Mathematical Finance
0960-1627
1467-9965
Anh Quốc
Cơ quản chủ quản: WILEY , Wiley-Blackwell Publishing Ltd
Lĩnh vực:
Economics and EconometricsFinanceApplied MathematicsSocial Sciences (miscellaneous)Accounting
Phân tích ảnh hưởng
Thông tin về tạp chí
Mathematical Finance seeks to publish original research articles focused on the development and application of novel mathematical and statistical methods for the analysis of financial problems. The journal welcomes contributions on new statistical methods for the analysis of financial problems. Empirical results will be appropriate to the extent that they illustrate a statistical technique, validate a model or provide insight into a financial problem. Papers whose main contribution rests on empirical results derived with standard approaches will not be considered.
Các bài báo tiêu biểu
TRACTABLE ROBUST EXPECTED UTILITY AND RISK MODELS FOR PORTFOLIO OPTIMIZATION
Tập 20 Số 4 - Trang 695-731
Explicit Representation of the Minimal Variance Portfolio in Markets Driven by Lévy Processes In a market driven by a Lévy martingale, we consider a claim ξ. We study the problem of minimal variance hedging and we give an explicit formula for the minimal variance portfolio in terms of Malliavin derivatives. We discuss two types of stochastic (Malliavin) derivatives for ξ: one based on the chaos expansion in terms of iterated integrals with respect to the power jump processes and one based on the chaos expansion in terms of iterated integrals with respect to the Wiener process and the Poisson random measure components. We study the relation between these two expansions, the corresponding two derivatives, and the corresponding versions of the Clark‐Haussmann‐Ocone theorem.
Tập 13 Số 1 - Trang 55-72 - 2003
A DIFFUSION MODEL FOR ELECTRICITY PRICES Starting from a simple supply/demand model for electricity, we obtain a diffusion (i.e., jumpless) model for spot prices which can exhibit price spikes. We estimate the parameters in the model using historical data from the Alberta and California markets. and compare this model with some others used for spot prices.
Tập 12 Số 4 - Trang 287-298 - 2002
Coherent Measures of Risk In this paper we study both market risks and nonmarket risks, without complete markets assumption, and discuss methods of measurement of these risks. We present and justify a set of four desirable properties for measures of risk, and call the measures satisfying these properties “coherent.” We examine the measures of risk provided and the related actions required by SPAN, by the SEC/NASD rules, and by quantile‐based methods. We demonstrate the universality of scenario‐based methods for providing coherent measures. We offer suggestions concerning the SEC method. We also suggest a method to repair the failure of subadditivity of quantile‐based methods.
Tập 9 Số 3 - Trang 203-228 - 1999
Unspanned stochastic volatility in the multifactor CIR model Abstract Empirical evidence suggests that fixed‐income markets exhibit unspanned stochastic volatility (USV), that is, that one cannot fully hedge volatility risk solely using a portfolio of bonds. While Collin‐Dufresne and Goldstein (2002, Journal of Finance , 57 , 1685–1730) showed that no two‐factor Cox–Ingersoll–Ross (CIR) model can exhibit USV, it has been unknown to date whether CIR models with more than two factors can exhibit USV or not. We formally review USV and relate it to bond market incompleteness. We provide necessary and sufficient conditions for a multifactor CIR model to exhibit USV. We then construct a class of three‐factor CIR models that exhibit USV. This answers in the affirmative the above previously open question. We also show that multifactor CIR models with diagonal drift matrix cannot exhibit USV.
Tập 29 Số 3 - Trang 827-836 - 2019
Complete Models with Stochastic Volatility The paper proposes an original class of models for the continuous‐time price process of a financial security with nonconstant volatility. The idea is to define instantaneous volatility in terms of exponentially weighted moments of historic log‐price. The instantaneous volatility is therefore driven by the same stochastic factors as the price process, so that, unlike many other models of nonconstant volatility, it is not necessary to introduce additional sources of randomness. Thus the market is complete and there are unique, preference‐independent options prices. We find a partial differential equation for the price of a European call option. Smiles and skews are found in the resulting plots of implied volatility.
Tập 8 Số 1 - Trang 27-48 - 1998
A YIELD‐FACTOR MODEL OF INTEREST RATES This paper presents a consistent and arbitrage‐free multifactor model of the term structure of interest rates in which yields at selected fixed maturities follow a parametric muitivariate Markov diffusion process with “stochastic volatility.” the yield of any zero‐coupon bond is taken to be a maturity‐dependent affine combination of the selected “basis” set of yields. We provide necessary and sufficient conditions on the stochastic model for this affine representation. We include numerical techniques for solving the model, as well as numerical techniques for calculating the prices of term‐structure derivative prices. the case of jump diffusions is also considered.
Tập 6 Số 4 - Trang 379-406 - 1996
Correction: Maximum Likelihood Estimation Using Price Data of the Derivative Contract (Mathematical Finance 1994, 4/2, 155–167)
Tập 10 Số 4 - Trang 461-462 - 2000
MAXIMUM LIKELIHOOD ESTIMATION USING PRICE DATA OF THE DERIVATIVE CONTRACT This article develops a general methodology that uses the observed prices of a derivative contract to compute maximum likelihood parameter estimates for an unobserved asset value process. the use of this estimation methodology is demonstrated in two applications: Vasicek's term structure model and deposit insurance pricing. This methodology can also be useful in the empirical analysis of complex financial contracts involving embedded options.
Tập 4 Số 2 - Trang 155-167 - 1994