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Publication Name: Mathematical Finance

Brief description: An International Journal of Mathematics, Statistics and Financial Economics.

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Joined: February 14th, 2012

Activity

Mathematical Finance wrote a new blog post titled Issue Information

(130 days ago)

Mathematical Finance wrote a new blog post titled Strict local martingales and optimal investment in a Black–Scholes model with a bubble

Abstract There are two major streams of literature on the modeling of financial bubbles: the strict local martingale framework and the Johansen–Ledoit–Sornette (JLS) financial bubble model. Based on a class of models that embeds the JLS model and can exhibit strict local martingale behavior, we clarify the connection between these previously disconnected approaches. While the original JLS model is never a strict local martingale, there are relaxations that can be strict local martingales and that preserve the key assumption of a log‐periodic power law for the hazard rate of the time of the...
(154 days ago)

Mathematical Finance wrote a new blog post titled Backward SDEs for control with partial information

Abstract This paper considers a non‐Markov control problem arising in a financial market where asset returns depend on hidden factors. The problem is non‐Markov because nonlinear filtering is required to make inference on these factors, and hence the associated dynamic program effectively takes the filtering distribution as one of its state variables. This is of significant difficulty because the filtering distribution is a stochastic probability measure of infinite dimension, and therefore the dynamic program has a state that cannot be differentiated in the traditional sense. This lack of...
(154 days ago)

About:

Overview

Mathematical Finance is a high-quality journal which brings together work on the mathematical aspects of finance theory from such diverse fields as finance, economics, mathematics, and statistics. An essential resource for academic finance researchers and practitioners alike, the journal publishes clear and concise articles which present the latest theoretical developments in an accessible way. Modern finance is becoming increasingly technical, requiring the use of sophisticated mathematical tools in both research and practice. Mathematical Finance offers a forum for the publication of articles which employ these techniques, as well as providing a much-needed bridge between mathematical scientists and financial economists.

Aims and Scope

Mathematical Finance brings together work on the mathematical aspects of finance theory from such diverse fields as finance, economics, mathematics, and statistics. An essential resource for academic finance researchers and practitioners alike, the journal publishes clear and concise articles which present the latest theoretical developments. Modern finance is becoming increasingly technical, requiring the use of sophisticated mathematical tools in both research and practice. Mathematical Finance offers a forum for the publication of articles which employ these techniques, as well as providing a much-needed bridge between mathematical scientists and financial economists. Mathematical Finance has been ranked 3rd in the category of Social Sciences/Mathematical Methods, and 6th in the category of Business and Finance journals according to the latest ISI rankings.