Decisions in Economics and Finance

1978 - 2024

Current editor(s): Paolo Ghirardato

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Springer
Associazione per la Matematica
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Volume 43, issue 2, 2020

Preface to the special issue on performance measurement and efficiency analysis—theory and practice pp. 409-412

Laura Carosi, Ana Camanho, Giovanna D’Inverno, Kristof De Witte and Rossana Riccardi

A three-system approach that integrates DEA, BSC, and AHP for museum evaluation pp. 413-441

Antonella Basso and Stefania Funari

Interactive consistency correction in the analytic hierarchy process to preserve ranks pp. 443-464

Alessio Ishizaka and Sajid Siraj

Underestimation functions for a rank-two partitioning method pp. 465-489

Riccardo Cambini

Robust data envelopment analysis via ellipsoidal uncertainty sets with application to the Italian banking industry pp. 491-518

Emmanuel Kwasi Mensah

Efficiency evaluation under uncertainty: a stochastic DEA approach pp. 519-538

P. Beraldi and M. E. Bruni

Groundwater extraction among overlapping generations: a differential game approach pp. 539-556

Marta Biancardi, Lucia Maddalena and Giovanni Villani

A special issue on multi-criteria decision aiding pp. 557-558

Matteo Brunelli, Michele Fedrizzi, Salvatore Greco, José Rui Figueira and Roman Słowiński

Multi-criteria and medical diagnosis for application to health insurance systems: a general approach through non-additive measures pp. 559-582

Luca Anzilli and Silvio Giove

Shapley and superShapley aggregation emerging from consensus dynamics in the multicriteria Choquet framework pp. 583-611

Silvia Bortot, Ricardo Alberto Marques Pereira and Anastasia Stamatopoulou

Incoherence measures and relations between coherence conditions for pairwise comparisons pp. 613-635

Matteo Brunelli and Bice Cavallo

Relations between coherence conditions and row orders in pairwise comparison matrices pp. 637-656

Bice Cavallo and Livia D’Apuzzo

Inconsistency evaluation in pairwise comparison using norm-based distances pp. 657-672

Michele Fedrizzi, Nino Civolani and Andrew Critch

Integrating fuzzy goal programming and data envelopment analysis to incorporate preferred decision-maker targets in efficiency measurement pp. 673-690

Debora Di Caprio, Ali Ebrahimnejad, Mojtaba Ghiyasi and Francisco J. Santos-Arteaga

The characterization of demand and excess demand functions, revisited pp. 691-707

Marwan Aloqeili

A net present value approach to health insurance choice pp. 709-724

Raquel Fonseca and Luísa Cunha

Dynamic effects of consumption externalities pp. 725-750

Riham Barbar and Mohanad Ismael

Pricing electricity forwards under future information on the stochastic mean-reversion level pp. 751-767

Markus Hess

Existence, multiplicity and policy prescriptions for debt sustainability in an OLG model with fiscal policy and debt pp. 769-786

Lorenzo Cerboni Baiardi and Ahmad Naimzada

Constructing dynamic life tables with a single-factor model pp. 787-825

David Atance, Alejandro Balbás and Eliseo Navarro

Volume 43, issue 1, 2020

A special issue on the mathematics of subjective probability pp. 1-2

Gianluca Cassese, Pietro Rigo and Barbara Vantaggi

A notion of conditional probability and some of its consequences pp. 3-15

Patrizia Berti, Emanuela Dreassi and Pietro Rigo

Predictive distributions that mimic frequencies over a restricted subdomain pp. 17-41

Frank Lad and Giuseppe Sanfilippo

Optimal markov strategies pp. 43-54

William D. Sudderth

Semilattices, canonical embeddings and representing measures pp. 55-74

Gianluca Cassese

A note on rational inattention and rate distortion theory pp. 75-89

Tommaso Denti, Massimo Marinacci and Luigi Montrucchio

Decisions on production and quality pp. 91-107

Luca Grosset and Bruno Viscolani

A dynamic private property resource game with asymmetric firms pp. 109-127

Luca Grilli and Michele Bisceglia

On the construction of optimal payoffs pp. 129-153

L. Rüschendorf and Steven Vanduffel

A general equilibrium evolutionary model with two groups of agents, generating fashion cycle dynamics pp. 155-185

Ahmad Naimzada and Marina Pireddu

Market attention and Bitcoin price modeling: theory, estimation and option pricing pp. 187-228

Alessandra Cretarola, Gianna Figà-Talamanca and Marco Patacca

Does surplus/deficit sharing increase risk-taking in a corporate defined benefit pension plan? pp. 229-249

Katarzyna Romaniuk

Changes in multiplicative risks and optimal portfolio choice: new interpretations and results pp. 251-267

Marzia De Donno, Marco Magnani and Mario Menegatti

A note on Stein’s overreaction puzzle pp. 269-276

Yuehao Lin and Thorsten Lehnert

Trading strategy with stochastic volatility in a limit order book market pp. 277-301

Qing-Qing Yang, Wai-Ki Ching, Jiawen Gu and Tak Kuen Siu

Pricing and hedging defaultable participating contracts with regime switching and jump risk pp. 303-339

Olivier Le Courtois, François Quittard-Pinon and Xiaoshan Su

Optimal reinsurance and investment in a diffusion model pp. 341-361

Matteo Brachetta and Hanspeter Schmidli

Arbitrary initial conditions and the dimension of indeterminacy in linear rational expectations models pp. 363-372

Marco Sorge

When one stock share is a biological individual: a stylized simulation of the population dynamics in an order-driven market pp. 373-408

Hanchao Liu

Volume 42, issue 2, 2019

Quantitative developments in financial volatility—theory and practice pp. 319-320

Elisa Alòs, Maria Elvira Mancino and Tai-Ho Wang

Volatility and volatility-linked derivatives: estimation, modeling, and pricing pp. 321-349

Elisa Alòs, Maria Elvira Mancino and Tai-Ho Wang

Estimation of volatility in a high-frequency setting: a short review pp. 351-385

Jean Jacod

From volatility smiles to the volatility of volatility pp. 387-406

Bernard Dumas and Elisa Luciano

Markovian lifts of positive semidefinite affine Volterra-type processes pp. 407-448

Christa Cuchiero and Josef Teichmann

Estimating stochastic volatility: the rough side to equity returns pp. 449-469

Jonathan Haynes, Daniel Schmitt and Lukas Grimm

Asymptotic results for the Fourier estimator of the integrated quarticity pp. 471-502

Giulia Livieri, Maria Elvira Mancino and Stefano Marmi

On parameter estimation of Heston’s stochastic volatility model: a polynomial filtering method pp. 503-525

F. Cacace, A. Germani and M. Papi

Asymptotic expansion for some local volatility models arising in finance pp. 527-573

Sergio Albeverio, Francesco Cordoni, Luca Persio and Gregorio Pellegrini

Moment explosions in the rough Heston model pp. 575-608

Stefan Gerhold, Christoph Gerstenecker and Arpad Pinter

Calibration of local volatility model with stochastic interest rates by efficient numerical PDE methods pp. 609-637

Julien Hok and Shih-Hau Tan

A realized volatility approach to option pricing with continuous and jump variance components pp. 639-664

Dario Alitab, Giacomo Bormetti, Fulvio Corsi and Adam A. Majewski

Robust calibration and arbitrage-free interpolation of SSVI slices pp. 665-677

Jacopo Corbetta, Pierre Cohort, Ismail Laachir and Claude Martini

Model-free stochastic collocation for an arbitrage-free implied volatility: Part I pp. 679-714

Fabien Floc’h and Cornelis Oosterlee

Semi-analytical prices for lookback and barrier options under the Heston model pp. 715-741

Luca De Gennaro Aquino and Carole Bernard

A note on the implied volatility of floating strike Asian options pp. 743-758

Elisa Alòs and Jorge A. León

Volume 42, issue 1, 2019

Foreword special issue Deaf 2019–Maf 2018 pp. 1-2

Aurea Grane and Marilena Sibillo

Correction to: Foreword special issue Deaf 2019–Maf 2018 pp. 3-3

Aurea Grane and Marilena Sibillo

Small sample properties of ML estimator in Vasicek and CIR models: a simulation experiment pp. 5-19

Giuseppina Albano, Michele La Rocca and Cira Perna

Variable annuities with a threshold fee: valuation, numerical implementation and comparative static analysis pp. 21-49

Anna Rita Bacinello and Ivan Zoccolan

Possibilistic mean–variance portfolios versus probabilistic ones: the winner is pp. 51-75

Marco Corazza and Carla Nardelli

Kyle equilibrium under random price pressure pp. 77-101

José Manuel Corcuera, Giulia Nunno and José Fajardo

A stochastic model to evaluate pricing distortions in indemnity insurance methods for MTPL insurance pp. 103-133

Paola Fersini, Salvatore Forte, Giuseppe Melisi and Gennaro Olivieri

Does market attention affect Bitcoin returns and volatility? pp. 135-155

Gianna Figà-Talamanca and Marco Patacca

A market-consistent framework for the fair evaluation of insurance contracts under Solvency II pp. 157-187

Anna Maria Gambaro, Riccardo Casalini, Gianluca Fusai and Alessandro Ghilarducci

Coherent modeling of mortality patterns for age-specific subgroups pp. 189-204

Giuseppe Giordano, Steven Haberman and Maria Russolillo

Lévy CARMA models for shocks in mortality pp. 205-227

Asmerilda Hitaj, Lorenzo Mercuri and Edit Rroji

Behavioral premium principles pp. 229-257

Martina Nardon and Paolo Pianca

A linear goal programming method to recover risk neutral probabilities from options prices by maximum entropy pp. 259-276

José L. Vilar-Zanón and Olivia Peraita-Ezcurra

On the extension of binary relations in economic and game theories pp. 277-285

Athanasios Andrikopoulos

Time-consistency of risk measures: how strong is such a property? pp. 287-317

Elisa Mastrogiacomo and Emanuela Rosazza Gianin