# zbMATH — the first resource for mathematics

## Decisions in Economics and Finance

### A 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: 314 Publications (since 2000) References Indexed: 276 Publications with 6,999 References.
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#### Latest Issues

 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)
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#### Authors

 5 Sodini, Mauro 4 Carosi, Laura 4 Costabile, Massimo 4 Herzel, Stefano 4 Kwok, Yue-Kuen 4 Leung, Chi Man 4 Mancino, Maria Elvira 4 Naimzada, Ahmad K. 4 Pressacco, Flavio 4 Zanette, Antonino 3 Alòs, Elisa 3 Antonelli, Fabio 3 Ferrara, Massimiliano 3 Gori, Luca 3 Guerrini, Luca 3 Matsumoto, Akio 3 Menegatti, Mario 3 Michetti, Elisabetta 3 Sibillo, Marilena 3 Szidarovszky, Ferenc P. 3 Tramontana, Fabio 3 Vargiolu, Tiziano 3 Wong, Kit Pong 2 Alcantud, José Carlos Rodríguez 2 Amarante, Massimiliano 2 Andrikopoulos, Athanasios 2 Angelini, Flavio 2 Assa, Hirbod 2 Bernard, Carole 2 Biancardi, Marta Elena 2 Bisceglia, Michele 2 Blot, Joël 2 Broll, Udo 2 Brunelli, Matteo 2 Cambini, Riccardo 2 Cassese, Gianluca 2 Cavallo, Bice 2 Cerboni Baiardi, Lorenzo 2 Corazza, Marco 2 Crettez, Bertrand 2 Dal Forno, Arianna 2 D’Amico, Guglielmo 2 De Donno, Marzia 2 Ewald, Christian-Oliver 2 Fajardo, José 2 Fanti, Luciano 2 Fedrizzi, Michele 2 Figà-Talamanca, Gianna 2 Galeotti, Marcello 2 Gardini, Laura 2 Gaudenzi, Marcellino 2 Gori, Michele 2 Grane, Aurea 2 Grasselli, Martino 2 Grassetti, Francesca 2 Graziano, Maria Gabriella 2 Grilli, Luca 2 Hobson, David G. 2 Jeanblanc, Monique 2 Korn, Ralf 2 Kountzakis, Christos E. 2 le Courtois, Olivier 2 Leccadito, Arturo 2 Maddalena, Lucia 2 Mammana, Cristiana 2 Manca, Raimondo 2 Marinacci, Massimo 2 Modica, Salvatore 2 Montrucchio, Luigi 2 Nardon, Martina 2 Pansera, Bruno Antonio 2 Patacca, Marco 2 Pianca, Paolo 2 Pireddu, Marina 2 Quittard-Pinon, François 2 Radi, Davide 2 Rásonyi, Miklós 2 Rigo, Pietro 2 Ryan, Matthew J. 2 Sabino, Piergiacomo 2 Sanfelici, Simona 2 Sass, Jörn 2 Schäl, Manfred 2 Strati, Francesco 2 Tian, Weidong 2 Villanacci, Antonio 2 Wang, Tai-Ho 2 Westerhoff, Frank H. 2 Zhu, Songping 1 Acciaio, Beatrice 1 Adamowicz, Wiktor L. 1 Agliari, Anna 1 Albano, Giuseppina 1 Albeverio, Sergio A. 1 Aleandri, Marco 1 Aletti, Giacomo 1 Alitab, Dario 1 Aliyu, M. D. S. 1 Aloqeili, Marwan 1 Alp, Özge Sezgin ...and 412 more Authors
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#### Fields

 295 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 62 Probability theory and stochastic processes (60-XX) 39 Statistics (62-XX) 30 Operations research, mathematical programming (90-XX) 18 Systems theory; control (93-XX) 15 Calculus of variations and optimal control; optimization (49-XX) 12 Numerical analysis (65-XX) 11 Dynamical systems and ergodic theory (37-XX) 8 General and overarching topics; collections (00-XX) 6 Ordinary differential equations (34-XX) 6 Partial differential equations (35-XX) 5 Computer science (68-XX) 4 Functional analysis (46-XX) 3 History and biography (01-XX) 3 Measure and integration (28-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) 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) 1 Information and communication theory, circuits (94-XX)

#### Citations contained in zbMATH Open

151 Publications have been cited 630 times in 601 Documents Cited by Year
Knightian decision theory. I. Zbl 1041.91023
Bewley, Truman F.
2002
Decision analysis using targets instead of utility functions. Zbl 1051.91503
Bordley, Robert; LiCalzi, Marco
2000
Homogeneous semi-Markov reliability models for credit risk management. Zbl 1125.91341
D’Amico, Guglielmo; Janssen, Jacques; Manca, Raimondo
2005
Optimal consumption and investment under partial information. Zbl 1165.91410
Putschögl, Wolfgang; Sass, Jörn
2008
Conditional comonotonicity. Zbl 1063.60002
Jouini, Elyès; Napp, Clotilde
2004
Option pricing by large risk aversion utility under transaction costs. Zbl 1011.91043
Bouchard, B.; Kabanov, Yu. A.; Touzi, N.
2001
Normal approximations by Stein’s method. Zbl 0985.60024
2000
The Aubin private core of differential information economies. Zbl 1125.91383
Graziano, Maria Gabriella; Meo, Claudia
2005
A bidimensional approach to mortality risk. Zbl 1160.91366
Biffis, Enrico; Millossovich, Pietro
2006
Financial economics without probabilistic prior assumptions. Zbl 1398.91613
Riedel, Frank
2015
Efficient Monte Carlo pricing of European options using mean value control variates. Zbl 1010.91051
Pellizzari, P.
2001
Optimal impulse control for cash management with quadratic holding-penalty costs. Zbl 1016.93071
Baccarin, Stefano
2002
A combinatorial approach for pricing Parisian options. Zbl 1156.91364
Costabile, Massimo
2002
An efficient binomial method for pricing American options. Zbl 1040.91047
Gaudenzi, Marcellino; Pressacco, Flavio
2003
On the smoothness of optimal paths. Zbl 1091.91053
Blot, Joël; Crettez, Bertrand
2004
Discrete-time delay dynamics of boundedly rational monopoly. Zbl 1302.91135
Matsumoto, Akio; Szidarovszky, Ferenc
2014
Path dependent volatility. Zbl 1160.35457
Foschi, Paolo; Pascucci, Andrea
2008
Pricing VIX options with stochastic volatility and random jumps. Zbl 1273.91442
Lian, Guang-Hua; Zhu, Song-Ping
2013
Arbitrage, linear programming and martingales in securities markets with bid-ask spreads. Zbl 1137.91468
Ortu, Fulvio
2001
One-dimensional maps with two discontinuity points and three linear branches: mathematical lessons for understanding the dynamics of financial markets. Zbl 1302.91199
Tramontana, Fabio; Westerhoff, Frank; Gardini, Laura
2014
The optimal capital structure of the firm with stable Lévy assets returns. Zbl 1160.91014
Le Courtois, Olivier; Quittard-Pinon, François
2008
The numeraire portfolio in financial markets modeled by a multi-dimensional jump diffusion process. Zbl 1137.91455
Korn, Ralf; Oertel, Frank; Schäl, Manfred
2003
The completion of security markets. Zbl 1152.91525
Kountzakis, Christos; Polyrakis, Ioannis A.
2006
Portfolio optimization in a defaultable market under incomplete information. Zbl 1257.91039
Callegaro, Giorgia; Jeanblanc, Monique; Runggaldier, Wolfgang J.
2012
A note on mixture sets in decision theory. Zbl 1019.91013
Mongin, Philippe
2001
Explicit solutions for shortfall risk minimization in multinomial models. Zbl 1049.91084
Scagnellato, Caterina; Vargiolu, Tiziano
2002
Utility indifference valuation for jump risky assets. Zbl 1273.91192
Ceci, Claudia; Gerardi, Anna
2011
A uniqueness theorem for convex-ranged probabilities. Zbl 0987.28002
Marinacci, Massimo
2000
Moment explosions in the rough Heston model. Zbl 1432.91123
Gerhold, Stefan; Gerstenecker, Christoph; Pinter, Arpad
2019
Galerkin infinite element approximation for pricing barrier options and options with discontinuous payoff. Zbl 1106.91035
Sanfelici, Simona
2004
Volatility estimation from observed option prices. Zbl 0988.91034
Boyle, Phelim P.; Thangaraj, Draviam
2000
An optimal insurance design problem under Knightian uncertainty. Zbl 1277.91075
Bernard, Carole; Ji, Shaolin; Tian, Weidong
2013
A migration equilibrium model with uncertain data and movement costs. Zbl 1398.91474
Causa, A.; Jadamba, B.; Raciti, F.
2017
Characterisation of optimal dual measures via distortion. Zbl 1131.60063
Monoyios, Michael
2006
Linear cumulative prospect theory with applications to portfolio selection and insurance demand. Zbl 1218.91038
Schmidt, Ulrich; Zank, Horst
2007
Bounds for the utility-indifference prices of non-traded assets in incomplete markets. Zbl 1125.91346
Hobson, D. G.
2005
Markovian lifts of positive semidefinite affine Volterra-type processes. Zbl 1432.91110
Cuchiero, Christa; Teichmann, Josef
2019
Representing complete and incomplete subjective linear preferences on random numbers. Zbl 1064.91031
Girotto, Bruno; Holzer, Silvano
2003
Arbitrage pricing theory and risk-neutral measures. Zbl 1106.91029
Rásonyi, Miklós
2004
Arbitrage and completeness in financial markets with given $$N$$-dimensional distributions. Zbl 1091.91032
Campi, Luciano
2004
Reaching nirvana with a defaultable asset? Zbl 1398.91502
Battauz, Anna; De Donno, Marzia; Sbuelz, Alessandro
2017
Dynamic voluntary provision of public goods with uncertainty: a stochastic differential game model. Zbl 1198.91073
Wang, Wen-Kai; Ewald, Christian-Oliver
2010
Sensitivities for Bermudan options by regression methods. Zbl 1198.91202
Belomestny, Denis; Milstein, G. N.; Schoenmakers, John
2010
Pricing American barrier options with discrete dividends by binomial trees. Zbl 1176.91153
Gaudenzi, Marcellino; Zanette, Antonino
2009
Efficient quasi-Monte simulations for pricing high-dimensional path-dependent options. Zbl 1165.91411
Sabino, Piergiacomo
2009
On the relationship between absolute prudence and absolute risk aversion. Zbl 1160.91331
Maggi, Mario A.; Magnani, Umberto; Menegatti, Mario
2006
Oligopoly models with different learning and production time scales. Zbl 1419.91462
2018
Fast and accurate calculation of American option prices. Zbl 1419.91644
Ballestra, Luca Vincenzo
2018
Homothetic preferences on star-shaped sets. Zbl 1051.91015
Maccheroni, Fabio
2001
A two-step simulation procedure to analyze the exercise features of American options. Zbl 1091.91031
Basso, Antonella; Nardon, Martina; Pianca, Paolo
2004
Expectations and industry location: a discrete time dynamical analysis. Zbl 1310.91125
Agliari, Anna; Commendatore, Pasquale; Foroni, Ilaria; Kubin, Ingrid
2014
The firm under uncertainty: real and financial decisions. Zbl 1274.91464
Broll, Udo; Wong, Kit Pong
2013
Necessary conditions for nonsmooth multiobjective semi-infinite problems using Michel-penot subdifferential. Zbl 1397.90382
Caristi, Giuseppe; Ferrara, Massimiliano
2017
Continuous-time mean-variance portfolio optimization in a jump-diffusion market. Zbl 1232.91603
Alp, Özge Sezgin; Korn, Ralf
2011
A closed-form solution for the continuous-time consumption model with endogenous labor income. Zbl 1198.91200
Zhang, Aihua
2010
Unawareness, priors and posteriors. Zbl 1165.91350
Modica, Salvatore
2008
Taxes and money in incomplete financial markets. Zbl 1151.91661
del Mercato, Elena L.; Villanacci, Antonio
2006
Stochastic demand correspondences and their aggregation properties. Zbl 1151.91397
Alcantud, José C. R.
2006
Hedging and the competitive firm under correlated price and background risk. Zbl 1398.91664
Wong, Kit Pong
2014
Existence of financial equilibria with endogenous short selling restrictions and real assets. Zbl 1398.91390
Gori, Michele; Pireddu, Marina; Villanacci, Antonio
2014
Production and hedging in futures markets with multiple delivery specifications. Zbl 1398.91665
Wong, Kit Pong
2014
Stochastic Jacobian and Riccati ODE in affine term structure models. Zbl 1154.60056
Grasselli, Martino; Tebaldi, Claudio
2007
On the smoothness of optimal paths. II. Some local turnpike results. Zbl 1141.91035
Blot, Joël; Crettez, Bertrand
2007
An algorithm for winning coalitions in indirect control of corporations. Zbl 1010.91005
Prati, Nando; Denti, Enrico
2001
Optimality in a financial economy with outside money and restricted participation. Zbl 1056.91040
Carosi, Laura
2001
Mean-variance hedging for interest rate models with stochastic volatility. Zbl 1042.91035
Biagini, Francesca
2002
Bargaining over an uncertain outcome: The role of beliefs. Zbl 1042.91002
Billot, Antoine; Chateauneuf, Alain; Gilboa, Itzhak; Tallon, Jean-Marc
2002
An elementary core equivalence theorem in a countable economy. Zbl 1034.91053
Tasnádi, Attila
2002
Weak convergence of tree methods to price options on defaultable assets. Zbl 1105.91306
Nieuwenhuis, J. W.; Vellekoop, M. H.
2004
Option pricing with stochastic volatility models. Zbl 1052.91045
Herzel, Stefano
2000
Measuring the set of blocking coalitions in infinite dimensional economies. Zbl 0987.91045
Graziano, Maria Gabriella
2000
Linearity properties of a three-moments portfolio model. Zbl 0999.91041
Pressacco, Flavio; Stucchi, Patrizia
2000
Differentiated oligopolistic markets with concave cost functions via Ky Fan inequalities. Zbl 1398.91399
Bigi, Giancarlo; Passacantando, Mauro
2017
Cyclically monotone equilibrium problems and Ekeland’s principle. Zbl 1394.58006
Giuli, Massimiliano
2017
A set optimization approach to utility maximization under transaction costs. Zbl 1398.91258
Hamel, Andreas H.; Wang, Sophie Qingzhen
2017
A differential game in a duopoly with instantaneous incentives. Zbl 1398.91088
Grilli, Luca; Bisceglia, Michele
2017
Risk management under a prudential policy. Zbl 1398.91677
Assa, Hirbod
2015
Some new characterization of rational expectation equilibria in economies with asymmetric information. Zbl 1202.91167
De Simone, Anna; Tarantino, Ciro
2010
Axiomatic approach to approximate solutions in multiobjective optimization. Zbl 1193.90185
Miglierina, E.; Molho, E.; Patrone, F.; Tijs, S. H.
2008
On pricing lookback options under the CEV process. Zbl 1160.91351
Costabile, Massimo
2006
Core equivalence theorem: countably many types of agents and commodities in $$L^1(\mu)$$. Zbl 1218.91109
Martellotti, Anna
2007
Numeraire portfolios and utility-based price systems under proportional transaction costs. Zbl 1398.91545
Sass, Jörn; Schäl, Manfred
2014
Gambling in contests modelled with diffusions. Zbl 1398.91295
Feng, Han; Hobson, David
2015
Diversification preferences in the theory of choice. Zbl 1398.91173
De Giorgi, Enrico G.; Mahmoud, Ola
2016
Real options game models of R&D competition between asymmetric firms with spillovers. Zbl 1398.91655
Leung, Chi Man; Kwok, Yue Kuen
2016
The link between the Shapley value and the beta factor. Zbl 1398.91043
Ortmann, Karl Michael
2016
A note on portfolio selection and stochastic dominance. Zbl 1398.91539
Menegatti, Mario
2016
An overlapping generations model with non-ordered preferences and numeraire-incomplete markets. Zbl 1136.91513
Seghir, Abdelkrim
2005
Risk aversion and risk vulnerability in the continuous and discrete case. Zbl 1257.91021
Bohner, Martin; Gelles, Gregory M.
2012
Optimal portfolio selection via conditional convex risk measures on $$L ^{p }$$. Zbl 1268.91160
Acciaio, Beatrice; Goldammer, Verena
2013
Does market attention affect bitcoin returns and volatility? Zbl 1431.62474
Figá-Talamanca, Gianna; Patacca, Marco
2019
On the construction of optimal payoffs. Zbl 1444.91201
Rüschendorf, L.; Vanduffel, Steven
2020
Some reflections on past and future of nonlinear dynamics in economics and finance. Zbl 1419.91475
Anufriev, Mikhail; Radi, Davide; Tramontana, Fabio
2018
Competition and cooperation in the exploitation of the groundwater resource. Zbl 1419.91544
2018
Technology choice in an evolutionary oligopoly game. Zbl 1419.91468
Lamantia, Fabio; Negriu, Anghel; Tuinstra, Jan
2018
A discrete-time algorithm for pricing double barrier options. Zbl 1168.91382
Costabile, Massimo
2001
A note on preference for flexibility. Zbl 1054.91020
Modica, Salvatore
2002
A measure of utility levels by Euclidean distance. Zbl 1033.91004
Alcantud, José C. R.
2002
Single factor models with Markovian spot interest rate: An analytical treatment. Zbl 1055.91030
Mari, Carlo
2003
Optimality conditions and bubbles in sequential economies and bounded relative risk-aversion. Zbl 1060.91049
Dal Forno, Arianna; Montrucchio, Luigi
2003
On the construction of optimal payoffs. Zbl 1444.91201
Rüschendorf, L.; Vanduffel, Steven
2020
Changes in multiplicative risks and optimal portfolio choice: new interpretations and results. Zbl 1444.91197
De Donno, Marzia; Magnani, Marco; Menegatti, Mario
2020
Moment explosions in the rough Heston model. Zbl 1432.91123
Gerhold, Stefan; Gerstenecker, Christoph; Pinter, Arpad
2019
Markovian lifts of positive semidefinite affine Volterra-type processes. Zbl 1432.91110
Cuchiero, Christa; Teichmann, Josef
2019
Does market attention affect bitcoin returns and volatility? Zbl 1431.62474
Figá-Talamanca, Gianna; Patacca, Marco
2019
Foreword special issue deaf 2019-MAF 2018. Zbl 07121735
Grane, Aurea; Sibillo, Marilena
2019
Small sample properties of ML estimator in Vasicek and CIR models: a simulation experiment. Zbl 1426.91282
Albano, Giuseppina; La Rocca, Michele; Perna, Cira
2019
Variable annuities with a threshold fee: valuation, numerical implementation and comparative static analysis. Zbl 1426.91203
Bacinello, Anna Rita; Zoccolan, Ivan
2019
Kyle equilibrium under random price pressure. Zbl 1426.91315
Corcuera, José Manuel; Di Nunno, Giulia; Fajardo, José
2019
Volatility and volatility-linked derivatives: estimation, modeling, and pricing. Zbl 1431.91388
Alòs, Elisa; Mancino, Maria Elvira; Wang, Tai-Ho
2019
A realized volatility approach to option pricing with continuous and jump variance components. Zbl 1432.91117
Alitab, Dario; Bormetti, Giacomo; Corsi, Fulvio; Majewski, Adam A.
2019
Robust calibration and arbitrage-free interpolation of SSVI slices. Zbl 1431.91390
Corbetta, Jacopo; Cohort, Pierre; Laachir, Ismail; Martini, Claude
2019
Oligopoly models with different learning and production time scales. Zbl 1419.91462
2018
Fast and accurate calculation of American option prices. Zbl 1419.91644
Ballestra, Luca Vincenzo
2018
Some reflections on past and future of nonlinear dynamics in economics and finance. Zbl 1419.91475
Anufriev, Mikhail; Radi, Davide; Tramontana, Fabio
2018
Competition and cooperation in the exploitation of the groundwater resource. Zbl 1419.91544
2018
Technology choice in an evolutionary oligopoly game. Zbl 1419.91468
Lamantia, Fabio; Negriu, Anghel; Tuinstra, Jan
2018
Optimal strategy for a fund manager with option compensation. Zbl 1391.91150
Nicolosi, Marco
2018
Real options signaling game models for dynamic acquisition under information asymmetry. Zbl 1391.91160
Leung, Chi Man; Kwok, Yue Kuen
2018
Market consistent valuations with financial imperfection. Zbl 1391.91167
Assa, Hirbod; Gospodinov, Nikolay
2018
A migration equilibrium model with uncertain data and movement costs. Zbl 1398.91474
Causa, A.; Jadamba, B.; Raciti, F.
2017
Reaching nirvana with a defaultable asset? Zbl 1398.91502
Battauz, Anna; De Donno, Marzia; Sbuelz, Alessandro
2017
Necessary conditions for nonsmooth multiobjective semi-infinite problems using Michel-penot subdifferential. Zbl 1397.90382
Caristi, Giuseppe; Ferrara, Massimiliano
2017
Differentiated oligopolistic markets with concave cost functions via Ky Fan inequalities. Zbl 1398.91399
Bigi, Giancarlo; Passacantando, Mauro
2017
Cyclically monotone equilibrium problems and Ekeland’s principle. Zbl 1394.58006
Giuli, Massimiliano
2017
A set optimization approach to utility maximization under transaction costs. Zbl 1398.91258
Hamel, Andreas H.; Wang, Sophie Qingzhen
2017
A differential game in a duopoly with instantaneous incentives. Zbl 1398.91088
Grilli, Luca; Bisceglia, Michele
2017
Approximating exact expected utility via portfolio efficient frontiers. Zbl 1398.91509
Carleo, Alessandra; Cesarone, Francesco; Gheno, Andrea; Ricci, Jacopo Maria
2017
Robust games: theory and application to a Cournot duopoly model. Zbl 1398.91022
Crespi, Giovanni Paolo; Radi, Davide; Rocca, Matteo
2017
Genetic algorithm versus classical methods in sparse index tracking. Zbl 1398.91518
Giuzio, Margherita
2017
Convex and convex-like optimization over a range inclusion problem and first applications. Zbl 1398.49030
Mokhtar-Kharroubi, Hocine
2017
An axiomatization of continuous quasilinear utility. Zbl 1398.91264
Rébillé, Yann
2017
Weighted average price in the Heston stochastic volatility model. Zbl 1398.91611
Papi, M.; Pontecorvi, L.; Donatucci, C.
2017
Diversification preferences in the theory of choice. Zbl 1398.91173
De Giorgi, Enrico G.; Mahmoud, Ola
2016
Real options game models of R&D competition between asymmetric firms with spillovers. Zbl 1398.91655
Leung, Chi Man; Kwok, Yue Kuen
2016
The link between the Shapley value and the beta factor. Zbl 1398.91043
Ortmann, Karl Michael
2016
A note on portfolio selection and stochastic dominance. Zbl 1398.91539
Menegatti, Mario
2016
On the choice between two delta-hedging strategies. Zbl 1398.91331
Hong, Liang
2016
A representation of risk measures. Zbl 1398.91306
Amarante, Massimiliano
2016
Financial economics without probabilistic prior assumptions. Zbl 1398.91613
Riedel, Frank
2015
Risk management under a prudential policy. Zbl 1398.91677
Assa, Hirbod
2015
Gambling in contests modelled with diffusions. Zbl 1398.91295
Feng, Han; Hobson, David
2015
On a fuzzy cash flow model with insurance applications. Zbl 1398.91356
Ungureanu, Daniela; Vernic, Raluca
2015
Using value-at-risk to reconcile limited liability and the moral-hazard problem. Zbl 1398.91659
Tulli, Vanda; Weinrich, Gerd
2015
Discrete-time delay dynamics of boundedly rational monopoly. Zbl 1302.91135
Matsumoto, Akio; Szidarovszky, Ferenc
2014
One-dimensional maps with two discontinuity points and three linear branches: mathematical lessons for understanding the dynamics of financial markets. Zbl 1302.91199
Tramontana, Fabio; Westerhoff, Frank; Gardini, Laura
2014
Expectations and industry location: a discrete time dynamical analysis. Zbl 1310.91125
Agliari, Anna; Commendatore, Pasquale; Foroni, Ilaria; Kubin, Ingrid
2014
Hedging and the competitive firm under correlated price and background risk. Zbl 1398.91664
Wong, Kit Pong
2014
Existence of financial equilibria with endogenous short selling restrictions and real assets. Zbl 1398.91390
Gori, Michele; Pireddu, Marina; Villanacci, Antonio
2014
Production and hedging in futures markets with multiple delivery specifications. Zbl 1398.91665
Wong, Kit Pong
2014
Numeraire portfolios and utility-based price systems under proportional transaction costs. Zbl 1398.91545
Sass, Jörn; Schäl, Manfred
2014
Property rights for natural resources and sustainable growth in a two-country trade model. Zbl 1302.91161
Cabo, F.; Martín-Herrán, G.; Martínez-García, M. P.
2014
Relational consumption and nonlinear dynamics in an overlapping generations model. Zbl 1302.91136
Antoci, Angelo; Sodini, Mauro; Zarri, Luca
2014
Indeterminacy and nonlinear dynamics in an OLG growth model with endogenous labour supply and inherited tastes. Zbl 1302.91139
Gori, Luca; Sodini, Mauro
2014
Selecting stochastic mortality models for the Italian population. Zbl 1398.91312
Biffi, Paola; Clemente, Gian Paolo
2014
The restricted convex risk measures in actuarial solvency. Zbl 1398.91335
Konstantinides, Dimitrios G.; Kountzakis, Christos E.
2014
A note on the existence of CAPM equilibria with homogeneous cumulative prospect theory preferences. Zbl 1398.91286
Del Vigna, Matteo
2014
Portfolio optimization for an investor with a benchmark. Zbl 1398.91530
Korn, R.; Lindberg, C.
2014
An application of nonparametric volatility estimators to option pricing. Zbl 1398.91602
Kenmoe, Romuald N.; Sanfelici, Simona
2014
Pricing VIX options with stochastic volatility and random jumps. Zbl 1273.91442
Lian, Guang-Hua; Zhu, Song-Ping
2013
An optimal insurance design problem under Knightian uncertainty. Zbl 1277.91075
Bernard, Carole; Ji, Shaolin; Tian, Weidong
2013
The firm under uncertainty: real and financial decisions. Zbl 1274.91464
Broll, Udo; Wong, Kit Pong
2013
Optimal portfolio selection via conditional convex risk measures on $$L ^{p }$$. Zbl 1268.91160
Acciaio, Beatrice; Goldammer, Verena
2013
Multidimensional quasi-Monte Carlo Malliavin Greeks. Zbl 1345.91082
Cufaro Petroni, Nicola; Sabino, Piergiacomo
2013
Option-based risk management of a bond portfolio under regime switching interest rates. Zbl 1268.91174
Antonelli, Fabio; Ramponi, Alessandro; Scarlatti, Sergio
2013
Performance of investment strategies in the absence of correct beliefs. Zbl 1273.91416
Bektur, Çisem
2013
Portfolio optimization in a defaultable market under incomplete information. Zbl 1257.91039
Callegaro, Giorgia; Jeanblanc, Monique; Runggaldier, Wolfgang J.
2012
Risk aversion and risk vulnerability in the continuous and discrete case. Zbl 1257.91021
Bohner, Martin; Gelles, Gregory M.
2012
On the linearity of the wage-profit relation in a Sraffa’s model: a mathematical summing-up. Zbl 1280.91123
Giorgi, G.; Zuccotti, C.
2012
Exchange rate bifurcation in a stochastic evolutionary finance model. Zbl 1264.91060
Gagnon, Gregory
2012
How should a convertible bond be decomposed? Zbl 1257.91048
Zhu, Song-Ping; Zhang, Jing
2012
Optimal investment for executive stockholders with exponential utility. Zbl 1268.91163
Desmettre, Sascha
2012
Utility indifference valuation for jump risky assets. Zbl 1273.91192
Ceci, Claudia; Gerardi, Anna
2011
Continuous-time mean-variance portfolio optimization in a jump-diffusion market. Zbl 1232.91603
Alp, Özge Sezgin; Korn, Ralf
2011
Real options game analysis of sleeping patents. Zbl 1213.91095
Leung, Chi Man; Kwok, Yue Kuen
2011
Dynamic voluntary provision of public goods with uncertainty: a stochastic differential game model. Zbl 1198.91073
Wang, Wen-Kai; Ewald, Christian-Oliver
2010
Sensitivities for Bermudan options by regression methods. Zbl 1198.91202
Belomestny, Denis; Milstein, G. N.; Schoenmakers, John
2010
A closed-form solution for the continuous-time consumption model with endogenous labor income. Zbl 1198.91200
Zhang, Aihua
2010
Some new characterization of rational expectation equilibria in economies with asymmetric information. Zbl 1202.91167
De Simone, Anna; Tarantino, Ciro
2010
Explicit formulas for the minimal variance hedging strategy in a martingale case. Zbl 1202.91310
Angelini, Flavio; Herzel, Stefano
2010
Optimal prepayment and default rules for mortgage-backed securities. Zbl 1202.91316
De Rossi, Giulia; Vargiolu, Tiziano
2010
An improved combinatorial approach for pricing Parisian options. Zbl 1202.91322
Lyuu, Yuh-Dauh; Wu, Cheng-Wei
2010
Pricing American barrier options with discrete dividends by binomial trees. Zbl 1176.91153
Gaudenzi, Marcellino; Zanette, Antonino
2009
Efficient quasi-Monte simulations for pricing high-dimensional path-dependent options. Zbl 1165.91411
Sabino, Piergiacomo
2009
Computationally simple lattice methods for option and bond pricing. Zbl 1176.91152
Costabile, Massimo; Leccadito, Arturo; Massabó, Ivar
2009
Knightian uncertainty and insurance regulation decision. Zbl 1165.91347
Chen, An; Su, Xia
2009
Optimal consumption and investment under partial information. Zbl 1165.91410
Putschögl, Wolfgang; Sass, Jörn
2008
Path dependent volatility. Zbl 1160.35457
Foschi, Paolo; Pascucci, Andrea
2008
The optimal capital structure of the firm with stable Lévy assets returns. Zbl 1160.91014
Le Courtois, Olivier; Quittard-Pinon, François
2008
Unawareness, priors and posteriors. Zbl 1165.91350
Modica, Salvatore
2008
Axiomatic approach to approximate solutions in multiobjective optimization. Zbl 1193.90185
Miglierina, E.; Molho, E.; Patrone, F.; Tijs, S. H.
2008
Approximate equilibrium in pure strategies for a two-stage game of asset creation. Zbl 1165.91321
Faias, Marta
2008
A moments and strike matching binomial algorithm for pricing American put options. Zbl 1143.91019
Jourdain, Benjamin; Zanette, Antonino
2008
A note on arbitrage in term structure. Zbl 1142.91562
Rásonyi, Miklós
2008
Linear cumulative prospect theory with applications to portfolio selection and insurance demand. Zbl 1218.91038
Schmidt, Ulrich; Zank, Horst
2007
Stochastic Jacobian and Riccati ODE in affine term structure models. Zbl 1154.60056
Grasselli, Martino; Tebaldi, Claudio
2007
On the smoothness of optimal paths. II. Some local turnpike results. Zbl 1141.91035
Blot, Joël; Crettez, Bertrand
2007
Core equivalence theorem: countably many types of agents and commodities in $$L^1(\mu)$$. Zbl 1218.91109
Martellotti, Anna
2007
The origins of the mean-variance approach in finance: revisiting de Finetti 65 years later. Zbl 1218.90150
Pressacco, Flavio; Serafini, Paolo
2007
A bidimensional approach to mortality risk. Zbl 1160.91366
Biffis, Enrico; Millossovich, Pietro
2006
...and 51 more Documents
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#### Cited by 891 Authors

 11 D’Amico, Guglielmo 10 Manca, Raimondo 8 Maccheroni, Fabio 8 Marinacci, Massimo 7 Blot, Joël 7 Graziano, Maria Gabriella 7 Janssen, Jacques 5 Basile, Achille 5 Cerreia-Vioglio, Simone 5 Pesce, Marialaura 5 Rásonyi, Miklós 5 Sass, Jörn 5 Tramontana, Fabio 5 Westerhoff, Frank H. 4 Campi, Luciano 4 Carassus, Laurence 4 Cheung, Ka Chun 4 Dana, Rose-Anne 4 Fabozzi, Frank J. 4 Gaudenzi, Marcellino 4 Li, Shenghong 4 Nagurney, Anna 4 Naimzada, Ahmad K. 4 Pascucci, Andrea 4 Polyrakis, Ioannis A. 4 Rachev, Svetlozar T. 4 Sabino, Piergiacomo 4 Spizzichino, Fabio L. 4 Stoye, Jörg 4 Sushko, Iryna 4 Vigna, Elena 4 Villanacci, Antonio 4 Wunderlich, Ralf 4 Yannelis, Nicholas C. 4 Zanette, Antonino 4 Zastawniak, Tomasz 3 Alcantud, José Carlos Rodríguez 3 Assa, Hirbod 3 Bade, Sophie 3 Bo, Lijun 3 Bordley, Robert F. 3 Burzoni, Matteo 3 Capponi, Agostino 3 Castagnoli, Erio 3 Ceci, Claudia 3 Chen, An 3 Cretarola, Alessandra 3 Daniele, Patrizia 3 de Castro, Luciano I. 3 De Donno, Marzia 3 Faro, José Heleno 3 Gerasímou, Georgios 3 Ghirardato, Paolo 3 Greco, Salvatore 3 Gu, Enguo 3 Hayek, Naïla 3 Huynh, Van-Nam 3 Katsikis, Vasilios N. 3 Kelsey, David P. 3 Kountzakis, Christos E. 3 LiCalzi, Marco 3 Maggis, Marco 3 Marazzina, Daniele 3 Martellotti, Anna 3 Menegatti, Mario 3 Montrucchio, Luigi 3 Nakamori, Yoshiteru 3 Obloj, Jan K. 3 Olivieri, Annamaria 3 Ortobelli, Sergio 3 Parand, Kourosh 3 Pitacco, Ermanno 3 Platen, Eckhard 3 Rad, Jamal Amani 3 Riella, Gil 3 Roux, Alet 3 Sanfelici, Simona 3 Stoyanov, Stoyan V. 3 Tian, Weidong 3 Touzi, Nizar 3 Vargiolu, Tiziano 3 Wei, Qingmeng 2 Abbasbandy, Saeid 2 Achdou, Yves 2 Amarante, Massimiliano 2 Antonelli, Fabio 2 Astic, Fabian 2 Avallone, Anna 2 Avrutin, Viktor 2 Battauz, Anna 2 Bäuerle, Nicole 2 Bayer, Christian 2 Beißner, Patrick 2 Bernard, Carole 2 Bhowmik, Anuj 2 Biagini, Francesca 2 Biglova, Almira 2 Bisceglia, Michele 2 Carlier, Guillaume 2 Cavalli, Fausto ...and 791 more Authors
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#### Cited in 157 Journals

 41 Journal of Economic Theory 38 Decisions in Economics and Finance 28 Journal of Mathematical Economics 24 European Journal of Operational Research 23 Economic Theory 23 International Journal of Theoretical and Applied Finance 19 Insurance Mathematics & Economics 17 Theory and Decision 16 Finance and Stochastics 15 Quantitative Finance 14 Mathematics and Financial Economics 13 Mathematical Social Sciences 12 Applied Mathematics and Computation 12 Mathematical Finance 10 Journal of Economic Dynamics & Control 9 Economics Letters 8 Games and Economic Behavior 8 Methodology and Computing in Applied Probability 8 SIAM Journal on Financial Mathematics 7 Applied Mathematics and Optimization 7 Applied Mathematical Finance 6 Journal of Mathematical Analysis and Applications 6 Journal of Optimization Theory and Applications 6 Mathematical Methods of Operations Research 6 ASTIN Bulletin 5 Computational Management Science 5 Journal of Industrial and Management Optimization 5 Annals of Finance 4 Fuzzy Sets and Systems 4 Journal of Computational and Applied Mathematics 4 Mathematics of Operations Research 4 Optimization 4 Journal of Economics 4 Stochastic Processes and their Applications 4 Computational Economics 4 Abstract and Applied Analysis 4 Scandinavian Actuarial Journal 3 Advances in Applied Probability 3 Operations Research 3 SIAM Journal on Control and Optimization 3 Stochastic Analysis and Applications 3 International Journal of Approximate Reasoning 3 Japan Journal of Industrial and Applied Mathematics 3 International Journal of Bifurcation and Chaos in Applied Sciences and Engineering 3 Journal of Difference Equations and Applications 3 Mathematical Problems in Engineering 3 Chaos 3 Nonautonomous Dynamical Systems 2 Computers & Mathematics with Applications 2 Chaos, Solitons and Fractals 2 International Journal of Mathematics and Mathematical Sciences 2 International Journal of Game Theory 2 Journal of Applied Probability 2 Journal of Econometrics 2 Journal of Mathematical Psychology 2 Mathematics and Computers in Simulation 2 Statistics & Probability Letters 2 Operations Research Letters 2 Acta Applicandae Mathematicae 2 Social Choice and Welfare 2 The Annals of Applied Probability 2 Communications in Statistics. Theory and Methods 2 Positivity 2 Communications in Nonlinear Science and Numerical Simulation 2 Probability in the Engineering and Informational Sciences 2 Fuzzy Optimization and Decision Making 2 Dynamic Games and Applications 2 Decision Analysis 2 Statistics & Risk Modeling 2 Stochastic Systems 2 Minimax Theory and its Applications 1 The Canadian Journal of Statistics 1 Communications in Mathematical Physics 1 Communications on Pure and Applied Mathematics 1 Mathematical Biosciences 1 Mathematical Proceedings of the Cambridge Philosophical Society 1 Metrika 1 Physica A 1 Theory of Probability and its Applications 1 Acta Mathematica Vietnamica 1 Automatica 1 Information Sciences 1 Journal of Differential Equations 1 Journal of Functional Analysis 1 Journal of Multivariate Analysis 1 Journal of Philosophical Logic 1 Kybernetika 1 Mathematische Annalen 1 Numerical Functional Analysis and Optimization 1 Proceedings of the American Mathematical Society 1 Rendiconti del Circolo Matemàtico di Palermo. Serie II 1 Revista de la Unión Matemática Argentina 1 Siberian Mathematical Journal 1 Synthese 1 Transactions of the American Mathematical Society 1 Bulletin of the Korean Mathematical Society 1 Applied Numerical Mathematics 1 Statistics 1 Probability Theory and Related Fields 1 Statistical Science ...and 57 more Journals
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#### Cited in 35 Fields

 515 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 154 Probability theory and stochastic processes (60-XX) 54 Operations research, mathematical programming (90-XX) 50 Systems theory; control (93-XX) 47 Statistics (62-XX) 36 Numerical analysis (65-XX) 32 Calculus of variations and optimal control; optimization (49-XX) 19 Partial differential equations (35-XX) 10 Dynamical systems and ergodic theory (37-XX) 8 Functional analysis (46-XX) 7 Ordinary differential equations (34-XX) 7 Difference and functional equations (39-XX) 7 Computer science (68-XX) 6 Measure and integration (28-XX) 5 Biology and other natural sciences (92-XX) 4 Mathematical logic and foundations (03-XX) 4 Order, lattices, ordered algebraic structures (06-XX) 3 Integral equations (45-XX) 2 Topological groups, Lie groups (22-XX) 2 Real functions (26-XX) 2 Approximations and expansions (41-XX) 2 Integral transforms, operational calculus (44-XX) 2 Operator theory (47-XX) 2 Convex and discrete geometry (52-XX) 2 General topology (54-XX) 2 Global analysis, analysis on manifolds (58-XX) 1 General and overarching topics; collections (00-XX) 1 Combinatorics (05-XX) 1 Number theory (11-XX) 1 Special functions (33-XX) 1 Sequences, series, summability (40-XX) 1 Differential geometry (53-XX) 1 Statistical mechanics, structure of matter (82-XX) 1 Information and communication theory, circuits (94-XX) 1 Mathematics education (97-XX)