Pub Date : 2020-09-10DOI: 10.1007/s11579-021-00307-z
Olivier F'eron, P. Tankov, L. Tinsi
{"title":"Price formation and optimal trading in intraday electricity markets","authors":"Olivier F'eron, P. Tankov, L. Tinsi","doi":"10.1007/s11579-021-00307-z","DOIUrl":"https://doi.org/10.1007/s11579-021-00307-z","url":null,"abstract":"","PeriodicalId":48722,"journal":{"name":"Mathematics and Financial Economics","volume":"13 1","pages":"205 - 237"},"PeriodicalIF":1.6,"publicationDate":"2020-09-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"73523840","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2020-09-09DOI: 10.1007/s11579-022-00313-9
Felix-Benedikt Liebrich, Cosimo Munari
{"title":"Law-Invariant Functionals that Collapse to the Mean: Beyond Convexity","authors":"Felix-Benedikt Liebrich, Cosimo Munari","doi":"10.1007/s11579-022-00313-9","DOIUrl":"https://doi.org/10.1007/s11579-022-00313-9","url":null,"abstract":"","PeriodicalId":48722,"journal":{"name":"Mathematics and Financial Economics","volume":"27 1","pages":"447 - 480"},"PeriodicalIF":1.6,"publicationDate":"2020-09-09","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"80089793","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2020-09-07DOI: 10.1007/s11579-020-00280-z
A. Zimper, H. Assa
{"title":"Preferences over rich sets of random variables: on the incompatibility of convexity and semicontinuity in measure","authors":"A. Zimper, H. Assa","doi":"10.1007/s11579-020-00280-z","DOIUrl":"https://doi.org/10.1007/s11579-020-00280-z","url":null,"abstract":"","PeriodicalId":48722,"journal":{"name":"Mathematics and Financial Economics","volume":"52 1","pages":"353 - 380"},"PeriodicalIF":1.6,"publicationDate":"2020-09-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"72801296","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2020-07-01DOI: 10.1007/s11579-020-00272-z
Daron Acemoglu, A. Ozdaglar, James Siderius, A. Tahbaz-Salehi
{"title":"Systemic credit freezes in financial lending networks","authors":"Daron Acemoglu, A. Ozdaglar, James Siderius, A. Tahbaz-Salehi","doi":"10.1007/s11579-020-00272-z","DOIUrl":"https://doi.org/10.1007/s11579-020-00272-z","url":null,"abstract":"","PeriodicalId":48722,"journal":{"name":"Mathematics and Financial Economics","volume":"72 1","pages":"185 - 232"},"PeriodicalIF":1.6,"publicationDate":"2020-07-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"86321534","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2020-06-27DOI: 10.1007/s11579-020-00273-y
Nils Detering, T. Meyer-Brandis, K. Panagiotou, D. Ritter
{"title":"An integrated model for fire sales and default contagion","authors":"Nils Detering, T. Meyer-Brandis, K. Panagiotou, D. Ritter","doi":"10.1007/s11579-020-00273-y","DOIUrl":"https://doi.org/10.1007/s11579-020-00273-y","url":null,"abstract":"","PeriodicalId":48722,"journal":{"name":"Mathematics and Financial Economics","volume":"39 1","pages":"59 - 101"},"PeriodicalIF":1.6,"publicationDate":"2020-06-27","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"73286196","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2020-06-08DOI: 10.1007/s11579-020-00271-0
Tingjin Yan, Bingyan Han, Chi Seng Pun, H. Y. Wong
{"title":"Robust time-consistent mean–variance portfolio selection problem with multivariate stochastic volatility","authors":"Tingjin Yan, Bingyan Han, Chi Seng Pun, H. Y. Wong","doi":"10.1007/s11579-020-00271-0","DOIUrl":"https://doi.org/10.1007/s11579-020-00271-0","url":null,"abstract":"","PeriodicalId":48722,"journal":{"name":"Mathematics and Financial Economics","volume":"32 1","pages":"699 - 724"},"PeriodicalIF":1.6,"publicationDate":"2020-06-08","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"74460541","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2020-05-29DOI: 10.1007/s11579-020-00268-9
A. Gandy, L. Veraart
{"title":"Compound Poisson models for weighted networks with applications in finance","authors":"A. Gandy, L. Veraart","doi":"10.1007/s11579-020-00268-9","DOIUrl":"https://doi.org/10.1007/s11579-020-00268-9","url":null,"abstract":"","PeriodicalId":48722,"journal":{"name":"Mathematics and Financial Economics","volume":"158 1","pages":"131 - 153"},"PeriodicalIF":1.6,"publicationDate":"2020-05-29","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"82914210","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
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