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Decisions in Economics and Finance

A Journal of Applied Mathematics

Short Title: Decis. Econ. Finance
Publisher: Springer, Milan
ISSN: 1593-8883; 1129-6569/e
Online: http://link.springer.com/journal/volumesAndIssues/10203
Predecessor: Rivista di Matematica per le Scienze Economiche e Sociali
Comments: Indexed cover-to-cover
Documents Indexed: 314 Publications (since 2000)
References Indexed: 276 Publications with 6,999 References.
all top 5

Authors

5 Sodini, Mauro
4 Carosi, Laura
4 Costabile, Massimo
4 Herzel, Stefano
4 Kwok, Yue-Kuen
4 Leung, Chi Man
4 Mancino, Maria Elvira
4 Naimzada, Ahmad K.
4 Pressacco, Flavio
4 Zanette, Antonino
3 Alòs, Elisa
3 Antonelli, Fabio
3 Ferrara, Massimiliano
3 Gori, Luca
3 Guerrini, Luca
3 Matsumoto, Akio
3 Menegatti, Mario
3 Michetti, Elisabetta
3 Sibillo, Marilena
3 Szidarovszky, Ferenc P.
3 Tramontana, Fabio
3 Vargiolu, Tiziano
3 Wong, Kit Pong
2 Alcantud, José Carlos Rodríguez
2 Amarante, Massimiliano
2 Andrikopoulos, Athanasios
2 Angelini, Flavio
2 Assa, Hirbod
2 Bernard, Carole
2 Biancardi, Marta Elena
2 Bisceglia, Michele
2 Blot, Joël
2 Broll, Udo
2 Brunelli, Matteo
2 Cambini, Riccardo
2 Cassese, Gianluca
2 Cavallo, Bice
2 Cerboni Baiardi, Lorenzo
2 Corazza, Marco
2 Crettez, Bertrand
2 Dal Forno, Arianna
2 D’Amico, Guglielmo
2 De Donno, Marzia
2 Ewald, Christian-Oliver
2 Fajardo, José
2 Fanti, Luciano
2 Fedrizzi, Michele
2 Figà-Talamanca, Gianna
2 Galeotti, Marcello
2 Gardini, Laura
2 Gaudenzi, Marcellino
2 Gori, Michele
2 Grane, Aurea
2 Grasselli, Martino
2 Grassetti, Francesca
2 Graziano, Maria Gabriella
2 Grilli, Luca
2 Hobson, David G.
2 Jeanblanc, Monique
2 Korn, Ralf
2 Kountzakis, Christos E.
2 le Courtois, Olivier
2 Leccadito, Arturo
2 Maddalena, Lucia
2 Mammana, Cristiana
2 Manca, Raimondo
2 Marinacci, Massimo
2 Modica, Salvatore
2 Montrucchio, Luigi
2 Nardon, Martina
2 Pansera, Bruno Antonio
2 Patacca, Marco
2 Pianca, Paolo
2 Pireddu, Marina
2 Quittard-Pinon, François
2 Radi, Davide
2 Rásonyi, Miklós
2 Rigo, Pietro
2 Ryan, Matthew J.
2 Sabino, Piergiacomo
2 Sanfelici, Simona
2 Sass, Jörn
2 Schäl, Manfred
2 Strati, Francesco
2 Tian, Weidong
2 Villanacci, Antonio
2 Wang, Tai-Ho
2 Westerhoff, Frank H.
2 Zhu, Songping
1 Acciaio, Beatrice
1 Adamowicz, Wiktor L.
1 Agliari, Anna
1 Albano, Giuseppina
1 Albeverio, Sergio A.
1 Aleandri, Marco
1 Aletti, Giacomo
1 Alitab, Dario
1 Aliyu, M. D. S.
1 Aloqeili, Marwan
1 Alp, Özge Sezgin
...and 412 more Authors

Publications by Year

Citations contained in zbMATH Open

148 Publications have been cited 621 times in 592 Documents Cited by Year
Knightian decision theory. I. Zbl 1041.91023
Bewley, Truman F.
110
2002
Decision analysis using targets instead of utility functions. Zbl 1051.91503
Bordley, Robert; LiCalzi, Marco
28
2000
Homogeneous semi-Markov reliability models for credit risk management. Zbl 1125.91341
D’Amico, Guglielmo; Janssen, Jacques; Manca, Raimondo
16
2005
Optimal consumption and investment under partial information. Zbl 1165.91410
Putschögl, Wolfgang; Sass, Jörn
14
2008
Conditional comonotonicity. Zbl 1063.60002
Jouini, Elyès; Napp, Clotilde
13
2004
The Aubin private core of differential information economies. Zbl 1125.91383
Graziano, Maria Gabriella; Meo, Claudia
12
2005
Normal approximations by Stein’s method. Zbl 0985.60024
Rinott, Yosef; Rotar, Vladimir
12
2000
Option pricing by large risk aversion utility under transaction costs. Zbl 1011.91043
Bouchard, B.; Kabanov, Yu. A.; Touzi, N.
12
2001
A bidimensional approach to mortality risk. Zbl 1160.91366
Biffis, Enrico; Millossovich, Pietro
11
2006
Financial economics without probabilistic prior assumptions. Zbl 1398.91613
Riedel, Frank
10
2015
Efficient Monte Carlo pricing of European options using mean value control variates. Zbl 1010.91051
Pellizzari, P.
9
2001
Optimal impulse control for cash management with quadratic holding-penalty costs. Zbl 1016.93071
Baccarin, Stefano
9
2002
A combinatorial approach for pricing Parisian options. Zbl 1156.91364
Costabile, Massimo
9
2002
An efficient binomial method for pricing American options. Zbl 1040.91047
Gaudenzi, Marcellino; Pressacco, Flavio
9
2003
On the smoothness of optimal paths. Zbl 1091.91053
Blot, Joël; Crettez, Bertrand
9
2004
Path dependent volatility. Zbl 1160.35457
Foschi, Paolo; Pascucci, Andrea
9
2008
Pricing VIX options with stochastic volatility and random jumps. Zbl 1273.91442
Lian, Guang-Hua; Zhu, Song-Ping
9
2013
Arbitrage, linear programming and martingales in securities markets with bid-ask spreads. Zbl 1137.91468
Ortu, Fulvio
8
2001
The optimal capital structure of the firm with stable Lévy assets returns. Zbl 1160.91014
Le Courtois, Olivier; Quittard-Pinon, François
8
2008
One-dimensional maps with two discontinuity points and three linear branches: mathematical lessons for understanding the dynamics of financial markets. Zbl 1302.91199
Tramontana, Fabio; Westerhoff, Frank; Gardini, Laura
8
2014
Discrete-time delay dynamics of boundedly rational monopoly. Zbl 1302.91135
Matsumoto, Akio; Szidarovszky, Ferenc
8
2014
The numeraire portfolio in financial markets modeled by a multi-dimensional jump diffusion process. Zbl 1137.91455
Korn, Ralf; Oertel, Frank; Schäl, Manfred
7
2003
The completion of security markets. Zbl 1152.91525
Kountzakis, Christos; Polyrakis, Ioannis A.
7
2006
Portfolio optimization in a defaultable market under incomplete information. Zbl 1257.91039
Callegaro, Giorgia; Jeanblanc, Monique; Runggaldier, Wolfgang J.
7
2012
Moment explosions in the rough Heston model. Zbl 1432.91123
Gerhold, Stefan; Gerstenecker, Christoph; Pinter, Arpad
6
2019
A uniqueness theorem for convex-ranged probabilities. Zbl 0987.28002
Marinacci, Massimo
6
2000
A note on mixture sets in decision theory. Zbl 1019.91013
Mongin, Philippe
6
2001
Explicit solutions for shortfall risk minimization in multinomial models. Zbl 1049.91084
Scagnellato, Caterina; Vargiolu, Tiziano
6
2002
Utility indifference valuation for jump risky assets. Zbl 1273.91192
Ceci, Claudia; Gerardi, Anna
6
2011
Markovian lifts of positive semidefinite affine Volterra-type processes. Zbl 1432.91110
Cuchiero, Christa; Teichmann, Josef
5
2019
A migration equilibrium model with uncertain data and movement costs. Zbl 1398.91474
Causa, A.; Jadamba, B.; Raciti, F.
5
2017
An optimal insurance design problem under Knightian uncertainty. Zbl 1277.91075
Bernard, Carole; Ji, Shaolin; Tian, Weidong
5
2013
Bounds for the utility-indifference prices of non-traded assets in incomplete markets. Zbl 1125.91346
Hobson, D. G.
5
2005
Volatility estimation from observed option prices. Zbl 0988.91034
Boyle, Phelim P.; Thangaraj, Draviam
5
2000
Galerkin infinite element approximation for pricing barrier options and options with discontinuous payoff. Zbl 1106.91035
Sanfelici, Simona
5
2004
Characterisation of optimal dual measures via distortion. Zbl 1131.60063
Monoyios, Michael
5
2006
Linear cumulative prospect theory with applications to portfolio selection and insurance demand. Zbl 1218.91038
Schmidt, Ulrich; Zank, Horst
5
2007
Reaching nirvana with a defaultable asset? Zbl 1398.91502
Battauz, Anna; De Donno, Marzia; Sbuelz, Alessandro
4
2017
Representing complete and incomplete subjective linear preferences on random numbers. Zbl 1064.91031
Girotto, Bruno; Holzer, Silvano
4
2003
Arbitrage and completeness in financial markets with given \(N\)-dimensional distributions. Zbl 1091.91032
Campi, Luciano
4
2004
Efficient quasi-Monte simulations for pricing high-dimensional path-dependent options. Zbl 1165.91411
Sabino, Piergiacomo
4
2009
Arbitrage pricing theory and risk-neutral measures. Zbl 1106.91029
Rásonyi, Miklós
4
2004
Pricing American barrier options with discrete dividends by binomial trees. Zbl 1176.91153
Gaudenzi, Marcellino; Zanette, Antonino
4
2009
Dynamic voluntary provision of public goods with uncertainty: a stochastic differential game model. Zbl 1198.91073
Wang, Wen-Kai; Ewald, Christian-Oliver
4
2010
Sensitivities for Bermudan options by regression methods. Zbl 1198.91202
Belomestny, Denis; Milstein, G. N.; Schoenmakers, John
4
2010
On the relationship between absolute prudence and absolute risk aversion. Zbl 1160.91331
Maggi, Mario A.; Magnani, Umberto; Menegatti, Mario
4
2006
Oligopoly models with different learning and production time scales. Zbl 1419.91462
Cavalli, Fausto; Naimzada, Ahmad; Sodini, Mauro
3
2018
Necessary conditions for nonsmooth multiobjective semi-infinite problems using Michel-penot subdifferential. Zbl 1397.90382
Caristi, Giuseppe; Ferrara, Massimiliano
3
2017
The firm under uncertainty: real and financial decisions. Zbl 1274.91464
Broll, Udo; Wong, Kit Pong
3
2013
Homothetic preferences on star-shaped sets. Zbl 1051.91015
Maccheroni, Fabio
3
2001
A two-step simulation procedure to analyze the exercise features of American options. Zbl 1091.91031
Basso, Antonella; Nardon, Martina; Pianca, Paolo
3
2004
Stochastic Jacobian and Riccati ODE in affine term structure models. Zbl 1154.60056
Grasselli, Martino; Tebaldi, Claudio
3
2007
On the smoothness of optimal paths. II. Some local turnpike results. Zbl 1141.91035
Blot, Joël; Crettez, Bertrand
3
2007
Hedging and the competitive firm under correlated price and background risk. Zbl 1398.91664
Wong, Kit Pong
3
2014
Existence of financial equilibria with endogenous short selling restrictions and real assets. Zbl 1398.91390
Gori, Michele; Pireddu, Marina; Villanacci, Antonio
3
2014
Production and hedging in futures markets with multiple delivery specifications. Zbl 1398.91665
Wong, Kit Pong
3
2014
Unawareness, priors and posteriors. Zbl 1165.91350
Modica, Salvatore
3
2008
Expectations and industry location: a discrete time dynamical analysis. Zbl 1310.91125
Agliari, Anna; Commendatore, Pasquale; Foroni, Ilaria; Kubin, Ingrid
3
2014
Taxes and money in incomplete financial markets. Zbl 1151.91661
del Mercato, Elena L.; Villanacci, Antonio
3
2006
Stochastic demand correspondences and their aggregation properties. Zbl 1151.91397
Alcantud, José C. R.
3
2006
Continuous-time mean-variance portfolio optimization in a jump-diffusion market. Zbl 1232.91603
Alp, Özge Sezgin; Korn, Ralf
3
2011
Does market attention affect bitcoin returns and volatility? Zbl 1431.62474
Figá-Talamanca, Gianna; Patacca, Marco
2
2019
Fast and accurate calculation of American option prices. Zbl 1419.91644
Ballestra, Luca Vincenzo
2
2018
Differentiated oligopolistic markets with concave cost functions via Ky Fan inequalities. Zbl 1398.91399
Bigi, Giancarlo; Passacantando, Mauro
2
2017
Cyclically monotone equilibrium problems and Ekeland’s principle. Zbl 1394.58006
Giuli, Massimiliano
2
2017
A set optimization approach to utility maximization under transaction costs. Zbl 1398.91258
Hamel, Andreas H.; Wang, Sophie Qingzhen
2
2017
A differential game in a duopoly with instantaneous incentives. Zbl 1398.91088
Grilli, Luca; Bisceglia, Michele
2
2017
An overlapping generations model with non-ordered preferences and numeraire-incomplete markets. Zbl 1136.91513
Seghir, Abdelkrim
2
2005
Option pricing with stochastic volatility models. Zbl 1052.91045
Herzel, Stefano
2
2000
Measuring the set of blocking coalitions in infinite dimensional economies. Zbl 0987.91045
Graziano, Maria Gabriella
2
2000
Linearity properties of a three-moments portfolio model. Zbl 0999.91041
Pressacco, Flavio; Stucchi, Patrizia
2
2000
An algorithm for winning coalitions in indirect control of corporations. Zbl 1010.91005
Prati, Nando; Denti, Enrico
2
2001
Optimality in a financial economy with outside money and restricted participation. Zbl 1056.91040
Carosi, Laura
2
2001
Mean-variance hedging for interest rate models with stochastic volatility. Zbl 1042.91035
Biagini, Francesca
2
2002
Bargaining over an uncertain outcome: The role of beliefs. Zbl 1042.91002
Billot, Antoine; Chateauneuf, Alain; Gilboa, Itzhak; Tallon, Jean-Marc
2
2002
An elementary core equivalence theorem in a countable economy. Zbl 1034.91053
Tasnádi, Attila
2
2002
Some new characterization of rational expectation equilibria in economies with asymmetric information. Zbl 1202.91167
De Simone, Anna; Tarantino, Ciro
2
2010
Numeraire portfolios and utility-based price systems under proportional transaction costs. Zbl 1398.91545
Sass, Jörn; Schäl, Manfred
2
2014
Gambling in contests modelled with diffusions. Zbl 1398.91295
Feng, Han; Hobson, David
2
2015
Axiomatic approach to approximate solutions in multiobjective optimization. Zbl 1193.90185
Miglierina, E.; Molho, E.; Patrone, F.; Tijs, S. H.
2
2008
Risk management under a prudential policy. Zbl 1398.91677
Assa, Hirbod
2
2015
Weak convergence of tree methods to price options on defaultable assets. Zbl 1105.91306
Nieuwenhuis, J. W.; Vellekoop, M. H.
2
2004
A closed-form solution for the continuous-time consumption model with endogenous labor income. Zbl 1198.91200
Zhang, Aihua
2
2010
Optimal portfolio selection via conditional convex risk measures on \(L ^{p }\). Zbl 1268.91160
Acciaio, Beatrice; Goldammer, Verena
2
2013
On pricing lookback options under the CEV process. Zbl 1160.91351
Costabile, Massimo
2
2006
Core equivalence theorem: countably many types of agents and commodities in \(L^1(\mu)\). Zbl 1218.91109
Martellotti, Anna
2
2007
Diversification preferences in the theory of choice. Zbl 1398.91173
De Giorgi, Enrico G.; Mahmoud, Ola
2
2016
Real options game models of R&D competition between asymmetric firms with spillovers. Zbl 1398.91655
Leung, Chi Man; Kwok, Yue Kuen
2
2016
The link between the Shapley value and the beta factor. Zbl 1398.91043
Ortmann, Karl Michael
2
2016
A note on portfolio selection and stochastic dominance. Zbl 1398.91539
Menegatti, Mario
2
2016
Optimal strategy for a fund manager with option compensation. Zbl 1391.91150
Nicolosi, Marco
1
2018
Real options signaling game models for dynamic acquisition under information asymmetry. Zbl 1391.91160
Leung, Chi Man; Kwok, Yue Kuen
1
2018
Market consistent valuations with financial imperfection. Zbl 1391.91167
Assa, Hirbod; Gospodinov, Nikolay
1
2018
Volatility and volatility-linked derivatives: estimation, modeling, and pricing. Zbl 1431.91388
Alòs, Elisa; Mancino, Maria Elvira; Wang, Tai-Ho
1
2019
A realized volatility approach to option pricing with continuous and jump variance components. Zbl 1432.91117
Alitab, Dario; Bormetti, Giacomo; Corsi, Fulvio; Majewski, Adam A.
1
2019
Robust calibration and arbitrage-free interpolation of SSVI slices. Zbl 1431.91390
Corbetta, Jacopo; Cohort, Pierre; Laachir, Ismail; Martini, Claude
1
2019
Foreword special issue deaf 2019-MAF 2018. Zbl 07121735
Grane, Aurea (ed.); Sibillo, Marilena (ed.)
1
2019
Small sample properties of ML estimator in Vasicek and CIR models: a simulation experiment. Zbl 1426.91282
Albano, Giuseppina; La Rocca, Michele; Perna, Cira
1
2019
Variable annuities with a threshold fee: valuation, numerical implementation and comparative static analysis. Zbl 1426.91203
Bacinello, Anna Rita; Zoccolan, Ivan
1
2019
Some reflections on past and future of nonlinear dynamics in economics and finance. Zbl 1419.91475
Anufriev, Mikhail; Radi, Davide; Tramontana, Fabio
1
2018
Changes in multiplicative risks and optimal portfolio choice: new interpretations and results. Zbl 1444.91197
De Donno, Marzia; Magnani, Marco; Menegatti, Mario
1
2020
Moment explosions in the rough Heston model. Zbl 1432.91123
Gerhold, Stefan; Gerstenecker, Christoph; Pinter, Arpad
6
2019
Markovian lifts of positive semidefinite affine Volterra-type processes. Zbl 1432.91110
Cuchiero, Christa; Teichmann, Josef
5
2019
Does market attention affect bitcoin returns and volatility? Zbl 1431.62474
Figá-Talamanca, Gianna; Patacca, Marco
2
2019
Volatility and volatility-linked derivatives: estimation, modeling, and pricing. Zbl 1431.91388
Alòs, Elisa; Mancino, Maria Elvira; Wang, Tai-Ho
1
2019
A realized volatility approach to option pricing with continuous and jump variance components. Zbl 1432.91117
Alitab, Dario; Bormetti, Giacomo; Corsi, Fulvio; Majewski, Adam A.
1
2019
Robust calibration and arbitrage-free interpolation of SSVI slices. Zbl 1431.91390
Corbetta, Jacopo; Cohort, Pierre; Laachir, Ismail; Martini, Claude
1
2019
Foreword special issue deaf 2019-MAF 2018. Zbl 07121735
Grane, Aurea; Sibillo, Marilena
1
2019
Small sample properties of ML estimator in Vasicek and CIR models: a simulation experiment. Zbl 1426.91282
Albano, Giuseppina; La Rocca, Michele; Perna, Cira
1
2019
Variable annuities with a threshold fee: valuation, numerical implementation and comparative static analysis. Zbl 1426.91203
Bacinello, Anna Rita; Zoccolan, Ivan
1
2019
Oligopoly models with different learning and production time scales. Zbl 1419.91462
Cavalli, Fausto; Naimzada, Ahmad; Sodini, Mauro
3
2018
Fast and accurate calculation of American option prices. Zbl 1419.91644
Ballestra, Luca Vincenzo
2
2018
Optimal strategy for a fund manager with option compensation. Zbl 1391.91150
Nicolosi, Marco
1
2018
Real options signaling game models for dynamic acquisition under information asymmetry. Zbl 1391.91160
Leung, Chi Man; Kwok, Yue Kuen
1
2018
Market consistent valuations with financial imperfection. Zbl 1391.91167
Assa, Hirbod; Gospodinov, Nikolay
1
2018
Some reflections on past and future of nonlinear dynamics in economics and finance. Zbl 1419.91475
Anufriev, Mikhail; Radi, Davide; Tramontana, Fabio
1
2018
Competition and cooperation in the exploitation of the groundwater resource. Zbl 1419.91544
Biancardi, Marta; Maddalena, Lucia
1
2018
Technology choice in an evolutionary oligopoly game. Zbl 1419.91468
Lamantia, Fabio; Negriu, Anghel; Tuinstra, Jan
1
2018
A migration equilibrium model with uncertain data and movement costs. Zbl 1398.91474
Causa, A.; Jadamba, B.; Raciti, F.
5
2017
Reaching nirvana with a defaultable asset? Zbl 1398.91502
Battauz, Anna; De Donno, Marzia; Sbuelz, Alessandro
4
2017
Necessary conditions for nonsmooth multiobjective semi-infinite problems using Michel-penot subdifferential. Zbl 1397.90382
Caristi, Giuseppe; Ferrara, Massimiliano
3
2017
Differentiated oligopolistic markets with concave cost functions via Ky Fan inequalities. Zbl 1398.91399
Bigi, Giancarlo; Passacantando, Mauro
2
2017
Cyclically monotone equilibrium problems and Ekeland’s principle. Zbl 1394.58006
Giuli, Massimiliano
2
2017
A set optimization approach to utility maximization under transaction costs. Zbl 1398.91258
Hamel, Andreas H.; Wang, Sophie Qingzhen
2
2017
A differential game in a duopoly with instantaneous incentives. Zbl 1398.91088
Grilli, Luca; Bisceglia, Michele
2
2017
Approximating exact expected utility via portfolio efficient frontiers. Zbl 1398.91509
Carleo, Alessandra; Cesarone, Francesco; Gheno, Andrea; Ricci, Jacopo Maria
1
2017
Robust games: theory and application to a Cournot duopoly model. Zbl 1398.91022
Crespi, Giovanni Paolo; Radi, Davide; Rocca, Matteo
1
2017
Genetic algorithm versus classical methods in sparse index tracking. Zbl 1398.91518
Giuzio, Margherita
1
2017
Convex and convex-like optimization over a range inclusion problem and first applications. Zbl 1398.49030
Mokhtar-Kharroubi, Hocine
1
2017
An axiomatization of continuous quasilinear utility. Zbl 1398.91264
Rébillé, Yann
1
2017
Weighted average price in the Heston stochastic volatility model. Zbl 1398.91611
Papi, M.; Pontecorvi, L.; Donatucci, C.
1
2017
Diversification preferences in the theory of choice. Zbl 1398.91173
De Giorgi, Enrico G.; Mahmoud, Ola
2
2016
Real options game models of R&D competition between asymmetric firms with spillovers. Zbl 1398.91655
Leung, Chi Man; Kwok, Yue Kuen
2
2016
The link between the Shapley value and the beta factor. Zbl 1398.91043
Ortmann, Karl Michael
2
2016
A note on portfolio selection and stochastic dominance. Zbl 1398.91539
Menegatti, Mario
2
2016
On the choice between two delta-hedging strategies. Zbl 1398.91331
Hong, Liang
1
2016
Financial economics without probabilistic prior assumptions. Zbl 1398.91613
Riedel, Frank
10
2015
Gambling in contests modelled with diffusions. Zbl 1398.91295
Feng, Han; Hobson, David
2
2015
Risk management under a prudential policy. Zbl 1398.91677
Assa, Hirbod
2
2015
On a fuzzy cash flow model with insurance applications. Zbl 1398.91356
Ungureanu, Daniela; Vernic, Raluca
1
2015
Using value-at-risk to reconcile limited liability and the moral-hazard problem. Zbl 1398.91659
Tulli, Vanda; Weinrich, Gerd
1
2015
One-dimensional maps with two discontinuity points and three linear branches: mathematical lessons for understanding the dynamics of financial markets. Zbl 1302.91199
Tramontana, Fabio; Westerhoff, Frank; Gardini, Laura
8
2014
Discrete-time delay dynamics of boundedly rational monopoly. Zbl 1302.91135
Matsumoto, Akio; Szidarovszky, Ferenc
8
2014
Hedging and the competitive firm under correlated price and background risk. Zbl 1398.91664
Wong, Kit Pong
3
2014
Existence of financial equilibria with endogenous short selling restrictions and real assets. Zbl 1398.91390
Gori, Michele; Pireddu, Marina; Villanacci, Antonio
3
2014
Production and hedging in futures markets with multiple delivery specifications. Zbl 1398.91665
Wong, Kit Pong
3
2014
Expectations and industry location: a discrete time dynamical analysis. Zbl 1310.91125
Agliari, Anna; Commendatore, Pasquale; Foroni, Ilaria; Kubin, Ingrid
3
2014
Numeraire portfolios and utility-based price systems under proportional transaction costs. Zbl 1398.91545
Sass, Jörn; Schäl, Manfred
2
2014
Selecting stochastic mortality models for the Italian population. Zbl 1398.91312
Biffi, Paola; Clemente, Gian Paolo
1
2014
The restricted convex risk measures in actuarial solvency. Zbl 1398.91335
Konstantinides, Dimitrios G.; Kountzakis, Christos E.
1
2014
A note on the existence of CAPM equilibria with homogeneous cumulative prospect theory preferences. Zbl 1398.91286
Del Vigna, Matteo
1
2014
Portfolio optimization for an investor with a benchmark. Zbl 1398.91530
Korn, R.; Lindberg, C.
1
2014
An application of nonparametric volatility estimators to option pricing. Zbl 1398.91602
Kenmoe, Romuald N.; Sanfelici, Simona
1
2014
Property rights for natural resources and sustainable growth in a two-country trade model. Zbl 1302.91161
Cabo, F.; Martín-Herrán, G.; Martínez-García, M. P.
1
2014
Relational consumption and nonlinear dynamics in an overlapping generations model. Zbl 1302.91136
Antoci, Angelo; Sodini, Mauro; Zarri, Luca
1
2014
Indeterminacy and nonlinear dynamics in an OLG growth model with endogenous labour supply and inherited tastes. Zbl 1302.91139
Gori, Luca; Sodini, Mauro
1
2014
Pricing VIX options with stochastic volatility and random jumps. Zbl 1273.91442
Lian, Guang-Hua; Zhu, Song-Ping
9
2013
An optimal insurance design problem under Knightian uncertainty. Zbl 1277.91075
Bernard, Carole; Ji, Shaolin; Tian, Weidong
5
2013
The firm under uncertainty: real and financial decisions. Zbl 1274.91464
Broll, Udo; Wong, Kit Pong
3
2013
Optimal portfolio selection via conditional convex risk measures on \(L ^{p }\). Zbl 1268.91160
Acciaio, Beatrice; Goldammer, Verena
2
2013
Multidimensional quasi-Monte Carlo Malliavin Greeks. Zbl 1345.91082
Cufaro Petroni, Nicola; Sabino, Piergiacomo
1
2013
Option-based risk management of a bond portfolio under regime switching interest rates. Zbl 1268.91174
Antonelli, Fabio; Ramponi, Alessandro; Scarlatti, Sergio
1
2013
Performance of investment strategies in the absence of correct beliefs. Zbl 1273.91416
Bektur, Çisem
1
2013
Portfolio optimization in a defaultable market under incomplete information. Zbl 1257.91039
Callegaro, Giorgia; Jeanblanc, Monique; Runggaldier, Wolfgang J.
7
2012
On the linearity of the wage-profit relation in a Sraffa’s model: a mathematical summing-up. Zbl 1280.91123
Giorgi, G.; Zuccotti, C.
1
2012
Risk aversion and risk vulnerability in the continuous and discrete case. Zbl 1257.91021
Bohner, Martin; Gelles, Gregory M.
1
2012
Exchange rate bifurcation in a stochastic evolutionary finance model. Zbl 1264.91060
Gagnon, Gregory
1
2012
How should a convertible bond be decomposed? Zbl 1257.91048
Zhu, Song-Ping; Zhang, Jing
1
2012
Optimal investment for executive stockholders with exponential utility. Zbl 1268.91163
Desmettre, Sascha
1
2012
Utility indifference valuation for jump risky assets. Zbl 1273.91192
Ceci, Claudia; Gerardi, Anna
6
2011
Continuous-time mean-variance portfolio optimization in a jump-diffusion market. Zbl 1232.91603
Alp, Özge Sezgin; Korn, Ralf
3
2011
Real options game analysis of sleeping patents. Zbl 1213.91095
Leung, Chi Man; Kwok, Yue Kuen
1
2011
Dynamic voluntary provision of public goods with uncertainty: a stochastic differential game model. Zbl 1198.91073
Wang, Wen-Kai; Ewald, Christian-Oliver
4
2010
Sensitivities for Bermudan options by regression methods. Zbl 1198.91202
Belomestny, Denis; Milstein, G. N.; Schoenmakers, John
4
2010
Some new characterization of rational expectation equilibria in economies with asymmetric information. Zbl 1202.91167
De Simone, Anna; Tarantino, Ciro
2
2010
A closed-form solution for the continuous-time consumption model with endogenous labor income. Zbl 1198.91200
Zhang, Aihua
2
2010
Explicit formulas for the minimal variance hedging strategy in a martingale case. Zbl 1202.91310
Angelini, Flavio; Herzel, Stefano
1
2010
Optimal prepayment and default rules for mortgage-backed securities. Zbl 1202.91316
De Rossi, Giulia; Vargiolu, Tiziano
1
2010
An improved combinatorial approach for pricing Parisian options. Zbl 1202.91322
Lyuu, Yuh-Dauh; Wu, Cheng-Wei
1
2010
Efficient quasi-Monte simulations for pricing high-dimensional path-dependent options. Zbl 1165.91411
Sabino, Piergiacomo
4
2009
Pricing American barrier options with discrete dividends by binomial trees. Zbl 1176.91153
Gaudenzi, Marcellino; Zanette, Antonino
4
2009
Knightian uncertainty and insurance regulation decision. Zbl 1165.91347
Chen, An; Su, Xia
1
2009
Computationally simple lattice methods for option and bond pricing. Zbl 1176.91152
Costabile, Massimo; Leccadito, Arturo; Massabó, Ivar
1
2009
Optimal consumption and investment under partial information. Zbl 1165.91410
Putschögl, Wolfgang; Sass, Jörn
14
2008
Path dependent volatility. Zbl 1160.35457
Foschi, Paolo; Pascucci, Andrea
9
2008
The optimal capital structure of the firm with stable Lévy assets returns. Zbl 1160.91014
Le Courtois, Olivier; Quittard-Pinon, François
8
2008
Unawareness, priors and posteriors. Zbl 1165.91350
Modica, Salvatore
3
2008
Axiomatic approach to approximate solutions in multiobjective optimization. Zbl 1193.90185
Miglierina, E.; Molho, E.; Patrone, F.; Tijs, S. H.
2
2008
A moments and strike matching binomial algorithm for pricing American put options. Zbl 1143.91019
Jourdain, Benjamin; Zanette, Antonino
1
2008
A note on arbitrage in term structure. Zbl 1142.91562
Rásonyi, Miklós
1
2008
Approximate equilibrium in pure strategies for a two-stage game of asset creation. Zbl 1165.91321
Faias, Marta
1
2008
Linear cumulative prospect theory with applications to portfolio selection and insurance demand. Zbl 1218.91038
Schmidt, Ulrich; Zank, Horst
5
2007
Stochastic Jacobian and Riccati ODE in affine term structure models. Zbl 1154.60056
Grasselli, Martino; Tebaldi, Claudio
3
2007
On the smoothness of optimal paths. II. Some local turnpike results. Zbl 1141.91035
Blot, Joël; Crettez, Bertrand
3
2007
Core equivalence theorem: countably many types of agents and commodities in \(L^1(\mu)\). Zbl 1218.91109
Martellotti, Anna
2
2007
The origins of the mean-variance approach in finance: revisiting de Finetti 65 years later. Zbl 1218.90150
Pressacco, Flavio; Serafini, Paolo
1
2007
A bidimensional approach to mortality risk. Zbl 1160.91366
Biffis, Enrico; Millossovich, Pietro
11
2006
The completion of security markets. Zbl 1152.91525
Kountzakis, Christos; Polyrakis, Ioannis A.
7
2006
Characterisation of optimal dual measures via distortion. Zbl 1131.60063
Monoyios, Michael
5
2006
On the relationship between absolute prudence and absolute risk aversion. Zbl 1160.91331
Maggi, Mario A.; Magnani, Umberto; Menegatti, Mario
4
2006
...and 48 more Documents
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Cited by 874 Authors

11 D’Amico, Guglielmo
10 Manca, Raimondo
8 Maccheroni, Fabio
8 Marinacci, Massimo
7 Blot, Joël
7 Graziano, Maria Gabriella
7 Janssen, Jacques
5 Basile, Achille
5 Cerreia-Vioglio, Simone
5 Pesce, Marialaura
5 Rásonyi, Miklós
5 Sass, Jörn
4 Campi, Luciano
4 Carassus, Laurence
4 Cheung, Ka Chun
4 Dana, Rose-Anne
4 Fabozzi, Frank J.
4 Gaudenzi, Marcellino
4 Li, Shenghong
4 Nagurney, Anna
4 Naimzada, Ahmad K.
4 Pascucci, Andrea
4 Polyrakis, Ioannis A.
4 Rachev, Svetlozar T.
4 Sabino, Piergiacomo
4 Spizzichino, Fabio L.
4 Stoye, Jörg
4 Tramontana, Fabio
4 Vigna, Elena
4 Villanacci, Antonio
4 Westerhoff, Frank H.
4 Wunderlich, Ralf
4 Yannelis, Nicholas C.
4 Zanette, Antonino
4 Zastawniak, Tomasz
3 Alcantud, José Carlos Rodríguez
3 Assa, Hirbod
3 Bade, Sophie
3 Bo, Lijun
3 Bordley, Robert F.
3 Burzoni, Matteo
3 Capponi, Agostino
3 Castagnoli, Erio
3 Ceci, Claudia
3 Chen, An
3 Cretarola, Alessandra
3 Daniele, Patrizia
3 de Castro, Luciano I.
3 De Donno, Marzia
3 Faro, José Heleno
3 Gerasímou, Georgios
3 Ghirardato, Paolo
3 Greco, Salvatore
3 Gu, Enguo
3 Hayek, Naïla
3 Huynh, Van-Nam
3 Katsikis, Vasilios N.
3 Kelsey, David P.
3 Kountzakis, Christos E.
3 LiCalzi, Marco
3 Maggis, Marco
3 Marazzina, Daniele
3 Martellotti, Anna
3 Menegatti, Mario
3 Montrucchio, Luigi
3 Nakamori, Yoshiteru
3 Obloj, Jan K.
3 Olivieri, Annamaria
3 Ortobelli, Sergio
3 Parand, Kourosh
3 Pitacco, Ermanno
3 Rad, Jamal Amani
3 Riella, Gil
3 Roux, Alet
3 Sanfelici, Simona
3 Stoyanov, Stoyan V.
3 Sushko, Iryna
3 Tian, Weidong
3 Touzi, Nizar
3 Vargiolu, Tiziano
3 Wei, Qingmeng
2 Abbasbandy, Saeid
2 Achdou, Yves
2 Antonelli, Fabio
2 Astic, Fabian
2 Avallone, Anna
2 Avrutin, Viktor
2 Battauz, Anna
2 Bäuerle, Nicole
2 Bayer, Christian
2 Beißner, Patrick
2 Bernard, Carole
2 Bhowmik, Anuj
2 Biagini, Francesca
2 Biglova, Almira
2 Bisceglia, Michele
2 Carlier, Guillaume
2 Cavalli, Fausto
2 Centrone, Francesca
2 Chateauneuf, Alain
...and 774 more Authors
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Cited in 156 Journals

39 Journal of Economic Theory
38 Decisions in Economics and Finance
28 Journal of Mathematical Economics
24 European Journal of Operational Research
23 Economic Theory
23 International Journal of Theoretical and Applied Finance
19 Insurance Mathematics & Economics
17 Theory and Decision
16 Finance and Stochastics
15 Quantitative Finance
13 Mathematical Social Sciences
12 Applied Mathematics and Computation
12 Mathematical Finance
12 Mathematics and Financial Economics
10 Journal of Economic Dynamics & Control
9 Economics Letters
8 Games and Economic Behavior
8 Methodology and Computing in Applied Probability
8 SIAM Journal on Financial Mathematics
7 Applied Mathematical Finance
6 Journal of Mathematical Analysis and Applications
6 Applied Mathematics and Optimization
6 Journal of Optimization Theory and Applications
6 Mathematical Methods of Operations Research
5 ASTIN Bulletin
5 Computational Management Science
5 Journal of Industrial and Management Optimization
5 Annals of Finance
4 Fuzzy Sets and Systems
4 Journal of Computational and Applied Mathematics
4 Mathematics of Operations Research
4 Optimization
4 Journal of Economics
4 Stochastic Processes and their Applications
4 Computational Economics
4 Abstract and Applied Analysis
4 Scandinavian Actuarial Journal
3 Advances in Applied Probability
3 Operations Research
3 SIAM Journal on Control and Optimization
3 Stochastic Analysis and Applications
3 International Journal of Approximate Reasoning
3 International Journal of Bifurcation and Chaos in Applied Sciences and Engineering
3 Mathematical Problems in Engineering
3 Chaos
3 Nonautonomous Dynamical Systems
2 Computers & Mathematics with Applications
2 Chaos, Solitons and Fractals
2 International Journal of Mathematics and Mathematical Sciences
2 International Journal of Game Theory
2 Journal of Applied Probability
2 Journal of Econometrics
2 Journal of Mathematical Psychology
2 Mathematics and Computers in Simulation
2 Statistics & Probability Letters
2 Operations Research Letters
2 Acta Applicandae Mathematicae
2 Social Choice and Welfare
2 Japan Journal of Industrial and Applied Mathematics
2 The Annals of Applied Probability
2 Communications in Statistics. Theory and Methods
2 Journal of Difference Equations and Applications
2 Positivity
2 Communications in Nonlinear Science and Numerical Simulation
2 Probability in the Engineering and Informational Sciences
2 Fuzzy Optimization and Decision Making
2 Dynamic Games and Applications
2 Decision Analysis
2 Statistics & Risk Modeling
2 Stochastic Systems
2 Minimax Theory and its Applications
1 The Canadian Journal of Statistics
1 Communications in Mathematical Physics
1 Communications on Pure and Applied Mathematics
1 Mathematical Biosciences
1 Mathematical Proceedings of the Cambridge Philosophical Society
1 Metrika
1 Physica A
1 Theory of Probability and its Applications
1 Acta Mathematica Vietnamica
1 Automatica
1 Information Sciences
1 Journal of Differential Equations
1 Journal of Functional Analysis
1 Journal of Multivariate Analysis
1 Journal of Philosophical Logic
1 Kybernetika
1 Mathematische Annalen
1 Numerical Functional Analysis and Optimization
1 Proceedings of the American Mathematical Society
1 Rendiconti del Circolo Matemàtico di Palermo. Serie II
1 Revista de la Unión Matemática Argentina
1 Siberian Mathematical Journal
1 Synthese
1 Transactions of the American Mathematical Society
1 Bulletin of the Korean Mathematical Society
1 Applied Numerical Mathematics
1 Statistics
1 Probability Theory and Related Fields
1 Statistical Science
...and 56 more Journals
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Cited in 35 Fields

508 Game theory, economics, finance, and other social and behavioral sciences (91-XX)
151 Probability theory and stochastic processes (60-XX)
53 Operations research, mathematical programming (90-XX)
50 Systems theory; control (93-XX)
47 Statistics (62-XX)
35 Numerical analysis (65-XX)
33 Calculus of variations and optimal control; optimization (49-XX)
19 Partial differential equations (35-XX)
9 Dynamical systems and ergodic theory (37-XX)
8 Functional analysis (46-XX)
7 Ordinary differential equations (34-XX)
7 Computer science (68-XX)
6 Measure and integration (28-XX)
6 Difference and functional equations (39-XX)
5 Biology and other natural sciences (92-XX)
4 Mathematical logic and foundations (03-XX)
4 Order, lattices, ordered algebraic structures (06-XX)
2 Topological groups, Lie groups (22-XX)
2 Real functions (26-XX)
2 Approximations and expansions (41-XX)
2 Integral transforms, operational calculus (44-XX)
2 Integral equations (45-XX)
2 Operator theory (47-XX)
2 Convex and discrete geometry (52-XX)
2 General topology (54-XX)
1 General and overarching topics; collections (00-XX)
1 Combinatorics (05-XX)
1 Number theory (11-XX)
1 Special functions (33-XX)
1 Sequences, series, summability (40-XX)
1 Differential geometry (53-XX)
1 Global analysis, analysis on manifolds (58-XX)
1 Statistical mechanics, structure of matter (82-XX)
1 Information and communication theory, circuits (94-XX)
1 Mathematics education (97-XX)

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