earthquake Engineering &Structural Dynamics, Volume 55, Issue 13, Page 3264-3284, 25 October 2026.ABSTRACT Conventional single intensity measure (IM) fragility approaches with simplified component dependency assumptions overlook the progressive damage accumulation and evolving inter‐component correlations that govern system behavior under mainshock‐aftershock (MSAS) loading.
Muhammad Rashid, Mayuko Nishio
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Mathematical Finance, Volume 36, Issue 4, Page 826-845, October 2026.ABSTRACT This study develops a novel multivariate stochastic framework for assessing systemic risks, such as climate and nature‐related shocks, within production or financial networks. By embedding a linear stochastic fluid network, interpretable as a generalized vector Ornstein–Uhlenbeck process, into the production network of interdependent ...
Giovanni Amici +3 more
wiley +1 more source
Random Carbon Tax Policy and Investment Into Emission Abatement Technologies
Mathematical Finance, Volume 36, Issue 4, Page 804-825, October 2026.ABSTRACT We analyze the problem of a profit‐maximizing electricity producer, subject to carbon taxes, who decides on investments into CO2$\rm CO_2$ abatement technologies. We assume that the carbon tax policy is random and that the investment in the abatement technology is divisible, irreversible, and subject to transaction costs.
Katia Colaneri +2 more
wiley +1 more source
A Model of Strategic Sustainable Investment
Mathematical Finance, Volume 36, Issue 4, Page 771-803, October 2026.ABSTRACT We study a problem of optimal irreversible investment and emission reduction formulated as a nonzero‐sum dynamic game between an investor with environmental preferences and a firm. The game is set in continuous‐time on an infinite‐time horizon.
Tiziano De Angelis +2 more
wiley +1 more source
Dam Management in the Era of Climate Change
Mathematical Finance, Volume 36, Issue 4, Page 870-895, October 2026.ABSTRACT Climate change has a dramatic impact, particularly by concentrating rainfall into a few short periods, interspersed with long dry spells. In this context, the role of dams is crucial. We consider the optimal control of a dam, where the water level must neither exceed a designated safety threshold nor fall below a minimum level to ensure ...
Cristina Di Girolami +3 more
wiley +1 more source
A Stochastic Approach for Recovery Times of Coastal Dune Vegetation
Geophysical Research Letters, Volume 53, Issue 17, 16 September 2026.Abstract The resilience of coastal dunes to environmental stress largely depends on vegetation recovery, which promotes sediment trapping and sand stabilization. However, post‐disturbance recovery dynamics remain difficult to quantify due to the complex interplay between biotic and abiotic processes.
D. Demichele, C. Camporeale
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Mathematical Methods in the Applied Sciences, Volume 49, Issue 13, Page 14964-15009, 15 September 2026.ABSTRACT We develop a unified mathematical framework extending classical moment theory from discrete integer orders to a continuous spectrum of real orders f>0$$ f>0 $$, providing a systematic statistical characterization of complex systems exhibiting power‐law behavior.
Farrukh A. Chishtie
wiley +1 more source