Annals of Operations Research

1997 - 2025

Current editor(s): Endre Boros

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Volume 336, month 5, 2024

Recent advances in mathematical methods for finance pp. 1-2

Giorgia Callegaro, Claudio Fontana, Martino Grasselli, Wolfgang J. Runggaldier and Tiziano Vargiolu

A general framework for a joint calibration of VIX and VXX options pp. 3-26

Martino Grasselli, Andrea Mazzoran and Andrea Pallavicini

Hawkes-driven stochastic volatility models: goodness-of-fit testing of alternative intensity specifications with S &P500 data pp. 27-45

Iacopo Raffaelli, Simone Scotti and Giacomo Toscano

Large and moderate deviations for importance sampling in the Heston model pp. 47-92

Marc Geha, Antoine Jacquier and Žan Žurič

Short-time implied volatility of additive normal tempered stable processes pp. 93-126

Michele Azzone and Roberto Baviera

CBI-time-changed Lévy processes for multi-currency modeling pp. 127-152

Claudio Fontana, Alessandro Gnoatto and Guillaume Szulda

Pricing interest rate derivatives under volatility uncertainty pp. 153-182

Julian Hölzermann

XVA modelling: validation, performance and model risk management pp. 183-274

Lorenzo Silotto, Marco Scaringi and Marco Bianchetti

Commodity Asian option pricing and simulation in a 4-factor model with jump clusters pp. 275-306

Riccardo Brignone, Luca Gonzato and Carlo Sgarra

An efficient unified approach for spread option pricing in a copula market model pp. 307-329

Edoardo Berton and Lorenzo Mercuri

Neural network expression rates and applications of the deep parametric PDE method in counterparty credit risk pp. 331-357

Kathrin Glau and Linus Wunderlich

From regression models to machine learning approaches for long term Bitcoin price forecast pp. 359-381

Andrea Caliciotti, Marco Corazza and Giovanni Fasano

Random fixed points, systemic risk and resilience of heterogeneous financial network pp. 383-433

Indrajit Saha and Veeraruna Kavitha

Multivariate systemic optimal risk transfer equilibrium pp. 435-480

Alessandro Doldi and Marco Frittelli

Computing the probability of a financial market failure: a new measure of systemic risk pp. 481-503

Robert Jarrow, Philip Protter and Alejandra Quintos

Instabilities in multi-asset and multi-agent market impact games pp. 505-539

Francesco Cordoni and Fabrizio Lillo

MFG model with a long-lived penalty at random jump times: application to demand side management for electricity contracts pp. 541-569

Clémence Alasseur, Luciano Campi, Roxana Dumitrescu and Jia Zeng

A Stackelberg order execution game pp. 571-604

Yinhong Dong, Donglei Du, Qiaoming Han, Jianfeng Ren and Dachuan Xu

Optimal order execution under price impact: a hybrid model pp. 605-636

Marina Giacinto, Claudio Tebaldi and Tai-Ho Wang

Self-exciting price impact via negative resilience in stochastic order books pp. 637-659

Julia Ackermann, Thomas Kruse and Mikhail Urusov

Jump-diffusion risk-sensitive benchmarked asset management with traditional and alternative data pp. 661-689

Mark Davis and Sebastien Lleo

Ergodic aspects of trading with threshold strategies pp. 691-709

Attila Lovas and Miklós Rásonyi

Stochastic optimization with dynamic probabilistic forecasts pp. 711-747

Peter Tankov and Laura Tinsi

Dynamic capital allocation rules via BSDEs: an axiomatic approach pp. 749-772

Elisa Mastrogiacomo and Emanuela Rosazza Gianin

Effect of labour income on the optimal bankruptcy problem pp. 773-795

Guodong Ding and Daniele Marazzina

On horizon-consistent mean-variance portfolio allocation pp. 797-828

Simone Cerreia-Vioglio, Fulvio Ortu, Francesco Rotondi and Federico Severino

Inf-convolution and optimal risk sharing with countable sets of risk measures pp. 829-860

Marcelo Righi and Marlon Ruoso Moresco

The importance of dynamic risk constraints for limited liability operators pp. 861-898

John Armstrong, Damiano Brigo and Alex S. L. Tse

MAD risk parity portfolios pp. 899-924

Çağın Ararat, Francesco Cesarone, Mustafa Çelebi Pınar and Jacopo Maria Ricci

Implied value-at-risk and model-free simulation pp. 925-943

Carole Bernard, Andrea Perchiazzo and Steven Vanduffel

Portfolio analysis with mean-CVaR and mean-CVaR-skewness criteria based on mean–variance mixture models pp. 945-966

Nuerxiati Abudurexiti, Kai He, Dongdong Hu, Svetlozar T. Rachev, Hasanjan Sayit and Ruoyu Sun

Qualitative robustness of utility-based risk measures pp. 967-980

Pablo Koch-Medina and Cosimo Munari

Robust reinsurance and investment strategies under principal–agent framework pp. 981-1011

Ning Wang, Tak Kuen Siu and Kun Fan

Convex duality in continuous option pricing models pp. 1013-1037

Peter Carr and Lorenzo Torricelli

Co-movements, option pricing and risk management: an application to WTI versus Brent spread options pp. 1039-1061

Domenico De Giovanni, Arturo Leccadito and Debora Loccisano

A valuation of a corn ethanol plant through a compound options model under skew-Brownian motions pp. 1063-1087

Marta Biancardi, Michele Bufalo, Antonio Di Bari and Giovanni Villani

Seasonality in commodity prices: new approaches for pricing plain vanilla options pp. 1089-1131

Carme Frau and Viviana Fanelli

Evaluating the optimal timing and capacity of investments in flexible combined heat and power generation for energy-intensive industries pp. 1133-1160

Dimitrios Zormpas and Giorgia Oggioni

Optimal ecological transition path of a credit portfolio distribution, based on multidate Monge–Kantorovich formulation pp. 1161-1195

Emmanuel Gobet and Clara Lage

Bridging socioeconomic pathways of $$\textrm{CO}_2$$ CO 2 emission and credit risk pp. 1197-1218

Florian Bourgey, Emmanuel Gobet and Ying Jiao

A multi-criteria approach to evolve sparse neural architectures for stock market forecasting pp. 1219-1263

Faizal Hafiz, Jan Broekaert, Davide Torre and Akshya Swain

Stochastic Volterra equations with time-changed Lévy noise and maximum principles pp. 1265-1287

Giulia Nunno and Michele Giordano

Anticipative information in a Brownian−Poisson market pp. 1289-1314

Bernardo D’Auria and Jose A. Salmeron

Optimal bailout strategies resulting from the drift controlled supercooled Stefan problem pp. 1315-1349

Christa Cuchiero, Christoph Reisinger and Stefan Rigger

Proxying credit curves via Wasserstein distances pp. 1351-1367

Matteo Michielon, Asma Khedher and Peter Spreij

2021 European meeting on game theory (SING16) pp. 1369-1372

Ricardo Martinez, Ruud Hendrickx, Marco Slikker and Izabella Stach

Mergeable weighted majority games and characterizations of some power indices pp. 1373-1393

Livino M. Armijos-Toro, José M. Alonso-Meijide and Manuel A. Mosquera

Anonymity in sharing the revenues from broadcasting sports leagues pp. 1395-1417

G. Bergantiños and Juan Moreno-Ternero

Two-bound core games and the nucleolus pp. 1419-1433

Doudou Gong, Bas Dietzenbacher and Hans Peters

An algorithm to compute the average-of-awards rule for claims problems with an application to the allocation of CO $$_2$$ 2 emissions pp. 1435-1459

Miguel Ángel Mirás Calvo, Iago Núñez Lugilde, Carmen Quinteiro Sandomingo and Estela Sánchez-Rodríguez

“Greedy” demand adjustment in cooperative games pp. 1461-1478

Maria Montero and Alex Possajennikov

The cost transportation game for collaboration among transportation companies pp. 1479-1503

Shitao Yang, Jiangao Zhang and Shaorui Zhou

On the $$\alpha $$ α -core of set payoffs games pp. 1505-1518

Yu Zhang and Xiangkai Sun

A stackelberg differential game theoretic approach for analyzing coordination strategies in a supply chain with retailer’s premium store brand pp. 1519-1549

Parisa Assarzadegan, Seyed Reza Hejazi and Morteza Rasti-Barzoki

Equilibrium arrivals to a last-come first-served preemptive-resume queue pp. 1551-1572

Jesper Breinbjerg, Trine Platz and Lars Peter Østerdal

Asymptotic behavior of subgame perfect Nash equilibria in Stackelberg games pp. 1573-1590

Francesco Caruso, Maria Carmela Ceparano and Jacqueline Morgan

A non-cooperative multi-leader one-follower integrated generation maintenance scheduling problem under the risk of generation units’ disruption and variation in demands pp. 1591-1635

Atefeh Hassanpour, Emad Roghanian and Mahdi Bashiri

An evolutionary game theory approach for analyzing risk-based financing schemes pp. 1637-1660

Maryam Johari and Seyyed-Mahdi Hosseini-Motlagh

A generalization of the increasing generalized failure rate unimodality condition pp. 1661-1679

Stefanos Leonardos, Constandina Koki and Costis Melolidakis

Short-term volatility timing: a cross-country study pp. 1681-1706

Marta Vidal, Javier Vidal-García, Sabri Boubaker and Stelios Bekiros

Data capital investment strategy in competing supply chains pp. 1707-1740

Baogui Xin, Yue Liu and Lei Xie

The role of venture capitalists in reward-based crowdfunding: a game-theoretical analysis pp. 1741-1775

Kuan Zeng

Radio-frequency Identification (RFID) adoption and chain structure decisions in competing supply chains: Bertrand competition versus Cournot competition pp. 1777-1811

Li-Hao Zhang, Shan-Shan Wang and Lu-Yu Chang

Choosing a self-built or an intermediary platform for hosting winner-take-all crowdsourcing contests? pp. 1813-1834

Wen Zhang, Ting Hou and Qinglong Gou

Information acquisition and sharing strategies of supply chain with supplier encroachment considering signaling effect pp. 1835-1869

Yujie Zhao, Hong Zhou and Jiepeng Wang

A game theoretic framework for distributed computing with dynamic set of agents pp. 1871-1904

Swapnil Dhamal, Walid Ben-Ameur, Tijani Chahed, Eitan Altman, Albert Sunny and Sudheer Poojary

On Nash-solvability of n-person graphical games under Markov and a-priori realizations pp. 1905-1927

Vladimir Gurvich and Mariya Naumova

Model analysis of smart supply chain finance of platform-based enterprises under government supervision pp. 1929-1963

Weihua Liu, Zhixuan Chen and Tingting Liu

A dynamic game approach to demand disruptions of green supply chain with government intervention (case study: automotive supply chain) pp. 1965-2008

Tahereh Zaefarian, Atieh Fander and Saeed Yaghoubi

Social distancing game and insurance investment in a pandemic pp. 2009-2036

Hamed Amini and Andreea Minca

Competing control scenarios in probabilistic SIR epidemics on social-contact networks pp. 2037-2060

Jan B. Broekaert, Davide Torre and Faizal Hafiz

Expected values for variable network games pp. 2061-2089

Subhadip Chakrabarti, Loyimee Gogoi, Robert P. Gilles, Surajit Borkotokey and Rajnish Kumar

Recognizing distributed approval voting forms and correspondences pp. 2091-2110

Endre Boros, Ondřej Čepek, Vladimir Gurvich and Kazuhisa Makino

Some characterizations of resolute majority rules pp. 2111-2124

Josep Freixas and Dani Samaniego