Results 131 to 140 of about 1,209 (211)

Smoothness and stability in the Alt-Phillips problem. [PDF]

Math Ann
Carducci M, Tortone G.
europepmc   +1 more source

Measure‐valued processes for energy markets

Mathematical Finance, Volume 35, Issue 2, Page 520-566, April 2025.
Abstract We introduce a framework that allows to employ (non‐negative) measure‐valued processes for energy market modeling, in particular for electricity and gas futures. Interpreting the process' spatial structure as time to maturity, we show how the Heath–Jarrow–Morton approach can be translated to this framework, thus guaranteeing arbitrage free ...
Christa Cuchiero, Luca Di Persio, Francesco Guida, Sara Svaluto‐Ferro   +3 more
wiley   +1 more source

Weak solutions to gradient flows of functionals with inhomogeneous growth in metric spaces. [PDF]

J Evol Equ
Górny W.
europepmc   +1 more source

The fundamental theorem of asset pricing with and without transaction costs

Mathematical Finance, Volume 35, Issue 2, Page 567-609, April 2025.
Abstract We prove a version of the fundamental theorem of asset pricing (FTAP) in continuous time that is based on the strict no‐arbitrage condition and that is applicable to both frictionless markets and markets with proportional transaction costs. We consider a market with a single risky asset whose ask price process is higher than or equal to its ...
Christoph Kühn
wiley   +1 more source

A joint modeling framework for time-to-fatigue prediction with a single wearable sensor biomarker. [PDF]

Sci Rep
Lu L, Sedighi-Maman Z, Cavuoto L.
europepmc   +1 more source

Optimal Portfolio Choice With Cross‐Impact Propagators

Mathematical Finance, EarlyView.
ABSTRACT We consider a class of optimal portfolio choice problems in continuous time where the agent's transactions create both transient cross‐impact driven by a matrix‐valued Volterra propagator, as well as temporary price impact. We formulate this problem as the maximization of a revenue‐risk functional, where the agent also exploits available ...
Eduardo Abi Jaber, Eyal Neuman, Sturmius Tuschmann   +2 more
wiley   +1 more source

Estimating dengue force of infection from age-stratified surveillance data in Java, Indonesia. [PDF]

J R Soc Interface
Djaafara B, Elyazar IRF, Surya A, Silalahi FSM, Handito A, Aryani D, Kamal M, Gunawan D, Hipokrates H, Nisa AK, Prianto E, Samad I, Sugiarto A, Thohir B, Clapham H, Mishra S.   +15 more
europepmc   +1 more source

Impact Investing With Shareholder Engagement

Mathematical Finance, EarlyView.
ABSTRACT In this paper, we study the impact of shareholder engagement on asset prices and corporate practices. We develop a dynamic equilibrium model where heterogeneous green investors choose their optimal asset allocation and costly engagement efforts, and a representative firm sets its greenhouse gas (GHG) emissions to minimize both its cost of ...
Jean‐François Chassagneux, Roxana Dumitrescu, Olivier David Zerbib   +2 more
wiley   +1 more source

Independent validation of time to treatment as a prognostic factor in uveal melanoma. [PDF]

BMC Cancer
Moghadam A, Gill VT, Sabazade S, Hagström A, Stålhammar G.   +4 more
europepmc   +1 more source

Solar Energy Risks: Stochastic Radiation Modeling and Optimal Hedging Strategies

Mathematical Finance, EarlyView.
ABSTRACT The growing integration of solar power into electricity markets increasingly demands advanced risk management tools to address the inherent variability of solar radiation and its interaction with electricity prices. This paper introduces a novel framework for modeling and pricing new financial instruments designed to link payoffs directly to ...
Silvia Romagnoli, Beniamino Sartini
wiley   +1 more source