It is a very good source for empirical studies on economics and finance. Please note that many of the page functionalities won't work as expected without javascript enabled. EndNote and Zotero are research management tools that helps you collect, organize, and share citations from library databases and catalogs. Therefore, this method appears to be a very reliable alternative and flexible to implement in solving the problem while preserving the physical properties of such realistic processes. We show how to numerically compute the solution and we analyze the effect of the volatility estimation on the strategy by computing the confidence curves around the optimal stopping boundary. The Feature Paper can be either an original research article, a substantial novel research study that often involves In this study, we first present a time-fractional L, In this article, we propose a super-fast computational algorithm for three-asset equity-linked securities (ELS) using the finite difference method (FDM). shouting policies of options with reset rights, Valuation

Q1 (green) comprises the quarter of the journals with the highest values, Q2 (yellow) the second highest values, Q3 (orange) the third highest values and Q4 (red) the lowest values. Deadline for manuscript submissions: closed (31 May 2020) | Viewed by 17704. Coverage is 1868 to current. Jennifer Hart The users of Scimago Journal & Country Rank have the possibility to dialogue through comments linked to a specific journal. Coverage is 1868 to current. This indicator counts the number of citations received by documents from a journal and divides them by the total number of documents published in that journal. Therefore, this article focuses mainly on capturing the discrete behavior of linear and nonlinear BlackScholes European option pricing models. 2022 Frontiers Media S.A. All rights reserved, Mathematics of Computation and Data Science, Numerical Analysis and Scientific Computation, Frontiers in Applied Mathematics and Statistics. of occupation times for CEV diffusions and pricing of a-quantile options, Real Content is available in many different languages, including Chinese, French, German, Japanese and Russian. Article database that indexes academic journals, trade publications, newspapers and magazines in business and economics. We have compared the results with the general approaches for the standard VaR, which has been the most suitable method for Moroccan stock investors up to now. papers, go to of FX Options, Calibrating volatility surfaces via relative-entropy minimization, Pricing Interest Rate Contingent Claims in Markets with We are a member of the London Graduate School of Mathematical Finance, co-organise the London Mathematical Finance Seminar series, and run the financial mathematics practitioner seminars. exercise policies of American floating and fixed strike lookback options, Pricing Authoritative, multidisciplinary content covers over 10,000 of the highest impact journals worldwide, including Open Access journals and over 110,000 conference proceedings. Uncertain Volatilities, Pricing and hedging derivative securities in markets with uncertain The Library has an extensive collections of mathematics and financial journals, both online and in print. execution strategy of liquidation, Pricing The high-tech boom and bust of the late 1990s followed by the housing and financial upheavals of 2008 have made a convincing case for the necessity of adopting broader assumptions in finance. Includes the Science Citation Expanded, Social Sciences Citation Index, and Arts & Humanities Citation Index. This result is at odds with the theory of classic rational bubbles, which are those models that rely on the fulfillment of the transversality condition by which a bubble in a financial asset can arise just at its first trade. These topics have been the focus of the PhD thesis of Mark DeSantis at the University of Pittsburgh. diffusion models for risky debts: quality spread differentials, Discussion To find them search by "journal title". This result is at. Sign up to receiveBy the Numb3rs,the Department of Mathematics e-newsletter. Submitted papers should be well formatted and use good English. limits, Convexity Stochastic processes. Mathematically, the execution of an American-style financial derivative is commonly reduced to solving an optimal stopping problem. For a complete list of all databases provided by the Library, visit the Database Finder. Dr Camilo Garcia TrillosDr Andrea MacrinaProf Carlo MarinelliDr Hao NiDr Neofytos RodosthenousDr Daniel SchwarzDr Alex Tse, University College London,Gower Street,London,WC1E 6BTTel:+44(0)20 7679 2000. A number of senior industry practitioners are affiliated to UCL Mathematics allowing regular exchange of ideas and updates on research problems which benefit from cooperation between academia and the industry. Publons users have indicated that they sit on Journal of Mathematical Finance's editorial board but we are unable to verify these claims. This research is disseminated through our Working Paper Series and our Publications. UCL research in financial mathematics is versatile and interdisciplinary as the nature of this dynamic field of mathematical science is. Scopus is an interdisciplinary, bibliographic database that indexes the contents of more than 15,000 journals in the physical sciences, engineering, earth and environmental sciences, life and health sciences, social sciences, psychology, business, and management. Traditionally, financial mathematics has been used to solve financial problems. Reviewing a manuscript? Email Jenny. The data envelopment analysis models proposed in the mutual funds literature do not generally set restrictions on the weights assigned to the input and output variables. Arts and Sciences Feature Papers represent the most advanced research with significant potential for high impact in the field. On the other hand, other important issues have called for the formulation of mathematical models for studying new issues that have become relevant, sometimes hot, in financial markets. Across the range one finds research projects and interests focusing on, e.g., asset pricing and hedging (fixed-income, equity, credit, commodities & emissions markets, insurance, etc. International Collaboration accounts for the articles that have been produced by researchers from several countries. prior to publication. The two years line is equivalent to journal impact factor (Thomson Reuters) metric. options with lookback payoff, Credit The purpose is to have a forum in which general doubts about the processes of publication in the journal, experiences and other issues derived from the publication of papers are resolved. In particular, a recent uptrend that is too steep has a negative influence on prices. 773-702-7569 The computed results are compared with available literature and the exact solution. In accordance with Journal of Mathematical Finance's editorial policy, review content is not publicly displayed on Publons. FDM has been used for pricing the one- and two-asset ELS because it is accurate. Now includes records from the Jahrbuch Database. Indexes journal articles and books in mathematics; more European in coverage than MathSciNet. Limit to "ejournals" for electronic access only. For topics on particular articles, maintain the dialogue through the usual channels with your editor. External citations are calculated by subtracting the number of self-citations from the total number of citations received by the journals documents. You'll find current and retrospective coverage in the sciences, social sciences, arts, and humanities, with coverage available to 1900. Thus, we find new models for the evaluation of credit risk of bonds and of bank loans, and models for the assessment of the sovereign risk.

We are active in research areas, which range from stochastic analysis and the theory of stochastic processes to more applied topics including the analysis and modelling of data sets. The data envelopment analysis models proposed in the mutual funds literature do.

of callable feature on early exercise policy, Accuracy The SJR is a size-independent prestige indicator that ranks journals by their 'average prestige per article'. An introduction to option pricing and the mathematical In addition, we provide a unified matrix representation for three widely used approaches on weight restrictions: virtual weight restrictions with constraints on all decision-making units (DMUs) (on all funds); virtual weight restrictions with constraints only on the target unit; assurance regions. Article database that includes trade publications, academic journals, industry profiles, country information and company profiles, which include SWOT analyses. We use cookies on our website to ensure you get the best experience. Numerical Methods for finance: probabilistic methods for non-linear PDE, numerical methods for BSDEs, model calibration. Web of Science is especially useful for its citation linking. barrier options and occupation time derivatives, Anatomy journal self-citations removed) received by a journal's published documents during the three previous years. Now includes records from the Jahrbuch Database. In the last few years, financial mathematics has become an important field for mathematicians. We have compared the results with the general approaches for the standard VaR, which has been the. stock option valuation with repricing features, Guaranteed Most of these papers have been in print for at least 2 years. Evolution of the number of total citation per document and external citation per document (i.e. By extracting the valuation, recent studies have shown that momentum trading (buying on uptrend) plays a strong role, as do money supply, changes in volume and several other variable. Editors Choice articles are based on recommendations by the scientific editors of MDPI journals from around the world. Ratio of a journal's items, grouped in three years windows, that have been cited at least once vs. those not cited during the following year. Department of Economics, Ca Foscari University of Venice, Cannaregio 873, 30121 Venice, Italy, Mathematically, the execution of an American-style financial derivative is commonly reduced to solving an optimal stopping problem. Does not allow reviews to be publicly displayed, Only allows reviewers to display the journal they reviewed for, Does not allow reviewers to sign or publicly display reviews of rejected publications subsequently published in another journal. The computational time is less than 6 s. We perform standard ELS option pricing and compare the results from the fast FDM with the ones from MCS. In order to be human-readable, please install an RSS reader. There are one-, two-, and three-asset ELS. participating policies with rate guarantees and bonuses, Valuation Advanced methods for pricing and hedgingof derivative securities: models with jumps and stochastic volatility, asymptotic methods in option pricing, model calibration, valuation of long-term equity contracts and investment strategies, market with imperfections (proportional transaction costs, delta constraint), Interest rate modeling: multi-factor models, multi-curve term structure models, impact of funding on interest rate derivatives, Systemic risk: network models of credit contagion, quantitative modeling of feedback effects, metrics for systemic risk, quantitative models of financial stability, Counterparty Credit risk, Collateral and Funding: Credit Value Adjustment (CVA), DVA, collateral requirements and their impact on pricing of derivatives, and consistent inclusion of funding costs (FVA); credit derivatives, Stochastic control and applications in finance, Liquidity risk: models of price impact and liquidity risk, liquidity-adjusted risk measures, liquidity-based pricing models. The purpose of this Special Issue is to establish a collection of articles that reflect the latest mathematical methods and models in the field of financial mathematics, a bridge between mathematical theory and its applications to finance. ELS is a very popular investment product in South Korea. Traditionally, financial mathematics has been used to solve financial problems. MDPI stays neutral with regard to jurisdictional claims in published maps and institutional affiliations. Research conducted in the Mathematical Finance section focuses on the quantitative modeling of financial markets and mathematical tools and theories -probability, statistics, partial differential equations, optimization, simulation- which underpin this modeling process. These methods calculate the maximum loss that a portfolio is likely to experience over a given time span. published in the various research areas of the journal. ), financial risk management, computational methods for finance and insurance, stochastic (partial) differential equations, control theory and applications, algorithmic finance, filtrations and information modelling, probabilistic numerical methods, rough path theory, statistical inference and machine learning, and research on heavy-tailed processes.

Using the unified matrix representation of the weights constraints, we formulate the data envelopment analysis (DEA ) efficiency model and express the efficient frontier in a unified way for the different weight restrictions considered. Data Source: Scopus, Explore, visually communicate and make sense of data with our, Metrics based on Scopus data as of April 2022. As the main contribution, this paper proposes a novel efficiency estimation framework for securities companies based on data envelopment analysis (DEA), which takes into account operational risks and technical heterogeneity. The chart shows the evolution of the average number of times documents published in a journal in the past two, three and four years have been cited in the current year. 301 Thackeray Hall multi-asset extensions, Effects No special permission provided that the original article is clearly cited. Their use leads to the best overall performance than the BH portfolio. Accurate assessment of the efficiency of securities companies is of great significance to improve the competitiveness of companies, due to their increasingly important role in supporting economic development. multiple stopping models of reload options and shout options, Employee Name On the one hand, the development of mathematical and probabilistic models for finance have allowed to make progress in the classical fields of financial mathematics. Accepted papers will be published continuously in the journal (as soon as accepted) and will be listed together on the special issue website. For further information on our research activities,browse the list of ourresearch publications or visit thepersonal homepagesof our academic staff. The computed results revealed that the current method seems to be quite strong both quantitatively and qualitatively with minimal computational effort. Find items in all campus libraries, including books, periodicals, sound recordings, videos, DVDs and more. The Dietrich School of Papers are submitted upon individual invitation or recommendation by the scientific editors and undergo peer review We can put registered members of Publons' reviewer community in touch with partnered journals they would like to review for. Evolution of the number of published documents. The author with the most articles is Khare from the Indian Institute of Management Rohtak. Note (10/1999): With this objective, a bibliometric methodology of 1486 articles from the Scopus database was applied. Covers all areas of the sciences and social sciences with coverage available to 1900. If you are an administrator for Journal of Mathematical Finance, please get in touch to find out how you can verify the contributions of your editorial board members and more. front-fixing finite difference method for the valuation of American Accurate assessment of the efficiency of securities companies is of great significance to improve the competitiveness of companies, due to their increasingly important role in supporting economic development. Current research topics in the section include: Stochastic analysis and Probability theory:Functional Ito calculus, path-dependent partial differential equations, Backward Stochastic Differential Equations, Malliavin calculus. The statements, opinions and data contained in the journal, 1996-2022 MDPI (Basel, Switzerland) unless otherwise stated. In the present paper, we review the use of two-state, Generalized Auto Regressive Conditionally Heteroskedastic Markovian stochastic processes (MS-GARCH). A guide for authors and other relevant information for submission of manuscripts is available on the Instructions for Authors page. The Article Processing Charge (APC) for publication in this open access journal is 1800 CHF (Swiss Francs). Access the Research Publications from the Mathematical Finance Group, Explore the Mathematical Finance Group Working Papers Series, South Kensington CampusLondon SW7 2AZ, UKtel: +44 (0)20 7589 5111 of employee reload options using utility maximization framework, Integral With globalization, financial transactions require new analysis based on tools of probability, statistics, and economic theory. derivative securities: the Lagrangian Uncertain Volatility Model, Dynamic hedging with transaction costs: from lattice models Math Assistance Center/Posvar Computing Lab, Information for Incoming Graduate Students. It measures the scientific influence of the average article in a journal, it expresses how central to the global scientific discussion an average article of the journal is. Check out our author guidelines for everything you need to know about submission, from choosing a journal and section to preparing your manuscript. A special issue of Mathematics (ISSN 2227-7390). In this paper, we study the effects of the introduction of different weight restrictions on the results of the performance evaluation of mutual funds. Register now to let Journal of Mathematical Finance know you want to review for them. These show the quantitative model of an active stock trading algorithm in the three main Latin-American stock markets (Brazil, Chile, and Mexico). Manuscripts can be submitted until the deadline. The most prolific affiliation is the British University of Oxford. price formulas for lookback options, Options EconLit indexes articles from economics journals, books, book chapters, dissertations and working papers. In this article, we propose a super-fast computational algorithm for three-asset equity-linked securities (ELS) using the finite difference method (FDM). Find support for a specific problem in the support section of our website. The three-asset ELS is the most. Our work advances those modeling methods with supplementation by inputs from the ETL approach for application to the Moroccan stock market portfoliothe Moroccan All Shares Index (MASI). ELS is a very popular investment product in South Korea. We investigate the effects of the different weight restrictions on the performance evaluation by means of an empirical application on a set of European mutual funds. several techniques or approaches, or a comprehensive review paper with concise and precise updates on the latest Journal Self-citation is defined as the number of citation from a journal citing article to articles published by the same journal. Follow us on @ScimagoJRScimago Lab, Copyright 2007-2022. A rapidly growing area of mathematical finance is quantitative behavioral finance. Global research trends in this topic during the period 19352019 have been analyzed. In addition, new models to assess the performance of mutual funds makes use of different approaches drawn from different fieldsamong these data envelopment analysisand allows to study socially-responsible investments. Since financial engineering problems are of great importance in the academic community, effective methods are still needed to analyze these models. Provides comprehensive coverage from 1940 and includes bibliographic data from retrodigitized articles dating back to the early 1800s. Use the following links toaccess specific journals or look up journal title abbreviations. Feature of optimal stopping regions of American path dependent options, Optimal arbitrage strategies on stock index futures under position 2022 Imperial College London, Multidisciplinary networks, centres and institutes, seminars and numerous conferences and workshops, Imperial College Academic Health Science Centre. Subscribe to receive issue release notifications and newsletters from MDPI journals, You can make submissions to other journals. We are active in research areas, which range from stochastic analysis and the theory of stochastic processes to more applied topics including the analysis and modelling of data. of guaranteed annuity options in affine term structure models, Distribution Global research trends in this topic during the period 19352019 have been analyzed. Subsequently, the meta-frontier model is introduced to consider the impact of the technical heterogeneity of different companies to improve the accuracy of the assessment. Help us to further improve by taking part in this short 5 minute survey, Special Issues, Collections and Topics in MDPI journals, Discounted Optimal Stopping of a Brownian Bridge, with Application to American Options under Pinning, Markov-Switching Stochastic Processes in an Active Trading Algorithm in the Main Latin-American Stock Markets, Global Research Trends in Financial Transactions, Efficiency of Chinas Listed Securities Companies: Estimation through a DEA-Based Method, Fractional Partial Differential Equations Associated with L, Super-Fast Computation for the Three-Asset Equity-Linked Securities Using the Finite Difference Method, A New Approach for the BlackScholes Model with Linear and Nonlinear Volatilities, Introducing Weights Restrictions in Data Envelopment Analysis Models for Mutual Funds, Advanced Expected Tail Loss Measurement and Quantification for the Moroccan All Shares Index Portfolio, On the Inception of Financial Representative Bubbles. The three-asset ELS is the most popular financial product among them. For more recent model with stochastic intensity, Lattice Not every article in a journal is considered primary research and therefore "citable", this chart shows the ratio of a journal's articles including substantial research (research articles, conference papers and reviews) in three year windows vs. those documents other than research articles, reviews and conference papers.

In this paper, we have analyzed and tested the Expected Tail Loss (ETL) approach for the Value at Risk (VaR) on the Moroccan stock market portfolio.