The topics studied in this Special Issue include a wide range of areas in finance, economics, tourism, management, marketing, and education. The topics in finance include stock market, volatility and excess returns, REIT, warrant and options, herding behavior and trading strategy, supply...

This paper considers the risk model perturbed by a diffusion process with a time delay in the arrival of the first two claims and takes into account dependence between claim amounts and the claim inter-occurrence times. Assuming that the time arrival of the first claim follows a generalized...

The topics studied in this Special Issue include a wide range of areas in finance, economics, tourism, management, marketing, and education. The topics in finance include stock market, volatility and excess returns, REIT, warrant and options, herding behavior and trading strategy, supply...

Persistently high negative covariances between risky assets and hedging instruments are intended to mitigate against risk and subsequent financial losses. In the event of having more than one hedging instrument, multivariate covariances need to be calculated. Optimal hedge ratios are unlikely to...

Vor allem im Rahmen angewandter Finanzmarktforschung gibt es immer wieder Missverständnisse hinsichtlich der Interpretation arithmetischer und geometrischer Durchschnittsrenditen. Insbesondere wenn es um Langfristprojektionen zukünftiger Wertentwicklungen geht - wie sie beispielsweise für...

Risk measures play a vital role in many subfields of economics and finance. It has been proposed that risk measures could be analysed in relation to the performance of variables extracted from empirical real-world data. For example, risk measures may help inform effective monetary and fiscal...

We consider de Finetti’s stochastic control problem when the (controlled) process is allowed to spend time under the critical level. More precisely, we consider a generalized version of this control problem in a spectrally negative Lévy model with exponential Parisian ruin. We show that,...

"This book provides a technical and specialized discussion of contemporary and emerging issues in FOREX and financial markets by addressing the issues of risk management and theory and hypothesis development, which have general implications for finance theory and FOREX market management. It...

"This book introduces the readers to the rapidly growing literature and latest results on financial, fundamental and seasonal anomalies, stock selection modeling and portfolio management. Fifty years ago, finance professors taught the Efficient Markets Hypothesis which states that the average...

Why big data? -- Neural networks in finance -- Supervised models -- Semi-supervised learning -- Letting the data speak with unsupervised learning -- Big data factor models -- Data as a signal versus noise -- Applications : big data in options pricing and stochastic modeling -- Data clustering.

Background of credit risk and Java visualization for expected exposure -- Theoretical phase of a real-world case study -- Real-world case of the practical phase for generating exposure regulatory measures in a specific bank with an internal model method -- Theoretical approach of the real-world...

"The subject matter that modern economics students are expected to master makes significant mathematical demands. This is true even of the less technical "applied" literature that students will be expected to read for courses in fields such as public finance, industrial organization, and labour...

"In today's world, we are increasingly exposed to the words "machine learning" (ML), a term which sounds like a panacea designed to cure all problems ranging from image recognition to machine language translation. Over the past few years, ML has gradually permeated the financial sector,...

Mathematical Signs and Symbols -- Logic -- Arithmetic -- Algebra -- Linear Algebra -- Combinatorics -- Financial Mathematics -- Optimisation of Linear Models -- Functions -- Differential Calculus -- Integral Calculus -- Elasticities -- Economic Functions -- The Peren Theorem – The Mathematical...

"Computational Finance is increasingly important in the financial industry, as a necessary instrument for applying theoretical models to real-world challenges. Indeed, many models used in practice involve complex mathematical problems, for which an exact or a closed-form solution is not...

"Malliavin Calculus in Finance: Theory and Practice aims to introduce the study of stochastic volatility (SV) models via Malliavin Calculus. Malliavin calculus has had a profound impact on stochastic analysis. Originally motivated by the study of the existence of smooth densities of certain...

This article is dedicated to the assessment of the dynamic fractional asset pricing model for financial risk evaluation and the use of the fractal markets theory to mathematically predict the price dynamics of assets as part of a financial risk management strategy. The article identifies...

"This book's primary objective is to educate aspiring finance professionals about mathematics and computation in the context of financial derivatives. The authors offer a balance of traditional coverage and technology to fill the void between highly mathematical books and broad finance books....

In this paper, a dual risk model under constant force of interest is considered. The ruin probability in this model is shown to satisfy an integro-differential equation, which can then be written as an integral equation. Using the collocation method, the ruin probability can be well approximated...

In the nearly thirty years since Hans Buhlmann (Buhlmann (1987)) set out the notion of the Actuary of the Third Kind, the connection between Actuarial Science (AS) and Mathematical Finance (MF) has been continually reinforced. As siblings in the family of Risk Management techniques,...

"This book falls broadly in the area of financial mathematics. It presents a multitude of topics that are relevant to the quantitative finance community. Experts in teaching and active in research, the authors aim to discuss theory in the context of applications to specific practical problems....

"Finance is the study of value and how it is determined. Individuals, small businesses and corporations regularly make use of value determinations for making strategic decisions that affect the future outcomes of their endeavors. The importance of accurate valuations cannot be overestimated;...