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Content
December 2024, Volume 47, Issue 2
- 347-348 Editorial
by Lorenzo Peccati & Fabrizio Cacciafesta - 349-377 Mortgages with non-random time-varying interest rates
by Laura Ziani - 379-399 Irr and equivalence of cash-flow streams, loans, and portfolios of bonds
by Gino Favero & Gherardo Piacitelli - 401-423 Input/output-style approach to standardized traditional amortization plans
by Flavio Pressacco & Laura Ziani - 425-443 Generally acceptable principles for financial amortization: a modest proposal
by Francesca Beccacece & Marco LiCalzi - 445-467 Designing amortization plans by fairness
by Rosario Maggistro & Mario Marino & Renato Pelessoni & Liviana Picech - 469-484 Amortization plans in simple, compound and hybrid framework: a unifying approach
by Laura Ziani & Flavio Pressacco - 485-495 Amortization dismantling to remove any doubt of anatocism
by Viviana Fanelli & Silvana Musti - 497-512 Optimality conditions for differentiable linearly constrained pseudoconvex programs
by Riccardo Cambini & Rossana Riccardi - 513-543 Two-stage super-efficiency model for measuring efficiency of education in South-East Asia
by M. Mujiya Ulkhaq & Giorgia Oggioni & Rossana Riccardi - 545-564 Optimal scale sizes in economic efficiency models with integer measures: a case study of foundry industry
by Somayye Karimi Omshi & Sohrab Kordrostami & Alireza Amirteimoori & Armin Ghane Kanafi - 565-596 The emergence of chaos in productivity distribution dynamics
by Orlando Gomes - 597-626 The role of taxation in an integrated economic-environmental model: a dynamical analysis
by Fausto Cavalli & Alessandra Mainini & Daniela Visetti - 627-653 Ellsberg 1961: text, context, influence
by Ivan Moscati
June 2024, Volume 47, Issue 1
- 1-42 On entropy martingale optimal transport theory
by Alessandro Doldi & Marco Frittelli & Emanuela Rosazza Gianin - 43-82 Efficient adaptive strategies with fourth-order compact scheme for a fixed-free boundary regime-switching model
by Chinonso I. Nwankwo & Weizhong Dai - 83-120 The geometry of risk adjustments
by Hans-Peter Bermin & Magnus Holm - 121-136 The impact of a winner takes all tournament on managers’ strategies and asset mispricing
by Enrico Lupi - 137-149 Fundamental Theorem of Asset Pricing under fixed and proportional costs in multi-asset setting and finite probability space
by Tomasz Zastawniak - 151-181 The power of derivatives in portfolio optimization under affine GARCH models
by Marcos Escobar-Anel & Eric Molter & Rudi Zagst - 183-198 Optimal liquidation with high risk aversion and small linear price impact
by Leonid Dolinskyi & Yan Dolinsky - 199-213 Modeling financial leasing by optimal stopping approach
by Luigi De Cesare & Lucianna Cananà & Tiziana Ciano & Massimiliano Ferrara - 215-258 Variance of entropy for testing time-varying regimes with an application to meme stocks
by Andrey Shternshis & Piero Mazzarisi - 259-273 Hedging and the regret theory of the firm
by Udo Broll & Peter Welzel & Kit Pong Wong - 275-298 Optimal control in linear-quadratic stochastic advertising models with memory
by Michele Giordano & Anton Yurchenko-Tytarenko - 299-325 Rank-two programs involving linear fractional functions
by Riccardo Cambini & Giovanna D’Inverno - 327-346 Simon’s bounded rationality
by Alfio Giarlotta & Angelo Petralia
December 2023, Volume 46, Issue 2
- 355-377 Dini and Hadamard directional derivatives in multiobjective optimization: an overview of some results
by Giorgio Giorgi & Bienvenido Jiménez & Vicente Novo - 379-413 The insider trading problem in a jump-binomial model
by Hélène Halconruy - 415-460 Laplace transforms of stochastic integrals and the pricing of Bermudan swaptions
by Lars Palapies - 461-475 On statistical indistinguishability of complete and incomplete discrete time market models
by Nikolai Dokuchaev - 477-504 Implied higher order moments in the Heston model: a case study of S &P500 index
by Farshid Mehrdoust & Idin Noorani - 505-542 Revisiting the 1/N-strategy: a neural network framework for optimal strategies
by Marcos Escobar-Anel & Lorenz Theilacker & Rudi Zagst - 543-543 Correction: Revisiting the 1/N-strategy: a neural network framework for optimal strategies
by Marcos Escobar-Anel & Lorenz Theilacker & Rudi Zagst - 545-567 Heterogeneity-adjusted management of pension funds using adaptive representative agents
by Thepdanai Danswasvong & Sira Suchintabandid - 569-582 Mortality projections for higher educational attainment with semi-parametric accelerated hazard relational models
by Meitner Cadena & Michel Denuit - 583-609 Multi-population mortality modeling with Lévy processes
by Petar Jevtić & Chengwei Qin & Hongjuan Zhou - 611-633 Optimal proportional and excess-of-loss reinsurance for multiple classes of insurance business
by Maria-Laura Torrente - 635-665 Optimisation of drawdowns by generalised reinsurance in the classical risk model
by Leonie Violetta Brinker & Hanspeter Schmidli - 667-680 Green economy with efficient public incentives
by Marcello Galeotti & Emanuele Vannucci - 681-711 Recycled and non-recycled exhaustible resource: an optimal control strategy for input allocation
by Silvia Bertarelli & Chiara Lodi & Stefania Ragni - 713-730 The Black–Scholes paper: a personal perspective
by Anthony Neuberger - 731-733 Correction to: Beating the market? A mathematical puzzle for market efficiency
by Michael Heinrich Baumann
June 2023, Volume 46, Issue 1
- 1-43 Risk-sharing and optimal contracts with large exogenous risks
by Jessica Martin & Stéphane Villeneuve - 45-96 Multivariate Wold decompositions: a Hilbert A-module approach
by Simone Cerreia-Vioglio & Fulvio Ortu & Federico Severino & Claudio Tebaldi - 97-128 Utility maximization in a stochastic affine interest rate and CIR risk premium framework: a BSDE approach
by Yumo Zhang - 129-156 Construction of voting situations concordant with ranking patterns
by Emilio De Santis & Fabio Spizzichino - 157-176 Locally-coherent multi-population mortality modelling via neural networks
by Francesca Perla & Salvatore Scognamiglio - 177-220 Surrender and path-dependent guarantees in variable annuities: integral equation solutions and benchmark methods
by Antonio L. Martire & Emilio Russo & Alessandro Staino - 221-253 Cognitive limits and preferences for information
by Áron Tóbiás - 255-276 Modelplasticity and abductive decision making
by Subhadeep Mukhopadhyay - 277-304 Quasivariational inequalities for dynamic competitive economic equilibrium problems in discrete time
by Shapour Heidarkhani & David Barilla & Giuseppe Caristi - 305-318 Differentiated goods in a dynamic Cournot duopoly with emission charges on output
by Ahmad Naimzada & Marina Pireddu - 319-333 On game value of a differential game problem with Grönwall-type constraints on players control functions
by Jewaidu Rilwan & Pasquale Fotia & Massimiliano Ferrara - 335-354 Inverse data envelopment analysis without convexity: double frontiers
by Farzaneh Asadi & Sohrab Kordrostami & Alireza Amirteimoori & Morteza Bazrafshan
December 2022, Volume 45, Issue 2
- 451-480 Dangerous tangents: an application of $$\Gamma $$ Γ -convergence to the control of dynamical systems
by Rosario Maggistro & Paolo Pellizzari & Elena Sartori & Marco Tolotti - 481-502 Equalizing solutions for bankruptcy problems revisited
by José Alcalde & Josep E. Peris - 503-519 Optimality and duality in nonsmooth semi-infinite optimization, using a weak constraint qualification
by David Barilla & Giuseppe Caristi & Nader Kanzi - 521-539 The robustness of the generalized Gini index
by S. Settepanella & A. Terni & M. Franciosi & L. Li - 541-547 Two representations of information structures and their comparisons
by Jerry R. Green & Nancy L. Stokey - 549-549 Introduction to the Milestones series
by Marco LiCalzi - 551-568 Bipartite choices
by Marco LiCalzi
June 2022, Volume 45, Issue 1
- 1-34 Calibration to FX triangles of the 4/2 model under the benchmark approach
by Alessandro Gnoatto & Martino Grasselli & Eckhard Platen - 35-56 Monetary risk measures for stochastic processes via Orlicz duality
by Christos E. Kountzakis & Damiano Rossello - 57-81 Option pricing: a yet simpler approach
by Jarno Talponen & Minna Turunen - 83-99 Complex dynamics in the market for loans
by Nivedita Mukherji - 101-135 Expressions of forward starting option price in Hull–White stochastic volatility model
by Hiroaki Hata & Nien-Lin Liu & Kazuhiro Yasuda - 137-185 Bias-optimal vol-of-vol estimation: the role of window overlapping
by Giacomo Toscano & Maria Cristina Recchioni - 187-207 Portfolio choice in the model of expected utility with a safety-first component
by Dennis W. Jansen & Liqun Liu - 209-239 A new class of multidimensional Wishart-based hybrid models
by Gaetano La Bua & Daniele Marazzina - 241-256 Production and hedging under correlated price and background risks
by Kit Pong Wong - 257-278 Long versus short time scales: the rough dilemma and beyond
by Matthieu Garcin & Martino Grasselli - 279-325 Beating the market? A mathematical puzzle for market efficiency
by Michael Heinrich Baumann - 327-341 Grey Verhulst model and its chaotic behaviour with application to Bitcoin adoption
by P. Gatabazi & J. C. Mba & E. Pindza - 343-374 Performance measurement with expectiles
by Damiano Rossello - 375-414 Ramsey rule with forward/backward utility for long-term yield curves modeling
by Nicole El Karoui & Caroline Hillairet & Mohamed Mrad - 415-446 A flexible lattice framework for valuing options on assets paying discrete dividends and variable annuities embedding GMWB riders
by Paolo Angelis & Roberto Marchis & Antonio L. Martire & Emilio Russo - 447-449 Correction to: Semi-analytical prices for lookback and barrier options under the Heston model
by Luca Gennaro Aquino & Carole Bernard
December 2021, Volume 44, Issue 2
- 485-487 Nonlinear dynamics in economic modelling
by Laura Gardini & Fabio Lamantia & Davide Radi & Ferenc Szidarovszky & Fabio Tramontana - 489-505 CSR leadership, spillovers, and first-mover advantage
by Michael Kopel - 507-531 A note on symmetry breaking in a non linear marketing model
by Andrea Caravaggio & Lorenzo Cerboni Baiardi & Mauro Sodini - 533-557 Delay dynamics in nonlinear monopoly with gradient adjustment
by Akio Matsumoto & Ferenc Szidarovszky - 559-577 Hybrid dynamics of multi-species resource exploitation
by Davide Radi & Fabio Lamantia & Tomáš Tichý - 579-611 Learning in a double-phase cobweb model
by Fausto Cavalli & Ahmad Naimzada & Lucia Parisio - 613-639 Dynamics of a business cycle model with two types of governmental expenditures: the role of border collision bifurcations
by Mauro Gallegati & Laura Gardini & Iryna Sushko - 641-667 Speculative asset price dynamics and wealth taxes
by Sarah Mignot & Fabio Tramontana & Frank Westerhoff - 669-705 A revised version of the Cathcart & El-Jahel model and its application to CDS market
by Davide Radi & Vu Phuong Hoang & Gabriele Torri & Hana Dvořáčková - 707-726 Uncertainty about fundamental, pessimistic and overconfident traders: a piecewise-linear maps approach
by Giovanni Campisi & Silvia Muzzioli & Fabio Tramontana - 727-754 Cross-section instability in financial markets: impatience, extrapolation, and switching
by Roberto Dieci & Xue-Zhong He - 755-779 Envy effects on conflict dynamics in supervised work groups
by Arianna Dal Forno & Ugo Merlone - 781-787 Blockchain and cryptocurrencies: economic and financial research
by Alessandra Cretarola & Gianna Figà-Talamanca & Cyril Grunspan - 789-816 Can fiat currencies really hedge Bitcoin? Evidence from dynamic short-term perspective
by Jihed Majdoub & Salim Ben Sassi & Azza Bejaoui - 817-843 Investigating the relationship between volatilities of cryptocurrencies and other financial assets
by Achraf Ghorbel & Ahmed Jeribi - 845-861 Investigating the diversifying or hedging nexus of cannabis cryptocurrencies with major digital currencies
by Nikolaos A. Kyriazis - 863-882 Common dynamic factors for cryptocurrencies and multiple pair-trading statistical arbitrages
by Gianna Figá-Talamanca & Sergio Focardi & Marco Patacca - 883-903 Betting on bitcoin: a profitable trading between directional and shielding strategies
by Paolo Angelis & Roberto Marchis & Mario Marino & Antonio Luciano Martire & Immacolata Oliva - 905-940 Temporal mixture ensemble models for probabilistic forecasting of intraday cryptocurrency volume
by Nino Antulov-Fantulin & Tian Guo & Fabrizio Lillo - 941-955 Complexity traits and synchrony of cryptocurrencies price dynamics
by Davide Provenzano & Rodolfo Baggio - 957-980 Cross-listings of blockchain-based tokens issued through initial coin offerings: Do liquidity and specific cryptocurrency exchanges matter?
by Lennart Ante & André Meyer - 981-1014 The rise and fall of cryptocurrency coins and tokens
by Neil Gandal & J. T. Hamrick & Tyler Moore & Marie Vasek - 1015-1020 Introduction to Special Issue on Energy Finance
by Loretta Mastroeni & Ralf Wunderlich - 1021-1037 A deep learning model for gas storage optimization
by Nicolas Curin & Michael Kettler & Xi Kleisinger-Yu & Vlatka Komaric & Thomas Krabichler & Josef Teichmann & Hanna Wutte - 1039-1062 Gaussian clustering and jump-diffusion models of electricity prices: a deep learning analysis
by Carlo Mari & Emiliano Mari - 1063-1085 A machine learning-based price state prediction model for agricultural commodities using external factors
by Prilly Oktoviany & Robert Knobloch & Ralf Korn - 1087-1110 Fundamental ratios as predictors of ESG scores: a machine learning approach
by Valeria D’Amato & Rita D’Ecclesia & Susanna Levantesi - 1111-1146 The impact of Clean Spark Spread expectations on storage hydropower generation
by Claudia Condemi & Loretta Mastroeni & Pierluigi Vellucci - 1147-1178 Optimal switch from a fossil-fueled to an electric vehicle
by Paolo Falbo & Giorgio Ferrari & Giorgio Rizzini & Maren Diane Schmeck - 1179-1209 Optimal installation of renewable electricity sources: the case of Italy
by Almendra Awerkin & Tiziano Vargiolu - 1211-1233 Responsible investments reduce market risks
by Giacomo Morelli & Rita D’Ecclesia - 1235-1252 A new approach to wind power futures pricing
by Markus Hess - 1253-1280 Correlating Lévy processes with self-decomposability: applications to energy markets
by Matteo Gardini & Piergiacomo Sabino & Emanuela Sasso
June 2021, Volume 44, Issue 1
- 1-4 Introduction to Special Issue on “Innovating Actuarial Research on Financial Risk and Enterprise Risk Management”
by Marcello Galeotti - 5-22 An application of Sigmoid and Double-Sigmoid functions for dynamic policyholder behaviour
by Fabio Baione & Davide Biancalana & Paolo Angelis - 23-35 Reverse mortgages through artificial intelligence: new opportunities for the actuaries
by Emilia Lorenzo & Gabriella Piscopo & Marilena Sibillo & Roberto Tizzano - 37-56 Modelling dynamic lapse with survival analysis and machine learning in CPI
by Marco Aleandri & Alessia Eletti - 57-72 Gaussian process regression for pricing variable annuities with stochastic volatility and interest rate
by Ludovic Goudenège & Andrea Molent & Antonino Zanette - 73-100 Challenges in approximating the Black and Scholes call formula with hyperbolic tangents
by Michele Mininni & Giuseppe Orlando & Giovanni Taglialatela - 101-115 Longevity risk and economic growth in sub-populations: evidence from Italy
by Giuseppina Bozzo & Susanna Levantesi & Massimiliano Menzietti - 117-139 Heterogeneity and uncertainty in a multistate framework
by D. Tabakova & E. Pitacco - 141-160 On the determinants of data breaches: A cointegration analysis
by Domenico Giovanni & Arturo Leccadito & Marco Pirra - 161-175 Optimal annuitisation in a deterministic financial environment
by Griselda Deelstra & Pierre Devolder & Roberta Melis - 177-190 Climate change management: a resilience strategy for flood risk using Blockchain tools
by Emanuele Vannucci & Andrea Jonathan Pagano & Francesco Romagnoli - 191-195 Asian options with zero cost-of-carry: EEX options on freight and iron ore futures
by Espen Gaarder Haug - 197-214 Cardinality-constrained portfolio optimization with short selling and risk-neutral interest rate
by Tahereh Khodamoradi & Maziar Salahi & Ali Reza Najafi - 215-239 Managing liquidity with portfolio staleness
by Giuseppe Buccheri & Davide Pirino & Luca Trapin - 241-267 Pricing basket default swaps using quasi-analytic techniques
by Nneka Umeorah & Phillip Mashele & Matthias Ehrhardt - 269-294 Portfolio optimization under solvency II: a multi-objective approach incorporating market views and real-world constraints
by Marco Di Francesco - 295-339 MURAME parameter setting for creditworthiness evaluation: data-driven optimization
by Marco Corazza & Giovanni Fasano & Stefania Funari & Riccardo Gusso - 341-358 Delay two-sector economic growth model with a Cobb–Douglas production function
by Akio Matsumoto & Ferenc Szidarovszky - 359-374 Wage bargaining as an optimal control problem: a dynamic version of the efficient bargaining model
by Marco Guerrazzi - 375-399 Nonlinear optimal control of coupled time-delayed models of economic growth
by G. Rigatos & P. Siano & M. Abbaszadeh & T. Ghosh - 401-409 Stochastic dominance efficient sets and stochastic spanning
by Stelios Arvanitis - 411-457 Breaking ties in collective decision-making
by Daniela Bubboloni & Michele Gori - 459-483 Non-compliant behaviour in public procurement: an evolutionary model with endogenous monitoring
by Raffaella Coppier & Francesca Grassetti & Elisabetta Michetti
December 2020, Volume 43, Issue 2
- 409-412 Preface to the special issue on performance measurement and efficiency analysis—theory and practice
by Laura Carosi & Ana Camanho & Giovanna D’Inverno & Kristof Witte & Rossana Riccardi - 413-441 A three-system approach that integrates DEA, BSC, and AHP for museum evaluation
by Antonella Basso & Stefania Funari - 443-464 Interactive consistency correction in the analytic hierarchy process to preserve ranks
by Alessio Ishizaka & Sajid Siraj - 465-489 Underestimation functions for a rank-two partitioning method
by Riccardo Cambini - 491-518 Robust data envelopment analysis via ellipsoidal uncertainty sets with application to the Italian banking industry
by Emmanuel Kwasi Mensah - 519-538 Efficiency evaluation under uncertainty: a stochastic DEA approach
by P. Beraldi & M. E. Bruni - 539-556 Groundwater extraction among overlapping generations: a differential game approach
by Marta Biancardi & Lucia Maddalena & Giovanni Villani - 557-558 A special issue on multi-criteria decision aiding
by Matteo Brunelli & Michele Fedrizzi & Salvatore Greco & José Rui Figueira & Roman Słowiński - 559-582 Multi-criteria and medical diagnosis for application to health insurance systems: a general approach through non-additive measures
by Luca Anzilli & Silvio Giove - 583-611 Shapley and superShapley aggregation emerging from consensus dynamics in the multicriteria Choquet framework
by Silvia Bortot & Ricardo Alberto Marques Pereira & Anastasia Stamatopoulou - 613-635 Incoherence measures and relations between coherence conditions for pairwise comparisons
by Matteo Brunelli & Bice Cavallo - 637-656 Relations between coherence conditions and row orders in pairwise comparison matrices
by Bice Cavallo & Livia D’Apuzzo - 657-672 Inconsistency evaluation in pairwise comparison using norm-based distances
by Michele Fedrizzi & Nino Civolani & Andrew Critch - 673-690 Integrating fuzzy goal programming and data envelopment analysis to incorporate preferred decision-maker targets in efficiency measurement
by Debora Di Caprio & Ali Ebrahimnejad & Mojtaba Ghiyasi & Francisco J. Santos-Arteaga - 691-707 The characterization of demand and excess demand functions, revisited
by Marwan Aloqeili - 709-724 A net present value approach to health insurance choice
by Raquel J. Fonseca & Luísa Cunha - 725-750 Dynamic effects of consumption externalities
by Riham Barbar & Mohanad Ismael - 751-767 Pricing electricity forwards under future information on the stochastic mean-reversion level
by Markus Hess - 769-786 Existence, multiplicity and policy prescriptions for debt sustainability in an OLG model with fiscal policy and debt
by Lorenzo Cerboni Baiardi & Ahmad Naimzada - 787-825 Constructing dynamic life tables with a single-factor model
by David Atance & Alejandro Balbás & Eliseo Navarro
June 2020, Volume 43, Issue 1
- 1-2 A special issue on the mathematics of subjective probability
by Gianluca Cassese & Pietro Rigo & Barbara Vantaggi - 3-15 A notion of conditional probability and some of its consequences
by Patrizia Berti & Emanuela Dreassi & Pietro Rigo - 17-41 Predictive distributions that mimic frequencies over a restricted subdomain
by Frank Lad & Giuseppe Sanfilippo - 43-54 Optimal markov strategies
by William D. Sudderth - 55-74 Semilattices, canonical embeddings and representing measures
by Gianluca Cassese - 75-89 A note on rational inattention and rate distortion theory
by Tommaso Denti & Massimo Marinacci & Luigi Montrucchio - 91-107 Decisions on production and quality
by Luca Grosset & Bruno Viscolani - 109-127 A dynamic private property resource game with asymmetric firms
by Luca Grilli & Michele Bisceglia - 129-153 On the construction of optimal payoffs
by L. Rüschendorf & Steven Vanduffel - 155-185 A general equilibrium evolutionary model with two groups of agents, generating fashion cycle dynamics
by Ahmad Naimzada & Marina Pireddu - 187-228 Market attention and Bitcoin price modeling: theory, estimation and option pricing
by Alessandra Cretarola & Gianna Figà-Talamanca & Marco Patacca - 229-249 Does surplus/deficit sharing increase risk-taking in a corporate defined benefit pension plan?
by Katarzyna Romaniuk - 251-267 Changes in multiplicative risks and optimal portfolio choice: new interpretations and results
by Marzia Donno & Marco Magnani & Mario Menegatti - 269-276 A note on Stein’s overreaction puzzle
by Yuehao Lin & Thorsten Lehnert - 277-301 Trading strategy with stochastic volatility in a limit order book market
by Qing-Qing Yang & Wai-Ki Ching & Jiawen Gu & Tak-Kuen Siu - 303-339 Pricing and hedging defaultable participating contracts with regime switching and jump risk
by Olivier Le Courtois & François Quittard-Pinon & Xiaoshan Su - 341-361 Optimal reinsurance and investment in a diffusion model
by Matteo Brachetta & Hanspeter Schmidli - 363-372 Arbitrary initial conditions and the dimension of indeterminacy in linear rational expectations models
by Marco M. Sorge - 373-408 When one stock share is a biological individual: a stylized simulation of the population dynamics in an order-driven market
by Hanchao Liu
December 2019, Volume 42, Issue 2
- 319-320 Quantitative developments in financial volatility—theory and practice
by Elisa Alòs & Maria Elvira Mancino & Tai-Ho Wang - 321-349 Volatility and volatility-linked derivatives: estimation, modeling, and pricing
by Elisa Alòs & Maria Elvira Mancino & Tai-Ho Wang - 351-385 Estimation of volatility in a high-frequency setting: a short review
by Jean Jacod - 387-406 From volatility smiles to the volatility of volatility
by Bernard Dumas & Elisa Luciano - 407-448 Markovian lifts of positive semidefinite affine Volterra-type processes
by Christa Cuchiero & Josef Teichmann - 449-469 Estimating stochastic volatility: the rough side to equity returns
by Jonathan Haynes & Daniel Schmitt & Lukas Grimm - 471-502 Asymptotic results for the Fourier estimator of the integrated quarticity
by Giulia Livieri & Maria Elvira Mancino & Stefano Marmi - 503-525 On parameter estimation of Heston’s stochastic volatility model: a polynomial filtering method
by F. Cacace & A. Germani & M. Papi - 527-573 Asymptotic expansion for some local volatility models arising in finance
by Sergio Albeverio & Francesco Cordoni & Luca Persio & Gregorio Pellegrini - 575-608 Moment explosions in the rough Heston model
by Stefan Gerhold & Christoph Gerstenecker & Arpad Pinter - 609-637 Calibration of local volatility model with stochastic interest rates by efficient numerical PDE methods
by Julien Hok & Shih-Hau Tan - 639-664 A realized volatility approach to option pricing with continuous and jump variance components
by Dario Alitab & Giacomo Bormetti & Fulvio Corsi & Adam A. Majewski - 665-677 Robust calibration and arbitrage-free interpolation of SSVI slices
by Jacopo Corbetta & Pierre Cohort & Ismail Laachir & Claude Martini - 679-714 Model-free stochastic collocation for an arbitrage-free implied volatility: Part I
by Fabien Floc’h & Cornelis W. Oosterlee - 715-741 Semi-analytical prices for lookback and barrier options under the Heston model
by Luca De Gennaro Aquino & Carole Bernard - 743-758 A note on the implied volatility of floating strike Asian options
by Elisa Alòs & Jorge A. León
June 2019, Volume 42, Issue 1
- 1-2 Foreword special issue Deaf 2019–Maf 2018
by Aurea Grane & Marilena Sibillo - 3-3 Correction to: Foreword special issue Deaf 2019–Maf 2018
by Aurea Grane & Marilena Sibillo - 5-19 Small sample properties of ML estimator in Vasicek and CIR models: a simulation experiment
by Giuseppina Albano & Michele La Rocca & Cira Perna - 21-49 Variable annuities with a threshold fee: valuation, numerical implementation and comparative static analysis
by Anna Rita Bacinello & Ivan Zoccolan - 51-75 Possibilistic mean–variance portfolios versus probabilistic ones: the winner is..
by Marco Corazza & Carla Nardelli - 77-101 Kyle equilibrium under random price pressure
by José Manuel Corcuera & Giulia Nunno & José Fajardo - 103-133 A stochastic model to evaluate pricing distortions in indemnity insurance methods for MTPL insurance
by Paola Fersini & Salvatore Forte & Giuseppe Melisi & Gennaro Olivieri - 135-155 Does market attention affect Bitcoin returns and volatility?
by Gianna Figá-Talamanca & Marco Patacca - 157-187 A market-consistent framework for the fair evaluation of insurance contracts under Solvency II
by Anna Maria Gambaro & Riccardo Casalini & Gianluca Fusai & Alessandro Ghilarducci - 189-204 Coherent modeling of mortality patterns for age-specific subgroups
by Giuseppe Giordano & Steven Haberman & Maria Russolillo