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Year of publication
Subject
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Theorie 201 Theory 201 Portfolio selection 124 Portfolio-Management 124 Stochastic process 70 Stochastischer Prozess 70 Risiko 68 Risk 68 Option pricing theory 52 Optionspreistheorie 52 Mathematical programming 45 Mathematische Optimierung 45 CAPM 34 Risikomaß 31 Risk measure 31 Game theory 29 Spieltheorie 29 Measurement 27 Messung 27 Volatility 26 Volatilität 26 Börsenkurs 25 Share price 25 Decision under uncertainty 22 Entscheidung unter Unsicherheit 22 Incomplete market 22 Arbitrage 21 Financial market 21 Finanzmarkt 21 Risikomanagement 21 Risk management 21 Unvollkommener Markt 21 Erwartungsnutzen 20 Expected utility 20 Nutzen 20 Nutzenfunktion 20 Utility 20 Utility function 20 Derivat 19 Derivative 19
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Online availability
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Undetermined 186 Free 51
Type of publication
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Article 375 Book / Working Paper 10
Type of publication (narrower categories)
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Article in journal 367 Aufsatz in Zeitschrift 367 Article 15 Collection of articles of several authors 6 Sammelwerk 6 Aufsatzsammlung 2 Conference proceedings 2 Konferenzschrift 2 Festschrift 1
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Language
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English 385
Author
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Jarrow, Robert A. 7 Ferrari, Giorgio 5 Madan, Dilip B. 5 Meyer-Brandis, Thilo 5 Munari, Cosimo-Andrea 5 Schenk-Hoppé, Klaus Reiner 5 Assa, Hirbod 4 Bayraktar, Erhan 4 Criens, David 4 Cvitanić, Jakša 4 Ekeland, Ivar 4 Evstigneev, Igor V. 4 Flåm, Sjur D. 4 Horst, Ulrich 4 Jouini, Elyès 4 Malamud, Semyon 4 Moreno-Bromberg, Santiago 4 Muhle-Karbe, Johannes 4 Rogers, Leonard C. G. 4 Rosazza Gianin, Emanuela 4 Rudloff, Birgit 4 Biagini, Francesca 3 Brignone, Riccardo 3 Capponi, Agostino 3 Carlier, Guillaume 3 Federico, Salvatore 3 Fu, Guanxing 3 Ghossoub, Mario 3 Hens, Thorsten 3 Jeon, Junkee 3 Koch Medina, Pablo 3 Larsen, Kasper 3 Lehalle, Charles-Albert 3 Liang, Zongxia 3 Lütkebohmert, Eva 3 Maggis, Marco 3 Park, Hyungbin 3 Pirvu, Traian A. 3 Riedel, Frank 3 Schachermayer, Walter 3
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Institution
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International Conference Stochastic Economics and Finance <2011, Bergen, Norwegen> 2
Published in...
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Mathematics and financial economics 368 Mathematics and Financial Economics 15 This is a pre-print of an article published in Mathematics and Financial Economics (2011) 1 To appear in Mathematics and Financial Economics 1
Source
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ECONIS (ZBW) 370 EconStor 15
Showing 1 - 10 of 385
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Mean-field ranking games with diffusion control
Ankirchner, Stefan; Kazi-Tani, N.; Wendt, Julian; Zhou, … - In: Mathematics and financial economics 18 (2024) 2/3, pp. 313-331
Persistent link: https://www.econbiz.de/10015189205
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Capital risk, fiscal policy, and the distribution of wealth
Modena, Andrea; Regis, Luca - In: Mathematics and financial economics 18 (2024) 2/3, pp. 379-411
Persistent link: https://www.econbiz.de/10015189207
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An optimal advertising model with carryover effect and mean field terms
Gozzi, Fausto; Masiero, Federica; Rosestolato, Mauro - In: Mathematics and financial economics 18 (2024) 2/3, pp. 413-427
Persistent link: https://www.econbiz.de/10015189209
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On the value of a time-inconsistent mean-field zero-sum Dynkin game
Djehiche, Boualem - In: Mathematics and financial economics 18 (2024) 2/3, pp. 483-513
Persistent link: https://www.econbiz.de/10015189212
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Caballero-Engel meet Lasry-Lions : a uniqueness result
Alvarez, Fernando; Lippi, Francesco; Souganidis, … - In: Mathematics and financial economics 18 (2024) 2/3, pp. 515-554
Persistent link: https://www.econbiz.de/10015189213
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Is Kyle's equilibrium model stable?
Çetin, Umut; Larsen, Kasper - In: Mathematics and financial economics 18 (2024) 4, pp. 623-639
Persistent link: https://www.econbiz.de/10015189216
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Irreversible reinsurance : minimization of capital injections in presence of a fixed cost
Federico, Salvatore; Ferrari, Giorgio; Torrente, Maria-Laura - In: Mathematics and financial economics 18 (2024) 4, pp. 707-733
Persistent link: https://www.econbiz.de/10015189220
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Irreversible reinsurance: minimization of capital injections in presence of a fixed cost
Federico, Salvatore; Ferrari, Giorgio; Torrente, Maria-Laura - In: Mathematics and Financial Economics 18 (2024) 4, pp. 707-733
We propose a model in which, in exchange to the payment of a fixed transaction cost, an insurance company can choose the retention level as well as the time at which subscribing a perpetual reinsurance contract. The surplus process of the insurance company evolves according to the diffusive...
Persistent link: https://www.econbiz.de/10015373205
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Mean-field ranking games with diffusion control
Ankirchner, S.; Kazi-Tani, N.; Wendt, J.; Zhou, C. - In: Mathematics and Financial Economics 18 (2024) 2, pp. 313-331
We consider a stochastic differential game, where each player continuously controls the diffusion intensity of her own state process. The players must all choose from the same diffusion rate interval [σ1,σ2], and have individual random time horizons that are independently drawn from the same...
Persistent link: https://www.econbiz.de/10015373212
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Are minimum variance portfolios in multi-factor models long in low-beta assets?
Steland, Ansgar - In: Mathematics and Financial Economics 18 (2024) 1, pp. 151-170
Within the one-factor capital asset pricing model (CAPM), the minimum-variance portfolio (MVP) is known to have long positions in those assets of the underlying investment universe whose betas are less than a well-defined long-short threshold beta. We study the structure of MVPs in more general...
Persistent link: https://www.econbiz.de/10015373500
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