Mathematics and Financial Economics

Title Publication Date Language Citations
Modelling the industrial production of electric and gas utilities through the $$CIR^3$$ model2024/02/10English
Robust utility maximization with nonlinear continuous semimartingales2023/08/17English
Moral hazard with excess returns2023/08/22English
Backward nonlinear expectation equations2017/08/23English
Preface to the special issue Stochastic Financial Economics2011/10/01English
Foreword2015/01/01English
Optimal mass transport and symmetric representations of their cost functions2014/09/01English
Risk-neutral economy and zero price of risk2013/08/06English
On the firm’s option values of short-time work policies2020/01/18English
Introduction to the special issue Stochastic Financial Economics, Volume 12011/10/01English
Preface to the special issue Mathematics in Finance2012/05/01English
Introduction to the special issue Stochastic Financial Economics, Volume 22011/12/01English
Investors’ preference for a positive tax rate depends on the level of the interest rate2007/11/01English
Equilibrium pricing bounds on option prices2008/05/14English
Utility maximization, risk aversion, and stochastic dominance2011/09/25English
Multivariate tempered stable additive subordination for financial models2022/07/13English
Investment in two alternative projects with multiple switches and the exit option2023/08/03English
The implications of tax loss carryforwards on investment policy2022/04/18English
Countercyclical unemployment benefits: a general equilibrium analysis of transition dynamics2024/02/01English
Systemic cascades on inhomogeneous random financial networks2023/01/10English
Scale effects in dynamic contracting2020/11/04English
Diffusion bank networks and capital flows2021/04/28English
Dynamically complete markets under Brownian motion2021/04/29English
Combining different models2017/08/18English
A Neyman–Pearson problem with ambiguity and nonlinear pricing2017/12/04English
An integral representation of elasticity and sensitivity for stochastic volatility models2017/10/24English
Cointegration in continuous time for factor models2018/08/10English
Riskiness in gambles that belong to the same location-scale family and with well-defined means and variances2018/02/17English
Foreword to the special issue devoted to Professor Ivar Ekeland’s 70th birthday2014/09/01English
Special issue dedicated to the 2011 Humboldt–Princeton Workshop on mathematical finance2013/03/01English