Decisions in Economics and FinanceA Journal of Applied Mathematics Short Title: Decis. Econ. Finance Publisher: Springer, Milan ISSN: 1593-8883; 1129-6569/e Online: http://link.springer.com/journal/volumesAndIssues/10203 Predecessor: Rivista di Matematica per le Scienze Economiche e Sociali Comments: Indexed cover-to-cover Documents Indexed: 369 Publications (since 2000) References Indexed: 328 Publications with 9,109 References. all top 5 Latest Issues 45, No. 2 (2022) 45, No. 1 (2022) 44, No. 2 (2021) 44, No. 1 (2021) 43, No. 2 (2020) 43, No. 1 (2020) 42, No. 2 (2019) 42, No. 1 (2019) 41, No. 2 (2018) 41, No. 1 (2018) 40, No. 1-2 (2017) 39, No. 2 (2016) 39, No. 1 (2016) 38, No. 2 (2015) 38, No. 1 (2015) 37, No. 2 (2014) 37, No. 1 (2014) 36, No. 2 (2013) 36, No. 1 (2013) 35, No. 2 (2012) 35, No. 1 (2012) 34, No. 2 (2011) 34, No. 1 (2011) 33, No. 2 (2010) 33, No. 1 (2010) 32, No. 2 (2009) 32, No. 1 (2009) 31, No. 2 (2008) 31, No. 1 (2008) 30, No. 2 (2007) 30, No. 1 (2007) 29, No. 2 (2006) 29, No. 1 (2006) 28, No. 2 (2005) 28, No. 1 (2005) 27, No. 2 (2004) 27, No. 1 (2004) 26, No. 2 (2003) 26, No. 1 (2003) 25, No. 2 (2002) 25, No. 1 (2002) 24, No. 2 (2001) 24, No. 1 (2001) 23, No. 2 (2000) 23, No. 1 (2000) all top 5 Authors 6 Sodini, Mauro 6 Tramontana, Fabio 5 Naimzada, Ahmad K. 5 Radi, Davide 5 Szidarovszky, Ferenc P. 4 Carosi, Laura 4 Costabile, Massimo 4 Figà-Talamanca, Gianna 4 Gardini, Laura 4 Grasselli, Martino 4 Herzel, Stefano 4 Korn, Ralf 4 Kwok, Yue-Kuen 4 Leung, Chi Man 4 Mancino, Maria Elvira 4 Matsumoto, Akio 4 Pressacco, Flavio 4 Vargiolu, Tiziano 4 Wong, Kit Pong 4 Zanette, Antonino 3 Alòs, Elisa 3 Antonelli, Fabio 3 Bernard, Carole L. 3 Cerboni Baiardi, Lorenzo 3 Dal Forno, Arianna 3 De Angelis, Paolo 3 Ferrara, Massimiliano 3 Gori, Luca 3 Guerrini, Luca 3 Kountzakis, Christos E. 3 Lamantia, Fabio 3 LiCalzi, Marco 3 Menegatti, Mario 3 Michetti, Elisabetta 3 Patacca, Marco 3 Sabino, Piergiacomo 3 Westerhoff, Frank H. 2 Alcantud, José Carlos Rodríguez 2 Amarante, Massimiliano 2 Andrikopoulos, Athanasios 2 Angelini, Flavio 2 Assa, Hirbod 2 Biancardi, Marta Elena 2 Bisceglia, Michele 2 Blot, Joël 2 Broll, Udo 2 Brunelli, Matteo 2 Cambini, Riccardo 2 Campisi, Giovanni 2 Caravaggio, Andrea 2 Caristi, Giuseppe 2 Cassese, Gianluca 2 Cavalli, Fausto 2 Cavallo, Bice 2 Corazza, Marco 2 Cretarola, Alessandra 2 Crettez, Bertrand 2 D’Amico, Guglielmo 2 De Donno, Marzia 2 De Gennaro Aquino, Luca 2 De Marchis, Roberto 2 D’Ecclesia, Rita Laura 2 Dieci, Roberto 2 Ewald, Christian-Oliver 2 Fajardo, José 2 Fanti, Luciano 2 Fedrizzi, Michele 2 Galeotti, Marcello 2 Gaudenzi, Marcellino 2 Gori, Michele 2 Grassetti, Francesca 2 Graziano, Maria Gabriella 2 Grilli, Luca 2 Hobson, David Graham 2 Jeanblanc, Monique 2 Kopel, Michael 2 le Courtois, Olivier 2 Leccadito, Arturo 2 Levantesi, Susanna 2 Maddalena, Lucia 2 Mammana, Cristiana 2 Manca, Raimondo 2 Mari, Carlo 2 Marinacci, Massimo 2 Martire, Antonio Luciano 2 Mastroeni, Loretta 2 Merlone, Ugo 2 Modica, Salvatore 2 Montrucchio, Luigi 2 Nardon, Martina 2 Pansera, Bruno Antonio 2 Pianca, Paolo 2 Pireddu, Marina 2 Quittard-Pinon, François M. 2 Rásonyi, Miklós 2 Rigo, Pietro 2 Rossello, Damiano 2 Ryan, Matthew J. 2 Sanfelici, Simona 2 Sass, Jörn ...and 500 more Authors all top 5 Fields 352 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 69 Probability theory and stochastic processes (60-XX) 43 Statistics (62-XX) 32 Operations research, mathematical programming (90-XX) 19 Systems theory; control (93-XX) 16 Calculus of variations and optimal control; optimization (49-XX) 12 Dynamical systems and ergodic theory (37-XX) 12 Numerical analysis (65-XX) 11 General and overarching topics; collections (00-XX) 10 Computer science (68-XX) 6 Ordinary differential equations (34-XX) 6 Partial differential equations (35-XX) 4 History and biography (01-XX) 4 Measure and integration (28-XX) 4 Functional analysis (46-XX) 3 Approximations and expansions (41-XX) 2 Combinatorics (05-XX) 2 Order, lattices, ordered algebraic structures (06-XX) 2 Convex and discrete geometry (52-XX) 2 Global analysis, analysis on manifolds (58-XX) 2 Biology and other natural sciences (92-XX) 2 Information and communication theory, circuits (94-XX) 1 Mathematical logic and foundations (03-XX) 1 Number theory (11-XX) 1 Real functions (26-XX) 1 Harmonic analysis on Euclidean spaces (42-XX) 1 Integral equations (45-XX) 1 General topology (54-XX) Publications by Year all cited Publications top 5 cited Publications Citations contained in zbMATH Open 187 Publications have been cited 789 times in 733 Documents Cited by ▼ Year ▼ Knightian decision theory. I. Zbl 1041.91023Bewley, Truman F. 131 2002 Decision analysis using targets instead of utility functions. Zbl 1051.91503Bordley, Robert; LiCalzi, Marco 30 2000 Homogeneous semi-Markov reliability models for credit risk management. Zbl 1125.91341D’Amico, Guglielmo; Janssen, Jacques; Manca, Raimondo 22 2005 Optimal consumption and investment under partial information. Zbl 1165.91410Putschögl, Wolfgang; Sass, Jörn 17 2008 Conditional comonotonicity. Zbl 1063.60002Jouini, Elyès; Napp, Clotilde 13 2004 Financial economics without probabilistic prior assumptions. Zbl 1398.91613Riedel, Frank 13 2015 The Aubin private core of differential information economies. Zbl 1125.91383Graziano, Maria Gabriella; Meo, Claudia 12 2005 Normal approximations by Stein’s method. Zbl 0985.60024Rinott, Yosef; Rotar, Vladimir 12 2000 Option pricing by large risk aversion utility under transaction costs. Zbl 1011.91043Bouchard, B.; Kabanov, Yu. A.; Touzi, N. 12 2001 A bidimensional approach to mortality risk. Zbl 1160.91366Biffis, Enrico; Millossovich, Pietro 12 2006 Optimal impulse control for cash management with quadratic holding-penalty costs. Zbl 1016.93071Baccarin, Stefano 11 2002 Efficient Monte Carlo pricing of European options using mean value control variates. Zbl 1010.91051Pellizzari, P. 11 2001 An efficient binomial method for pricing American options. Zbl 1040.91047Gaudenzi, Marcellino; Pressacco, Flavio 10 2003 Discrete-time delay dynamics of boundedly rational monopoly. Zbl 1302.91135Matsumoto, Akio; Szidarovszky, Ferenc 10 2014 Pricing VIX options with stochastic volatility and random jumps. Zbl 1273.91442Lian, Guang-Hua; Zhu, Song-Ping 10 2013 Markovian lifts of positive semidefinite affine Volterra-type processes. Zbl 1432.91110Cuchiero, Christa; Teichmann, Josef 9 2019 Moment explosions in the rough Heston model. Zbl 1432.91123Gerhold, Stefan; Gerstenecker, Christoph; Pinter, Arpad 9 2019 A combinatorial approach for pricing Parisian options. Zbl 1156.91364Costabile, Massimo 9 2002 Path dependent volatility. Zbl 1160.35457Foschi, Paolo; Pascucci, Andrea 9 2008 On the smoothness of optimal paths. Zbl 1091.91053Blot, Joël; Crettez, Bertrand 9 2004 One-dimensional maps with two discontinuity points and three linear branches: mathematical lessons for understanding the dynamics of financial markets. Zbl 1302.91199Tramontana, Fabio; Westerhoff, Frank; Gardini, Laura 9 2014 The optimal capital structure of the firm with stable Lévy assets returns. Zbl 1160.91014Le Courtois, Olivier; Quittard-Pinon, François 8 2008 Arbitrage, linear programming and martingales in securities markets with bid-ask spreads. Zbl 1137.91468Ortu, Fulvio 8 2001 A note on mixture sets in decision theory. Zbl 1019.91013Mongin, Philippe 8 2001 Does market attention affect bitcoin returns and volatility? Zbl 1431.62474Figá-Talamanca, Gianna; Patacca, Marco 7 2019 A uniqueness theorem for convex-ranged probabilities. Zbl 0987.28002Marinacci, Massimo 7 2000 The completion of security markets. Zbl 1152.91525Kountzakis, Christos; Polyrakis, Ioannis A. 7 2006 The numeraire portfolio in financial markets modeled by a multi-dimensional jump diffusion process. Zbl 1137.91455Korn, Ralf; Oertel, Frank; Schäl, Manfred 7 2003 Portfolio optimization in a defaultable market under incomplete information. Zbl 1257.91039Callegaro, Giorgia; Jeanblanc, Monique; Runggaldier, Wolfgang J. 7 2012 Competition and cooperation in the exploitation of the groundwater resource. Zbl 1419.91544Biancardi, Marta; Maddalena, Lucia 6 2018 Explicit solutions for shortfall risk minimization in multinomial models. Zbl 1049.91084Scagnellato, Caterina; Vargiolu, Tiziano 6 2002 Utility indifference valuation for jump risky assets. Zbl 1273.91192Ceci, Claudia; Gerardi, Anna 6 2011 Reaching nirvana with a defaultable asset? Zbl 1398.91502Battauz, Anna; De Donno, Marzia; Sbuelz, Alessandro 6 2017 A migration equilibrium model with uncertain data and movement costs. Zbl 1398.91474Causa, A.; Jadamba, B.; Raciti, F. 6 2017 An optimal insurance design problem under Knightian uncertainty. Zbl 1277.91075Bernard, Carole; Ji, Shaolin; Tian, Weidong 6 2013 Volatility estimation from observed option prices. Zbl 0988.91034Boyle, Phelim P.; Thangaraj, Draviam 6 2000 On the construction of optimal payoffs. Zbl 1444.91201Rüschendorf, L.; Vanduffel, Steven 6 2020 Market attention and Bitcoin price modeling: theory, estimation and option pricing. Zbl 1444.91208Cretarola, Alessandra; Figà-Talamanca, Gianna; Patacca, Marco 6 2020 Necessary conditions for nonsmooth multiobjective semi-infinite problems using Michel-penot subdifferential. Zbl 1397.90382Caristi, Giuseppe; Ferrara, Massimiliano 5 2017 Bounds for the utility-indifference prices of non-traded assets in incomplete markets. Zbl 1125.91346Hobson, D. G. 5 2005 Linear cumulative prospect theory with applications to portfolio selection and insurance demand. Zbl 1218.91038Schmidt, Ulrich; Zank, Horst 5 2007 Galerkin infinite element approximation for pricing barrier options and options with discontinuous payoff. Zbl 1106.91035Sanfelici, Simona 5 2004 Characterisation of optimal dual measures via distortion. Zbl 1131.60063Monoyios, Michael 5 2006 Some reflections on past and future of nonlinear dynamics in economics and finance. Zbl 1419.91475Anufriev, Mikhail; Radi, Davide; Tramontana, Fabio 4 2018 Fast and accurate calculation of American option prices. Zbl 1419.91644Ballestra, Luca Vincenzo 4 2018 Efficient quasi-Monte simulations for pricing high-dimensional path-dependent options. Zbl 1165.91411Sabino, Piergiacomo 4 2009 Dynamic voluntary provision of public goods with uncertainty: a stochastic differential game model. Zbl 1198.91073Wang, Wen-Kai; Ewald, Christian-Oliver 4 2010 Sensitivities for Bermudan options by regression methods. Zbl 1198.91202Belomestny, Denis; Milstein, G. N.; Schoenmakers, John 4 2010 Genetic algorithm versus classical methods in sparse index tracking. Zbl 1398.91518Giuzio, Margherita 4 2017 Representing complete and incomplete subjective linear preferences on random numbers. Zbl 1064.91031Girotto, Bruno; Holzer, Silvano 4 2003 Pricing American barrier options with discrete dividends by binomial trees. Zbl 1176.91153Gaudenzi, Marcellino; Zanette, Antonino 4 2009 Arbitrage and completeness in financial markets with given \(N\)-dimensional distributions. Zbl 1091.91032Campi, Luciano 4 2004 Arbitrage pricing theory and risk-neutral measures. Zbl 1106.91029Rásonyi, Miklós 4 2004 On the relationship between absolute prudence and absolute risk aversion. Zbl 1160.91331Maggi, Mario A.; Magnani, Umberto; Menegatti, Mario 4 2006 Hedging and the competitive firm under correlated price and background risk. Zbl 1398.91664Wong, Kit Pong 4 2014 Existence of financial equilibria with endogenous short selling restrictions and real assets. Zbl 1398.91390Gori, Michele; Pireddu, Marina; Villanacci, Antonio 4 2014 Risk aversion and risk vulnerability in the continuous and discrete case. Zbl 1257.91021Bohner, Martin; Gelles, Gregory M. 4 2012 Risk management under a prudential policy. Zbl 1398.91677Assa, Hirbod 4 2015 Semi-analytical prices for lookback and barrier options under the Heston model. Zbl 1432.91121De Gennaro Aquino, Luca; Bernard, Carole 3 2019 Oligopoly models with different learning and production time scales. Zbl 1419.91462Cavalli, Fausto; Naimzada, Ahmad; Sodini, Mauro 3 2018 An elementary core equivalence theorem in a countable economy. Zbl 1034.91053Tasnádi, Attila 3 2002 A closed-form solution for the continuous-time consumption model with endogenous labor income. Zbl 1198.91200Zhang, Aihua 3 2010 Unawareness, priors and posteriors. Zbl 1165.91350Modica, Salvatore 3 2008 Approximating exact expected utility via portfolio efficient frontiers. Zbl 1398.91509Carleo, Alessandra; Cesarone, Francesco; Gheno, Andrea; Ricci, Jacopo Maria 3 2017 The firm under uncertainty: real and financial decisions. Zbl 1274.91464Broll, Udo; Wong, Kit Pong 3 2013 Continuous-time mean-variance portfolio optimization in a jump-diffusion market. Zbl 1232.91603Alp, Özge Sezgin; Korn, Ralf 3 2011 Market consistent valuations with financial imperfection. Zbl 1391.91167Assa, Hirbod; Gospodinov, Nikolay 3 2018 Option pricing with stochastic volatility models. Zbl 1052.91045Herzel, Stefano 3 2000 An algorithm for winning coalitions in indirect control of corporations. Zbl 1010.91005Prati, Nando; Denti, Enrico 3 2001 Taxes and money in incomplete financial markets. Zbl 1151.91661del Mercato, Elena L.; Villanacci, Antonio 3 2006 Stochastic demand correspondences and their aggregation properties. Zbl 1151.91397Alcantud, José C. R. 3 2006 Stochastic Jacobian and Riccati ODE in affine term structure models. Zbl 1154.60056Grasselli, Martino; Tebaldi, Claudio 3 2007 On the smoothness of optimal paths. II. Some local turnpike results. Zbl 1141.91035Blot, Joël; Crettez, Bertrand 3 2007 A two-step simulation procedure to analyze the exercise features of American options. Zbl 1091.91031Basso, Antonella; Nardon, Martina; Pianca, Paolo 3 2004 Optimal reinsurance and investment in a diffusion model. Zbl 1444.91191Brachetta, Matteo; Schmidli, Hanspeter 3 2020 Production and hedging in futures markets with multiple delivery specifications. Zbl 1398.91665Wong, Kit Pong 3 2014 Gambling in contests modelled with diffusions. Zbl 1398.91295Feng, Han; Hobson, David 3 2015 Homothetic preferences on star-shaped sets. Zbl 1051.91015Maccheroni, Fabio 3 2001 How should a convertible bond be decomposed? Zbl 1257.91048Zhu, Song-Ping; Zhang, Jing 3 2012 Groundwater extraction among overlapping generations: a differential game approach. Zbl 1465.91070Biancardi, Marta; Maddalena, Lucia; Villani, Giovanni 3 2020 Volatility and volatility-linked derivatives: estimation, modeling, and pricing. Zbl 1431.91388Alòs, Elisa; Mancino, Maria Elvira; Wang, Tai-Ho 2 2019 A realized volatility approach to option pricing with continuous and jump variance components. Zbl 1432.91117Alitab, Dario; Bormetti, Giacomo; Corsi, Fulvio; Majewski, Adam A. 2 2019 Robust calibration and arbitrage-free interpolation of SSVI slices. Zbl 1431.91390Corbetta, Jacopo; Cohort, Pierre; Laachir, Ismail; Martini, Claude 2 2019 Kyle equilibrium under random price pressure. Zbl 1426.91315Corcuera, José Manuel; Di Nunno, Giulia; Fajardo, José 2 2019 Mean-variance hedging for interest rate models with stochastic volatility. Zbl 1042.91035Biagini, Francesca 2 2002 Bargaining over an uncertain outcome: The role of beliefs. Zbl 1042.91002Billot, Antoine; Chateauneuf, Alain; Gilboa, Itzhak; Tallon, Jean-Marc 2 2002 Axiomatic approach to approximate solutions in multiobjective optimization. Zbl 1193.90185Miglierina, E.; Molho, E.; Patrone, F.; Tijs, S. H. 2 2008 Approximate equilibrium in pure strategies for a two-stage game of asset creation. Zbl 1165.91321Faias, Marta 2 2008 Differentiated oligopolistic markets with concave cost functions via Ky Fan inequalities. Zbl 1398.91399Bigi, Giancarlo; Passacantando, Mauro 2 2017 Robust games: theory and application to a Cournot duopoly model. Zbl 1398.91022Crespi, Giovanni Paolo; Radi, Davide; Rocca, Matteo 2 2017 Cyclically monotone equilibrium problems and Ekeland’s principle. Zbl 1394.58006Giuli, Massimiliano 2 2017 A set optimization approach to utility maximization under transaction costs. Zbl 1398.91258Hamel, Andreas H.; Wang, Sophie Qingzhen 2 2017 A differential game in a duopoly with instantaneous incentives. Zbl 1398.91088Grilli, Luca; Bisceglia, Michele 2 2017 Multidimensional quasi-Monte Carlo Malliavin Greeks. Zbl 1345.91082Cufaro Petroni, Nicola; Sabino, Piergiacomo 2 2013 Long versus short time scales: the rough dilemma and beyond. Zbl 1492.91355Garcin, Matthieu; Grasselli, Martino 2 2022 Ramsey rule with forward/backward utility for long-term yield curves modeling. Zbl 1492.91395El Karoui, Nicole; Hillairet, Caroline; Mrad, Mohamed 2 2022 Correlating Lévy processes with self-decomposability: applications to energy markets. Zbl 1480.91288Gardini, Matteo; Sabino, Piergiacomo; Sasso, Emanuela 2 2021 Optimal strategy for a fund manager with option compensation. Zbl 1391.91150Nicolosi, Marco 2 2018 Diversification preferences in the theory of choice. Zbl 1398.91173De Giorgi, Enrico G.; Mahmoud, Ola 2 2016 Real options game models of R&D competition between asymmetric firms with spillovers. Zbl 1398.91655Leung, Chi Man; Kwok, Yue Kuen 2 2016 Long versus short time scales: the rough dilemma and beyond. Zbl 1492.91355Garcin, Matthieu; Grasselli, Martino 2 2022 Ramsey rule with forward/backward utility for long-term yield curves modeling. Zbl 1492.91395El Karoui, Nicole; Hillairet, Caroline; Mrad, Mohamed 2 2022 Correlating Lévy processes with self-decomposability: applications to energy markets. Zbl 1480.91288Gardini, Matteo; Sabino, Piergiacomo; Sasso, Emanuela 2 2021 Challenges in approximating the Black and Scholes call formula with hyperbolic tangents. Zbl 1470.91285Mininni, Michele; Orlando, Giuseppe; Taglialatela, Giovanni 2 2021 Breaking ties in collective decision-making. Zbl 07380465Bubboloni, Daniela; Gori, Michele 2 2021 Learning in a double-phase cobweb model. Zbl 1480.91123Cavalli, Fausto; Naimzada, Ahmad; Parisio, Lucia 1 2021 Uncertainty about fundamental, pessimistic and overconfident traders: a piecewise-linear maps approach. Zbl 1480.91273Campisi, Giovanni; Muzzioli, Silvia; Tramontana, Fabio 1 2021 Cross-section instability in financial markets: impatience, extrapolation, and switching. Zbl 1480.91275Dieci, Roberto; He, Xue-Zhong 1 2021 Longevity risk and economic growth in sub-populations: evidence from Italy. Zbl 1467.91117Bozzo, Giuseppina; Levantesi, Susanna; Menzietti, Massimiliano 1 2021 Asian options with zero cost-of-carry: EEX options on freight and iron ore futures. Zbl 1467.91186Haug, Espen Gaarder 1 2021 Non-compliant behaviour in public procurement: an evolutionary model with endogenous monitoring. Zbl 1470.91111Coppier, Raffaella; Grassetti, Francesca; Michetti, Elisabetta 1 2021 On the construction of optimal payoffs. Zbl 1444.91201Rüschendorf, L.; Vanduffel, Steven 6 2020 Market attention and Bitcoin price modeling: theory, estimation and option pricing. Zbl 1444.91208Cretarola, Alessandra; Figà-Talamanca, Gianna; Patacca, Marco 6 2020 Optimal reinsurance and investment in a diffusion model. Zbl 1444.91191Brachetta, Matteo; Schmidli, Hanspeter 3 2020 Groundwater extraction among overlapping generations: a differential game approach. Zbl 1465.91070Biancardi, Marta; Maddalena, Lucia; Villani, Giovanni 3 2020 A special issue on the mathematics of subjective probability. Zbl 1493.00019 1 2020 A notion of conditional probability and some of its consequences. Zbl 1455.60006Berti, Patrizia; Dreassi, Emanuela; Rigo, Pietro 1 2020 Predictive distributions that mimic frequencies over a restricted subdomain. Zbl 1444.62032Lad, Frank; Sanfilippo, Giuseppe 1 2020 Changes in multiplicative risks and optimal portfolio choice: new interpretations and results. Zbl 1444.91197De Donno, Marzia; Magnani, Marco; Menegatti, Mario 1 2020 Robust data envelopment analysis via ellipsoidal uncertainty sets with application to the Italian banking industry. Zbl 1465.91124Mensah, Emmanuel Kwasi 1 2020 Pricing electricity forwards under future information on the stochastic mean-reversion level. Zbl 1465.91115Hess, Markus 1 2020 Markovian lifts of positive semidefinite affine Volterra-type processes. Zbl 1432.91110Cuchiero, Christa; Teichmann, Josef 9 2019 Moment explosions in the rough Heston model. Zbl 1432.91123Gerhold, Stefan; Gerstenecker, Christoph; Pinter, Arpad 9 2019 Does market attention affect bitcoin returns and volatility? Zbl 1431.62474Figá-Talamanca, Gianna; Patacca, Marco 7 2019 Semi-analytical prices for lookback and barrier options under the Heston model. Zbl 1432.91121De Gennaro Aquino, Luca; Bernard, Carole 3 2019 Volatility and volatility-linked derivatives: estimation, modeling, and pricing. Zbl 1431.91388Alòs, Elisa; Mancino, Maria Elvira; Wang, Tai-Ho 2 2019 A realized volatility approach to option pricing with continuous and jump variance components. Zbl 1432.91117Alitab, Dario; Bormetti, Giacomo; Corsi, Fulvio; Majewski, Adam A. 2 2019 Robust calibration and arbitrage-free interpolation of SSVI slices. Zbl 1431.91390Corbetta, Jacopo; Cohort, Pierre; Laachir, Ismail; Martini, Claude 2 2019 Kyle equilibrium under random price pressure. Zbl 1426.91315Corcuera, José Manuel; Di Nunno, Giulia; Fajardo, José 2 2019 Estimation of volatility in a high-frequency setting: a short review. Zbl 1432.91111Jacod, Jean 1 2019 From volatility smiles to the volatility of volatility. Zbl 1432.91122Dumas, Bernard; Luciano, Elisa 1 2019 Asymptotic expansion for some local volatility models arising in finance. Zbl 1432.91107Albeverio, Sergio; Cordoni, Francesco; Di Persio, Luca; Pellegrini, Gregorio 1 2019 Foreword special issue Deaf 2019 – MAF 2018. Zbl 1481.00042 1 2019 Small sample properties of ML estimator in Vasicek and CIR models: a simulation experiment. Zbl 1426.91282Albano, Giuseppina; La Rocca, Michele; Perna, Cira 1 2019 Variable annuities with a threshold fee: valuation, numerical implementation and comparative static analysis. Zbl 1426.91203Bacinello, Anna Rita; Zoccolan, Ivan 1 2019 Lévy CARMA models for shocks in mortality. Zbl 1426.91222Hitaj, Asmerilda; Mercuri, Lorenzo; Rroji, Edit 1 2019 Competition and cooperation in the exploitation of the groundwater resource. Zbl 1419.91544Biancardi, Marta; Maddalena, Lucia 6 2018 Some reflections on past and future of nonlinear dynamics in economics and finance. Zbl 1419.91475Anufriev, Mikhail; Radi, Davide; Tramontana, Fabio 4 2018 Fast and accurate calculation of American option prices. Zbl 1419.91644Ballestra, Luca Vincenzo 4 2018 Oligopoly models with different learning and production time scales. Zbl 1419.91462Cavalli, Fausto; Naimzada, Ahmad; Sodini, Mauro 3 2018 Market consistent valuations with financial imperfection. Zbl 1391.91167Assa, Hirbod; Gospodinov, Nikolay 3 2018 Optimal strategy for a fund manager with option compensation. Zbl 1391.91150Nicolosi, Marco 2 2018 A piecewise linear model of credit traps and credit cycles: a complete characterization. Zbl 1419.91634Matsuyama, Kiminori; Sushko, Iryna; Gardini, Laura 1 2018 Global indeterminacy and equilibrium selection in a model with depletion of non-renewable resources. Zbl 1419.91543Bella, Giovanni; Mattana, Paolo 1 2018 Effects of fixed and continuously distributed delays in a monopoly model with constant price elasticity. Zbl 1419.91298Guerrini, Luca; Pecora, Nicolò; Sodini, Mauro 1 2018 Technology choice in an evolutionary oligopoly game. Zbl 1419.91468Lamantia, Fabio; Negriu, Anghel; Tuinstra, Jan 1 2018 Steady states, stability and bifurcations in multi-asset market models. Zbl 1419.91660Dieci, Roberto; Schmitt, Noemi; Westerhoff, Frank 1 2018 Real options signaling game models for dynamic acquisition under information asymmetry. Zbl 1391.91160Leung, Chi Man; Kwok, Yue Kuen 1 2018 Reaching nirvana with a defaultable asset? Zbl 1398.91502Battauz, Anna; De Donno, Marzia; Sbuelz, Alessandro 6 2017 A migration equilibrium model with uncertain data and movement costs. Zbl 1398.91474Causa, A.; Jadamba, B.; Raciti, F. 6 2017 Necessary conditions for nonsmooth multiobjective semi-infinite problems using Michel-penot subdifferential. Zbl 1397.90382Caristi, Giuseppe; Ferrara, Massimiliano 5 2017 Genetic algorithm versus classical methods in sparse index tracking. Zbl 1398.91518Giuzio, Margherita 4 2017 Approximating exact expected utility via portfolio efficient frontiers. Zbl 1398.91509Carleo, Alessandra; Cesarone, Francesco; Gheno, Andrea; Ricci, Jacopo Maria 3 2017 Differentiated oligopolistic markets with concave cost functions via Ky Fan inequalities. Zbl 1398.91399Bigi, Giancarlo; Passacantando, Mauro 2 2017 Robust games: theory and application to a Cournot duopoly model. Zbl 1398.91022Crespi, Giovanni Paolo; Radi, Davide; Rocca, Matteo 2 2017 Cyclically monotone equilibrium problems and Ekeland’s principle. Zbl 1394.58006Giuli, Massimiliano 2 2017 A set optimization approach to utility maximization under transaction costs. Zbl 1398.91258Hamel, Andreas H.; Wang, Sophie Qingzhen 2 2017 A differential game in a duopoly with instantaneous incentives. Zbl 1398.91088Grilli, Luca; Bisceglia, Michele 2 2017 Convex and convex-like optimization over a range inclusion problem and first applications. Zbl 1398.49030Mokhtar-Kharroubi, Hocine 1 2017 An axiomatization of continuous quasilinear utility. Zbl 1398.91264Rébillé, Yann 1 2017 Weighted average price in the Heston stochastic volatility model. Zbl 1398.91611Papi, M.; Pontecorvi, L.; Donatucci, C. 1 2017 Diversification preferences in the theory of choice. Zbl 1398.91173De Giorgi, Enrico G.; Mahmoud, Ola 2 2016 Real options game models of R&D competition between asymmetric firms with spillovers. Zbl 1398.91655Leung, Chi Man; Kwok, Yue Kuen 2 2016 The link between the Shapley value and the beta factor. Zbl 1398.91043Ortmann, Karl Michael 2 2016 A note on portfolio selection and stochastic dominance. Zbl 1398.91539Menegatti, Mario 2 2016 Consumption optimization for recursive utility in a jump-diffusion model. Zbl 1398.91269Antonelli, Fabio; Mancini, Carlo 1 2016 The pricing of lookback options and binomial approximation. Zbl 1398.91596Grosse-Erdmann, Karl; Heuwelyckx, Fabien 1 2016 On the choice between two delta-hedging strategies. Zbl 1398.91331Hong, Liang 1 2016 A representation of risk measures. Zbl 1398.91306Amarante, Massimiliano 1 2016 Financial economics without probabilistic prior assumptions. Zbl 1398.91613Riedel, Frank 13 2015 Risk management under a prudential policy. Zbl 1398.91677Assa, Hirbod 4 2015 Gambling in contests modelled with diffusions. Zbl 1398.91295Feng, Han; Hobson, David 3 2015 Using value-at-risk to reconcile limited liability and the moral-hazard problem. Zbl 1398.91659Tulli, Vanda; Weinrich, Gerd 2 2015 On a fuzzy cash flow model with insurance applications. Zbl 1398.91356Ungureanu, Daniela; Vernic, Raluca 1 2015 Discrete-time delay dynamics of boundedly rational monopoly. Zbl 1302.91135Matsumoto, Akio; Szidarovszky, Ferenc 10 2014 One-dimensional maps with two discontinuity points and three linear branches: mathematical lessons for understanding the dynamics of financial markets. Zbl 1302.91199Tramontana, Fabio; Westerhoff, Frank; Gardini, Laura 9 2014 Hedging and the competitive firm under correlated price and background risk. Zbl 1398.91664Wong, Kit Pong 4 2014 Existence of financial equilibria with endogenous short selling restrictions and real assets. Zbl 1398.91390Gori, Michele; Pireddu, Marina; Villanacci, Antonio 4 2014 Production and hedging in futures markets with multiple delivery specifications. Zbl 1398.91665Wong, Kit Pong 3 2014 Expectations and industry location: a discrete time dynamical analysis. Zbl 1310.91125Agliari, Anna; Commendatore, Pasquale; Foroni, Ilaria; Kubin, Ingrid 2 2014 Numeraire portfolios and utility-based price systems under proportional transaction costs. Zbl 1398.91545Sass, Jörn; Schäl, Manfred 2 2014 An application of nonparametric volatility estimators to option pricing. Zbl 1398.91602Kenmoe, Romuald N.; Sanfelici, Simona 2 2014 Property rights for natural resources and sustainable growth in a two-country trade model. Zbl 1302.91161Cabo, F.; Martín-Herrán, G.; Martínez-García, M. P. 1 2014 Relational consumption and nonlinear dynamics in an overlapping generations model. Zbl 1302.91136Antoci, Angelo; Sodini, Mauro; Zarri, Luca 1 2014 Indeterminacy and nonlinear dynamics in an OLG growth model with endogenous labour supply and inherited tastes. Zbl 1302.91139Gori, Luca; Sodini, Mauro 1 2014 Nonparametric correlation integral-based tests for linear and nonlinear stochastic processes. Zbl 1296.62220Matilla-García, Mariano; Ruiz Marín, Manuel; Dore, Mohammed I.; Ojeda, Rina B. 1 2014 Selecting stochastic mortality models for the Italian population. Zbl 1398.91312Biffi, Paola; Clemente, Gian Paolo 1 2014 The restricted convex risk measures in actuarial solvency. Zbl 1398.91335Konstantinides, Dimitrios G.; Kountzakis, Christos E. 1 2014 A note on the existence of CAPM equilibria with homogeneous cumulative prospect theory preferences. Zbl 1398.91286Del Vigna, Matteo 1 2014 Portfolio optimization for an investor with a benchmark. Zbl 1398.91530Korn, R.; Lindberg, C. 1 2014 Optimal portfolio choice and consistent performance. Zbl 1398.91512Chen, Xianzhe; Tian, Weidong 1 2014 Pricing VIX options with stochastic volatility and random jumps. Zbl 1273.91442Lian, Guang-Hua; Zhu, Song-Ping 10 2013 An optimal insurance design problem under Knightian uncertainty. Zbl 1277.91075Bernard, Carole; Ji, Shaolin; Tian, Weidong 6 2013 The firm under uncertainty: real and financial decisions. Zbl 1274.91464Broll, Udo; Wong, Kit Pong 3 2013 Multidimensional quasi-Monte Carlo Malliavin Greeks. Zbl 1345.91082Cufaro Petroni, Nicola; Sabino, Piergiacomo 2 2013 Optimal portfolio selection via conditional convex risk measures on \(L ^{p }\). Zbl 1268.91160Acciaio, Beatrice; Goldammer, Verena 2 2013 Option-based risk management of a bond portfolio under regime switching interest rates. Zbl 1268.91174Antonelli, Fabio; Ramponi, Alessandro; Scarlatti, Sergio 1 2013 Performance of investment strategies in the absence of correct beliefs. Zbl 1273.91416Bektur, Çisem 1 2013 Portfolio optimization in a defaultable market under incomplete information. Zbl 1257.91039Callegaro, Giorgia; Jeanblanc, Monique; Runggaldier, Wolfgang J. 7 2012 Risk aversion and risk vulnerability in the continuous and discrete case. Zbl 1257.91021Bohner, Martin; Gelles, Gregory M. 4 2012 ...and 87 more Documents all cited Publications top 5 cited Publications all top 5 Cited by 1,087 Authors 12 D’Amico, Guglielmo 10 Manca, Raimondo 8 Maccheroni, Fabio 8 Marinacci, Massimo 7 Blot, Joël 7 Graziano, Maria Gabriella 7 Janssen, Jacques 7 Westerhoff, Frank H. 6 Cretarola, Alessandra 6 Sabino, Piergiacomo 6 Sushko, Iryna 6 Tramontana, Fabio 5 Basile, Achille 5 Biancardi, Marta Elena 5 Cerreia-Vioglio, Simone 5 Faro, José Heleno 5 Figà-Talamanca, Gianna 5 Pesce, Marialaura 5 Rásonyi, Miklós 5 Sass, Jörn 5 Vigna, Elena 5 Villanacci, Antonio 5 Villani, Giovanni 4 Assa, Hirbod 4 Campi, Luciano 4 Carassus, Laurence 4 Ceci, Claudia 4 Cheung, Ka Chun 4 Dana, Rose-Anne 4 Fabozzi, Frank J. 4 Gaudenzi, Marcellino 4 Jaber, Eduardo Abi 4 Li, Shenghong 4 Marazzina, Daniele 4 Matsumoto, Akio 4 Nagurney, Anna 4 Naimzada, Ahmad K. 4 Pascucci, Andrea 4 Polyrakis, Ioannis A. 4 Rachev, Svetlozar T. 4 Radi, Davide 4 Spizzichino, Fabio L. 4 Stoye, Jörg 4 Szidarovszky, Ferenc P. 4 Tian, Weidong 4 Wong, Hoi Ying 4 Wunderlich, Ralf 4 Yannelis, Nicholas Constantine 4 Zanette, Antonino 4 Zastawniak, Tomasz 3 Alcantud, José Carlos Rodríguez 3 Bade, Sophie 3 Bäuerle, Nicole 3 Bernard, Carole L. 3 Bo, Lijun 3 Bohner, Martin J. 3 Bordley, Robert F. 3 Burzoni, Matteo 3 Capponi, Agostino 3 Castagnoli, Erio 3 Chen, An 3 Colaneri, Katia 3 Cuchiero, Christa 3 Cufaro Petroni, Nicola 3 Daniele, Patrizia 3 de Castro, Luciano I. 3 De Donno, Marzia 3 Dominiak, Adam 3 Gardini, Laura 3 Gerasímou, Georgios 3 Ghirardato, Paolo 3 Grant, Simon 3 Greco, Salvatore 3 Gu, Enguo 3 Haberman, Steven 3 Han, Bingyan 3 Hayek, Naïla 3 Heidarkhani, Shapour 3 Herzel, Stefano 3 Huynh, Van-Nam 3 Iannucci, Gianluca 3 Karni, Edi 3 Katsikis, Vasilios N. 3 Kelsey, David P. 3 Khan, Mohammed Ali 3 Klibanoff, Peter 3 Kountzakis, Christos E. 3 LiCalzi, Marco 3 Maggis, Marco 3 Martellotti, Anna 3 Martini, Claude 3 Menegatti, Mario 3 Mikkola, Kalle M. 3 Montrucchio, Luigi 3 Nakamori, Yoshiteru 3 Obloj, Jan K. 3 Olivieri, Annamaria 3 Ortobelli, Sergio 3 Parand, Kourosh 3 Pitacco, Ermanno ...and 987 more Authors all top 5 Cited in 172 Journals 49 Decisions in Economics and Finance 47 Journal of Economic Theory 31 Journal of Mathematical Economics 31 Economic Theory 29 European Journal of Operational Research 23 International Journal of Theoretical and Applied Finance 21 Quantitative Finance 20 Insurance Mathematics & Economics 18 Finance and Stochastics 17 Theory and Decision 15 Applied Mathematics and Computation 15 Mathematics and Financial Economics 14 Mathematical Social Sciences 13 Journal of Economic Dynamics & Control 12 Mathematical Finance 12 SIAM Journal on Financial Mathematics 10 Economics Letters 9 Games and Economic Behavior 8 Annals of Operations Research 8 Applied Mathematical Finance 8 Methodology and Computing in Applied Probability 8 ASTIN Bulletin 7 Applied Mathematics and Optimization 7 Optimization 7 Mathematical Methods of Operations Research 7 Communications in Nonlinear Science and Numerical Simulation 6 Journal of Mathematical Analysis and Applications 6 Chaos, Solitons and Fractals 6 Journal of Optimization Theory and Applications 6 Computational Management Science 6 Journal of Industrial and Management Optimization 6 Annals of Finance 5 Advances in Applied Probability 5 Journal of Computational and Applied Mathematics 5 Mathematics of Operations Research 5 Stochastic Processes and their Applications 4 Fuzzy Sets and Systems 4 SIAM Journal on Control and Optimization 4 Journal of Economics 4 International Journal of Approximate Reasoning 4 Japan Journal of Industrial and Applied Mathematics 4 Computational Economics 4 Abstract and Applied Analysis 4 Scandinavian Actuarial Journal 4 North American Actuarial Journal 3 Journal of Econometrics 3 Mathematics and Computers in Simulation 3 Operations Research 3 Operations Research Letters 3 Stochastic Analysis and Applications 3 Social Choice and Welfare 3 The Annals of Applied Probability 3 Communications in Statistics. 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