Printed from https://ideas.repec.org/s/spr/decfin2.html
Content
May 2018, Volume 41, Issue 1
- 1-17 Optimal strategy for a fund manager with option compensation
by Marco Nicolosi - 19-34 Classic rational bubbles and representativeness
by Massimiliano Ferrara & Bruno Antonio Pansera & Francesco Strati - 35-63 Real options signaling game models for dynamic acquisition under information asymmetry
by Chi Man Leung & Yue Kuen Kwok - 65-90 Market consistent valuations with financial imperfection
by Hirbod Assa & Nikolay Gospodinov
November 2017, Volume 40, Issue 1
- 1-30 An iterative computational scheme for solving the coupled Hamilton–Jacobi–Isaacs equations in nonzero-sum differential games of affine nonlinear systems
by M. D. S. Aliyu - 31-52 Reaching nirvana with a defaultable asset?
by Anna Battauz & Marzia Donno & Alessandro Sbuelz - 53-62 CLO replenishment regarded as linear optimisation problem
by Claas Becker - 63-79 Differentiated oligopolistic markets with concave cost functions via Ky Fan inequalities
by Giancarlo Bigi & Mauro Passacantando - 81-101 Generating the efficient frontier of a class of bicriteria generalized fractional programming
by Riccardo Cambini & Laura Carosi & Laura Martein - 103-113 Necessary conditions for nonsmooth multiobjective semi-infinite problems using Michel–Penot subdifferential
by Giuseppe Caristi & Massimiliano Ferrara - 115-143 Approximating exact expected utility via portfolio efficient frontiers
by Alessandra Carleo & Francesco Cesarone & Andrea Gheno & Jacopo Maria Ricci - 145-158 Pseudoconvexity on a closed convex set: an application to a wide class of generalized fractional functions
by Laura Carosi - 159-175 A migration equilibrium model with uncertain data and movement costs
by A. Causa & B. Jadamba & F. Raciti - 177-198 Robust games: theory and application to a Cournot duopoly model
by Giovanni Paolo Crespi & Davide Radi & Matteo Rocca - 199-229 Existence of optimal strategies in linear multisector models with several consumption goods
by Giuseppe Freni & Fausto Gozzi & Neri Salvadori - 231-242 Cyclically monotone equilibrium problems and Ekeland’s principle
by Massimiliano Giuli - 243-256 Genetic algorithm versus classical methods in sparse index tracking
by Margherita Giuzio - 257-275 A set optimization approach to utility maximization under transaction costs
by Andreas H. Hamel & Sophie Qingzhen Wang - 277-299 Convex and convex-like optimization over a range inclusion problem and first applications
by Hocine Mokhtar-Kharroubi - 301-315 An axiomatization of continuous quasilinear utility
by Yann Rébillé - 317-333 A differential game in a duopoly with instantaneous incentives
by Luca Grilli & Michele Bisceglia - 335-349 Iterated Kalai–Smorodinsky–Nash compromise
by Ismail Saglam - 351-373 Weighted average price in the Heston stochastic volatility model
by M. Papi & L. Pontecorvi & C. Donatucci - 375-395 Convex incentives in financial markets: an agent-based analysis
by Annalisa Fabretti & Tommy Gärling & Stefano Herzel & Martin Holmen
November 2016, Volume 39, Issue 2
- 113-142 Estimation of the regression slope by means of Gini’s cograduation index
by D. Michele Cifarelli - 143-174 Diversification preferences in the theory of choice
by Enrico G. De Giorgi & Ola Mahmoud - 175-202 Throwing good money after bad
by Luca Rigotti & Matthew Ryan & Rhema Vaithianathan - 203-234 Isometric operators on Hilbert spaces and Wold decomposition of stationary time series
by Federico Severino - 235-258 Capital allocation to alternatives with a multivariate ladder gamma return distribution
by John A. Buzacott - 259-291 Real options game models of R&D competition between asymmetric firms with spillovers
by Chi Man Leung & Yue Kuen Kwok - 293-310 Consumption optimization for recursive utility in a jump-diffusion model
by Fabio Antonelli & Carlo Mancini - 311-325 The link between the Shapley value and the beta factor
by Karl Michael Ortmann - 327-331 A note on portfolio selection and stochastic dominance
by Mario Menegatti - 333-336 A short proof of Deb’s Theorem on Schwartz’s rule
by Athanasios Andrikopoulos
April 2016, Volume 39, Issue 1
- 33-67 The pricing of lookback options and binomial approximation
by Karl Grosse-Erdmann & Fabien Heuwelyckx - 69-80 On the choice between two delta-hedging strategies
by Liang Hong - 95-103 A representation of risk measures
by Massimiliano Amarante
October 2015, Volume 38, Issue 2
- 119-146 Term structure of interest rates estimation using rational Chebyshev functions
by Polychronis Manousopoulos & Michalis Michalopoulos - 147-176 Prepayment risk on callable bonds: theory and test
by Pascal François & Sophie Pardo - 177-195 Stochastic control model for R&D race in a mixed duopoly with spillovers and knowledge stocks
by Jingjing Wang & Chi Leung & Yue Kwok - 197-215 A model of information flows and confirmatory bias in financial markets
by Mark Bowden - 217-230 Risk management under a prudential policy
by Hirbod Assa - 231-255 Computing the distribution of the sum of dependent random variables via overlapping hypercubes
by Marcello Galeotti
April 2015, Volume 38, Issue 1
- 1-19 Markets with random lifetimes and private values: mean reversion and option to trade
by Jakša Cvitanić & Charles Plott & Chien-Yao Tseng - 21-37 Gambling in contests modelled with diffusions
by Han Feng & David Hobson - 39-54 On a fuzzy cash flow model with insurance applications
by Daniela Ungureanu & Raluca Vernic - 55-73 Rent-seeking group contests with one-sided private information
by Rob Everhardt & Lambert Schoonbeek - 75-91 Financial economics without probabilistic prior assumptions
by Frank Riedel - 93-118 Using Value-at-Risk to reconcile limited liability and the moral-hazard problem
by Vanda Tulli & Gerd Weinrich
October 2014, Volume 37, Issue 2
- 195-234 Numeraire portfolios and utility-based price systems under proportional transaction costs
by Jörn Sass & Manfred Schäl - 235-254 Estimating overnight volatility of asset returns by using the generalized dynamic factor model approach
by Umberto Triacca & Fulvia Focker - 255-286 Selecting stochastic mortality models for the Italian population
by Paola Biffi & Gian Clemente - 287-318 The restricted convex risk measures in actuarial solvency
by Dimitrios Konstantinides & Christos Kountzakis - 319-327 Symmetry and Bates’ rule in Ornstein–Uhlenbeck stochastic volatility models
by José Fajardo - 329-340 Hedging and the competitive firm under correlated price and background risk
by Kit Wong - 341-348 A note on the existence of CAPM equilibria with homogeneous cumulative prospect theory preferences
by Matteo Del Vigna - 349-371 Existence of financial equilibria with endogenous short selling restrictions and real assets
by Michele Gori & Marina Pireddu & Antonio Villanacci - 373-384 Portfolio optimization for an investor with a benchmark
by R. Korn & C. Lindberg - 385-391 Saving motives and multivariate precautionary premia
by Christophe Courbage - 393-412 An application of nonparametric volatility estimators to option pricing
by Romuald Kenmoe & Simona Sanfelici - 413-421 Production and hedging in futures markets with multiple delivery specifications
by Kit Wong - 423-452 Measuring and adjusting for overconfidence
by P. Schanbacher - 453-474 Optimal portfolio choice and consistent performance
by Xianzhe Chen & Weidong Tian
April 2014, Volume 37, Issue 1
- 1-2 Foreword to the special issue on nonlinear economic dynamics
by Gian Bischi & Jose Cánovas & Michael Kopel - 3-26 Expectations and industry location: a discrete time dynamical analysis
by Anna Agliari & Pasquale Commendatore & Ilaria Foroni & Ingrid Kubin - 27-51 One-dimensional maps with two discontinuity points and three linear branches: mathematical lessons for understanding the dynamics of financial markets
by Fabio Tramontana & Frank Westerhoff & Laura Gardini - 53-79 Discrete-time delay dynamics of boundedly rational monopoly
by Akio Matsumoto & Ferenc Szidarovszky - 81-98 Endogenous lifetime, accidental bequests and economic growth
by Luciano Fanti & Luca Gori & Fabio Tramontana - 99-123 Property rights for natural resources and sustainable growth in a two-country trade model
by F. Cabo & G. Martín-Herrán & M. Martínez-García - 125-136 Heterogeneous expectations and debt in a growth model for a small open economy
by Michael Wegener - 137-158 Relational consumption and nonlinear dynamics in an overlapping generations model
by Angelo Antoci & Mauro Sodini & Luca Zarri - 159-179 Indeterminacy and nonlinear dynamics in an OLG growth model with endogenous labour supply and inherited tastes
by Luca Gori & Mauro Sodini - 181-193 Nonparametric correlation integral–based tests for linear and nonlinear stochastic processes
by Mariano Matilla-García & Manuel Ruiz Marín & Mohammed Dore & Rina Ojeda
November 2013, Volume 36, Issue 2
- 99-124 An optimal insurance design problem under Knightian uncertainty
by Carole Bernard & Shaolin Ji & Weidong Tian - 125-136 The firm under uncertainty: real and financial decisions
by Udo Broll & Kit Wong - 137-167 Robustness for path-dependent volatility models
by Mauro Rosestolato & Tiziano Vargiolu & Giovanna Villani - 169-197 Investment and capital structure decisions of foreign subsidiary with international debt shifting and exchange rate uncertainty
by Masaaki Kijima & Yuan Tian - 199-224 Multidimensional quasi-Monte Carlo Malliavin Greeks
by Nicola Cufaro Petroni & Piergiacomo Sabino
May 2013, Volume 36, Issue 1
- 1-21 Optimal portfolio selection via conditional convex risk measures on L p
by Beatrice Acciaio & Verena Goldammer - 23-37 Performance of investment strategies in the absence of correct beliefs
by Çisem Bektur - 39-46 Investing equally in risk
by Carl Lindberg - 47-70 Option-based risk management of a bond portfolio under regime switching interest rates
by Fabio Antonelli & Alessandro Ramponi & Sergio Scarlatti - 71-88 Pricing VIX options with stochastic volatility and random jumps
by Guang-Hua Lian & Song-Ping Zhu - 89-98 Stackelberg problems with followers in the grand coalition of a Tu-game
by C. Pensavalle & G. Pieri
November 2012, Volume 35, Issue 2
- 91-111 Portfolio optimization in a defaultable market under incomplete information
by Giorgia Callegaro & Monique Jeanblanc & Wolfgang Runggaldier - 113-149 How should a convertible bond be decomposed?
by Song-Ping Zhu & Jing Zhang - 151-170 Optimal investment for executive stockholders with exponential utility
by Sascha Desmettre - 171-202 Valuation of fixed and variable rate mortgages: binomial tree versus analytical approximations
by Werner Hürlimann
May 2012, Volume 35, Issue 1
- 1-28 Risk aversion and risk vulnerability in the continuous and discrete case
by Martin Bohner & Gregory Gelles - 29-58 Exchange rate bifurcation in a stochastic evolutionary finance model
by Gregory Gagnon - 59-73 On the linearity of the wage–profit relation in a Sraffa’s model: a mathematical summing-up
by G. Giorgi & C. Zuccotti - 75-89 Privatization of businesses and flexible investment: a real option approach
by Walailuck Chavanasporn & Christian-Oliver Ewald
November 2011, Volume 34, Issue 2
- 85-120 Utility indifference valuation for jump risky assets
by Claudia Ceci & Anna Gerardi - 121-139 Allocation of public funds to R&D: a portfolio choice-styled decision model and a biotechnology case study
by Dmitriy Volinskiy & Michele Veeman & Wiktor Adamowicz - 141-168 Optimal portfolio choice in the presence of domestic systemic risk: empirical evidence from stock markets
by Marcel Prokopczuk
May 2011, Volume 34, Issue 1
- 1-20 A customer’s utility measure based on the reliability of multi-state systems
by Guglielmo D’Amico & Giuseppe Di Biase & Raimondo Manca - 21-40 Continuous-time mean-variance portfolio optimization in a jump-diffusion market
by Özge Alp & Ralf Korn - 41-65 Real options game analysis of sleeping patents
by Chi Leung & Yue Kwok - 67-84 On robust asymmetric equilibria in asymmetric R&D-driven growth economies
by Paolo Giordani & Luca Zamparelli
November 2010, Volume 33, Issue 2
- 81-95 Adaptive algorithms for maximizing overall stock return
by Charles Lee & Kristy Tran - 97-116 Dynamic voluntary provision of public goods with uncertainty: a stochastic differential game model
by Wen-Kai Wang & Christian-Oliver Ewald - 117-138 Sensitivities for Bermudan options by regression methods
by Denis Belomestny & G. Milstein & John Schoenmakers - 139-147 Mixture sets on finite domains
by Matthew Ryan - 149-167 A closed-form solution for the continuous-time consumption model with endogenous labor income
by Aihua Zhang
May 2010, Volume 33, Issue 1
- 1-5 Eugenio Levi and his scientific production: a note on the occasion of the 40th anniversary of his death
by Paola Modesti - 7-21 Some new characterization of rational expectation equilibria in economies with asymmetric information
by Anna De Simone & Ciro Tarantino - 23-47 Optimal prepayment and default rules for mortgage-backed securities
by Giulia De Rossi & Tiziano Vargiolu - 49-61 An improved combinatorial approach for pricing Parisian options
by Yuh-Dauh Lyuu & Cheng-Wei Wu - 63-79 Explicit formulas for the minimal variance hedging strategy in a martingale case
by Flavio Angelini & Stefano Herzel
November 2009, Volume 32, Issue 2
- 79-81 Memory of Jean-Yves Jaffray
by M. Cohen - 83-128 An equilibrium model of insider trading in continuous time
by Roberto Monte & Barbara Trivellato - 129-148 Pricing American barrier options with discrete dividends by binomial trees
by Marcellino Gaudenzi & Antonino Zanette - 149-160 The predictive power of fund ratings with a novel approach using uncertainty measures to analyzing risk
by Virginie Terraza & Carole Toque - 161-181 Computationally simple lattice methods for option and bond pricing
by Massimo Costabile & Arturo Leccadito & Ivar Massabó
May 2009, Volume 32, Issue 1
- 1-4 Obituary
by Achille Basile - 5-12 Arbitrage in stationary markets
by Igor Evstigneev & Dhruv Kapoor - 13-33 Knightian uncertainty and insurance regulation decision
by An Chen & Xia Su - 35-48 A scenario-based integrated approach for modeling carbon price risk
by Zili Zhu & Paul Graham & Luke Reedman & Thomas Lo - 49-65 Efficient quasi-Monte simulations for pricing high-dimensional path-dependent options
by Piergiacomo Sabino - 67-78 On the computability of quasi-transitive binary social choice rules in an infinite society and the halting problem
by Yasuhito Tanaka
November 2008, Volume 31, Issue 2
- 81-94 Unawareness, priors and posteriors
by Salvatore Modica - 95-115 Axiomatic approach to approximate solutions in multiobjective optimization
by E. Miglierina & E. Molho & F. Patrone & S. Tijs - 117-136 Approximate equilibrium in pure strategies for a two-stage game of asset creation
by Marta Faias - 137-170 Optimal consumption and investment under partial information
by Wolfgang Putschögl & Jörn Sass
May 2008, Volume 31, Issue 1
- 1-11 The competitive firm under price uncertainty: the role of information and hedging
by Udo Broll & Bernhard Eckwert - 13-32 Path dependent volatility
by Paolo Foschi & Andrea Pascucci - 33-49 A moments and strike matching binomial algorithm for pricing American Put options
by Benjamin Jourdain & Antonino Zanette - 51-72 The optimal capital structure of the firm with stable Lévy assets returns
by Olivier Le Courtois & François Quittard-Pinon - 73-79 A note on arbitrage in term structure
by Miklós Rásonyi
November 2007, Volume 30, Issue 2
- 109-136 Default-risky bond prices with jumps, liquidity risk and incomplete information
by Monique Jeanblanc & Stoyan Valchev - 137-150 On the smoothness of optimal paths II: some local turnpike results
by Joël Blot & Bertrand Crettez
May 2007, Volume 30, Issue 1
- 1-18 Linear cumulative prospect theory with applications to portfolio selection and insurance demand
by Ulrich Schmidt & Horst Zank - 19-49 The origins of the mean-variance approach in finance: revisiting de Finetti 65 years later
by Flavio Pressacco & Paolo Serafini - 51-70 Core equivalence theorem: countably many types of agents and commodities in $\vec{L}^{1}(\mu)$
by Anna Martellotti - 71-78 Shortfall risk minimization in a discrete regime switching model
by Gerard Awanou
November 2006, Volume 29, Issue 2
- 139-153 On pricing lookback options under the CEV process
by Massimo Costabile - 155-160 On the relationship between absolute prudence and absolute risk aversion
by Mario Maggi & Umberto Magnani & Mario Menegatti
May 2006, Volume 29, Issue 1
- 1-21 The completion of security markets
by Christos Kountzakis & Ioannis Polyrakis - 23-54 Taxes and money in incomplete financial markets
by Elena Mercato & Antonio Villanacci - 55-69 Notes and Comments: Stochastic demand correspondences and their aggregation properties
by José Alcantud
February 2006, Volume 28, Issue 2
- 79-93 Homogeneous semi-Markov reliability models for credit risk management
by Guglielmo D’Amico & Jacques Janssen & Raimondo Manca - 95-112 An overlapping generations model with non-ordered preferences and numeraire-incomplete markets
by Abdelkrim Seghir - 113-127 Notes and Comments: An approximation of caplet implied volatilities in Gaussian models
by Flavio Angelini & Stefano Herzel
June 2005, Volume 28, Issue 1
- 53-65 Notes and Comments: Measures of risk attitude: correspondences between mean-variance and expected-utility approaches
by Thomas Eichner & Andreas Wagener - 67-78 Notes and Comments: Sup-convolutions of HARA utilities in the affine term structure
by Martino Grasselli
December 2004, Volume 27, Issue 2
- 87-107 Weak convergence of tree methods, to price options on defaultable assets
by J.W. Nieuwenhuis & M.H. Vellekoop - 109-123 Arbitrage pricing theory and risk-neutral measures
by Miklós Rásonyi - 125-151 Galerkin infinite element approximation for pricing barrier options and options with discontinuous payoff
by Simona Sanfelici - 153-166 Conditional comonotonicity
by Elyès Jouini & Clotilde Napp
August 2004, Volume 27, Issue 1
- 1-34 On the smoothness of optimal paths
by Joël Blot & Bertrand Crettez - 35-56 A two-step simulation procedure to analyze the exercise features of American options
by Antonella Basso & Martina Nardon & Paolo Pianca - 57-80 Arbitrage and completeness in financial markets with given N-dimensional distributions
by Luciano Campi - 81-85 Notes and Comments: On the uniqueness of convex-ranged probabilities
by Massimiliano Amarante
November 2003, Volume 26, Issue 2
- 81-96 Insuring against the shortfall risk associated with real options
by Heinz Weisshaupt - 97-128 Income taxation when markets are incomplete
by Mario Tirelli - 129-144 Representing complete and incomplete subjective linear preferences on random numbers
by Bruno Girotto & Silvano Holzer - 145-152 Notes and Comments: Profitability in a multiple strategy market
by Giacomo Aletti & Vincenzo Capasso - 153-166 Notes and Comments: The numeraire portfolio in financial markets modeled by a multi-dimensional jump diffusion process
by Ralf Korn & Frank Oertel & Manfred Schäl
November 2001, Volume 24, Issue 2
- 79-105 Arbitrage, linear programming and martingales¶in securities markets with bid-ask spreads
by Fulvio Ortu - 107-126 Efficient Monte Carlo pricing of European options¶using mean value control variates
by P. Pellizzari - 127-136 Option pricing by large risk aversion utility¶under transaction costs
by B. Bouchard & Yu. M. Kabanov & N. Touzi - 137-152 The rational expectation dynamics of a model for the term structure and monetary policy
by Luisa Malaguti & Costanza Torricelli - 153-158 An algorithm for winning coalitions in indirect control of corporations
by Nando Prati & Enrico Denti
2001, Volume 24, Issue 1
- 49-59 notes and comments: A discrete-time algorithmfor pricing double barrier options
by Massimo Costabile
May 2001, Volume 24, Issue 1
- 1-19 Optimality in a financial economy with outside money and restricted participation
by Laura Carosi - 21-39 Asset pricing with endogenous aspirations
by Fabio Antonelli & Emilio Barucci & Maria Elvira Mancino - 41-47 Homothetic preferences on star-shaped sets
by Fabio Maccheroni - 49-58 A discrete-time algorithm for pricing double barrier options
by Massimo Costabile - 59-69 A note on mixture sets in decision theory
by Philippe Mongin - 71-77 On the use of capacities in representing premium calculation principles
by Marta Cardin & Paola Ferretti
2000, Volume 23, Issue 2
- 75-99 Option pricing with stochastic volatility models
by Stefano Herzel - 101-120 Measuring the set of blocking coalitions in infinite dimensional economies
by Maria Gabriella Graziano - 121-132 A uniqueness theorem for convex-ranged probabilities
by Massimo Marinacci - 133-150 Linearity properties of a three-moments portfolio model
by Flavio Pressacco & Patrizia Stucchi
2000, Volume 23, Issue 1
- 1-13 Testable consequences of economic theory
by Ivar Ekeland - 15-29 Normal approximations by Stein's method
by Yosef Rinott & Vladimir Rotar - 31-52 Volatility estimation from observed option prices
by Phelim P. Boyle & Draviam Thangaraj - 53-74 Decision analysis using targets instead of utility functions
by Robert Bordley & Marco LiCalzi
March 1999, Volume 22, Issue 1
- 5-11 Existence of a convex extension of a preference relation
by Paolo Scapparone - 13-30 On local relative stability of large sistems with small parameters. The example of a classical model of competition
by Luciano Boggio - 31-39 η-Pseudolinearity
by Qamrul Ansari & Siegfried Schaible & Jen-Chih Yao - 41-75 Qualitative parametric optimization for applications
by Piera Mazzoleni - 77-99 Stress testing techniques and value-at-risk measures: A unified approach
by Umberto Cherubini & Giovanni Lunga - 101-108 A note on direct term structure estimation using monotonic splines
by Luca Barzanti & Corrado Corradi - 111-112 Ricordo del Prof. Mario Volpato
by Giovanni Castellani
June 1998, Volume 21, Issue 1
- 3-23 Two stage rationality under risk: Experimental results and perspectives
by Bertrand Munier - 25-48 A three-moment based portfolio selection model
by Andrea Gamba & Francesco Rossi - 49-71 Optimal auctions under collusion of buyers with discrete valuations
by Domenico Menicucci - 73-95 Swap pricing and hedging of general DCFs
by Elisa Luciano - 97-123 Directed hypergraphs as a modelling paradigm
by Giorgio Gallo & Maria Scutellà - 125-146 Pricing dynamic solvency insurance and investment fund protection
by Hans Gerber & Gérard Pafumi - 147-164 Convergence problems in stochastic programming models with probabilistic constraints
by Giovanna Redaelli
September 1997, Volume 20, Issue 2
- 125-131 Monotonicity preserving regression techniques for interest rate term structure estimation: A note
by Luca Barzanti & Corrado Corradi - 133-151 On optimal investiment strategies
by Hans Gerber & Elias Shiu - 153-158 Vitali’s early contribution to non-additive integration
by Massimo Marinacci - 159-168 On the definition of integral of functions of one variable
by Giuseppe Vitali - 169-185 Su Una Estensione Bidimensionale del Teorema di Scomposizione di Peccati
by Flavio Pressacco & Patrizia Stucchi
June 1997, Volume 20, Issue 1
- 3-21 Futures options with futures-style margining in the Gaussian models setting
by Maria Iovino