IDEAS home Printed from https://ideas.repec.org/a/spr/finsto/v26y2022i1d10.1007_s00780-021-00452-9.html
   My bibliography  Save this article

An Italian perspective on the development of financial mathematics from 1992 to 2008

Author

Listed:
  • Wolfgang J. Runggaldier

    (University of Padova)

Abstract

This paper is intended to be a survey of the development of financial mathematics as seen through the events that I organised, and partly co-organised, between 1992 and 2008. These events all took place in Italy between 1992 and 2003, while in 2008 I was involved in the organisation of an entire special semester in Linz (Austria); this semester is included here because it marks quite well the state-of-the-art of the period just before the so-called big financial crisis that lasted from, roughly, 2008 to 2012. Even if the survey may be affected by my personal views, it can still be seen as reflecting the actual global development since what I am going to describe here concerns major occurrences. For completeness, I also mention, although only briefly, some events that took place in Italy during the given period, but where I was not personally involved.

Suggested Citation

  • Wolfgang J. Runggaldier, 2022. "An Italian perspective on the development of financial mathematics from 1992 to 2008," Finance and Stochastics, Springer, vol. 26(1), pages 5-31, January.
  • Handle: RePEc:spr:finsto:v:26:y:2022:i:1:d:10.1007_s00780-021-00452-9
    DOI: 10.1007/s00780-021-00452-9
    as

    Download full text from publisher

    File URL: http://link.springer.com/10.1007/s00780-021-00452-9
    File Function: Abstract
    Download Restriction: Access to the full text of the articles in this series is restricted.

    File URL: https://libkey.io/10.1007/s00780-021-00452-9?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    as
    1. Tomas Björk & Yuri Kabanov & Wolfgang Runggaldier, 1997. "Bond Market Structure in the Presence of Marked Point Processes," Mathematical Finance, Wiley Blackwell, vol. 7(2), pages 211-239, April.
    2. Harrison, J. Michael & Pliska, Stanley R., 1983. "A stochastic calculus model of continuous trading: Complete markets," Stochastic Processes and their Applications, Elsevier, vol. 15(3), pages 313-316, August.
    3. W. Schachermayer, 1994. "Martingale Measures For Discrete‐Time Processes With Infinite Horizon," Mathematical Finance, Wiley Blackwell, vol. 4(1), pages 25-55, January.
    4. Yan Li & Junhao Hu, 2013. "Numerical Analysis for Stochastic Partial Differential Delay Equations with Jumps," Abstract and Applied Analysis, Hindawi, vol. 2013, pages 1-8, May.
    5. Harrison, J. Michael & Kreps, David M., 1979. "Martingales and arbitrage in multiperiod securities markets," Journal of Economic Theory, Elsevier, vol. 20(3), pages 381-408, June.
    6. Harrison, J. Michael & Pliska, Stanley R., 1981. "Martingales and stochastic integrals in the theory of continuous trading," Stochastic Processes and their Applications, Elsevier, vol. 11(3), pages 215-260, August.
    7. Freddy Delbaen, 1992. "Representing Martingale Measures When Asset Prices Are Continuous And Bounded," Mathematical Finance, Wiley Blackwell, vol. 2(2), pages 107-130, April.
    8. Cox, John C. & Ross, Stephen A. & Rubinstein, Mark, 1979. "Option pricing: A simplified approach," Journal of Financial Economics, Elsevier, vol. 7(3), pages 229-263, September.
    Full references (including those not matched with items on IDEAS)

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Bjork, Tomas, 2009. "Arbitrage Theory in Continuous Time," OUP Catalogue, Oxford University Press, edition 3, number 9780199574742.
    2. repec:dau:papers:123456789/5374 is not listed on IDEAS
    3. Jouini, Elyes, 2001. "Arbitrage and control problems in finance: A presentation," Journal of Mathematical Economics, Elsevier, vol. 35(2), pages 167-183, April.
    4. Gerber, Hans U. & Shiu, Elias S. W., 1996. "Actuarial bridges to dynamic hedging and option pricing," Insurance: Mathematics and Economics, Elsevier, vol. 18(3), pages 183-218, November.
    5. repec:dau:papers:123456789/5590 is not listed on IDEAS
    6. Duffie, Darrell, 2003. "Intertemporal asset pricing theory," Handbook of the Economics of Finance, in: G.M. Constantinides & M. Harris & R. M. Stulz (ed.), Handbook of the Economics of Finance, edition 1, volume 1, chapter 11, pages 639-742, Elsevier.
    7. Napp, Clotilde, 2001. "Pricing issues with investment flows Applications to market models with frictions," Journal of Mathematical Economics, Elsevier, vol. 35(3), pages 383-408, June.
    8. Stephen A. Clark, 2003. "An Infinite-Dimensional LP Duality Theorem," Mathematics of Operations Research, INFORMS, vol. 28(2), pages 233-245, May.
    9. Lian, Yu-Min & Liao, Szu-Lang & Chen, Jun-Home, 2015. "State-dependent jump risks for American gold futures option pricing," The North American Journal of Economics and Finance, Elsevier, vol. 33(C), pages 115-133.
    10. Munk, Claus, 2015. "Financial Asset Pricing Theory," OUP Catalogue, Oxford University Press, number 9780198716457.
    11. Christa Cuchiero & Josef Teichmann, 2015. "A convergence result for the Emery topology and a variant of the proof of the fundamental theorem of asset pricing," Finance and Stochastics, Springer, vol. 19(4), pages 743-761, October.
    12. Hardy Hulley, 2009. "Strict Local Martingales in Continuous Financial Market Models," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 19, July-Dece.
    13. Svetlozar Rachev & Stoyan Stoyanov & Frank J. Fabozzi, 2017. "Behavioral Finance Option Pricing Formulas Consistent with Rational Dynamic Asset Pricing," Papers 1710.03205, arXiv.org.
    14. Hardy Hulley, 2009. "Strict Local Martingales in Continuous Financial Market Models," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 2-2009, January-A.
    15. Timothy Johnson, 2015. "Reciprocity as a Foundation of Financial Economics," Journal of Business Ethics, Springer, vol. 131(1), pages 43-67, September.
    16. Jaime A. Londo~no, 2003. "State Tameness: A New Approach for Credit Constrains," Papers math/0305274, arXiv.org, revised Feb 2004.
    17. Suresh M. Sundaresan, 2000. "Continuous‐Time Methods in Finance: A Review and an Assessment," Journal of Finance, American Finance Association, vol. 55(4), pages 1569-1622, August.
    18. Gibson, Rajna & Lhabitant, Francois-Serge & Talay, Denis, 2010. "Modeling the Term Structure of Interest Rates: A Review of the Literature," Foundations and Trends(R) in Finance, now publishers, vol. 5(1–2), pages 1-156, December.
    19. Jos'e Manuel Corcuera, 2021. "The Golden Age of the Mathematical Finance," Papers 2102.06693, arXiv.org, revised Mar 2021.
    20. Koichiro Takaoka & Martin Schweizer, 2014. "A note on the condition of no unbounded profit with bounded risk," Finance and Stochastics, Springer, vol. 18(2), pages 393-405, April.
    21. Jean-Luc Prigent, 2001. "Option Pricing with a General Marked Point Process," Mathematics of Operations Research, INFORMS, vol. 26(1), pages 50-66, February.
    22. Yuan Hu & W. Brent Lindquist & Svetlozar T. Rachev & Frank J. Fabozzi, 2023. "Option pricing using a skew random walk pricing tree," Papers 2303.17014, arXiv.org.

    More about this item

    Keywords

    Financial mathematics; Basic scientific aspects; Historical and organisational aspects; Scientific institutions; Big financial crisis;
    All these keywords.

    JEL classification:

    • B26 - Schools of Economic Thought and Methodology - - History of Economic Thought since 1925 - - - Financial Economics
    • B23 - Schools of Economic Thought and Methodology - - History of Economic Thought since 1925 - - - Econometrics; Quantitative and Mathematical Studies
    • N01 - Economic History - - General - - - Development of the Discipline: Historiographical; Sources and Methods
    • N20 - Economic History - - Financial Markets and Institutions - - - General, International, or Comparative

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:spr:finsto:v:26:y:2022:i:1:d:10.1007_s00780-021-00452-9. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Sonal Shukla or Springer Nature Abstracting and Indexing (email available below). General contact details of provider: http://www.springer.com .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.