Decisions in Economics and Finance

1978 - 2024

Current editor(s): Paolo Ghirardato

From:
Springer
Associazione per la Matematica
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Volume 38, issue 2, 2015

Term structure of interest rates estimation using rational Chebyshev functions pp. 119-146

Polychronis Manousopoulos and Michalis Michalopoulos

Prepayment risk on callable bonds: theory and test pp. 147-176

Pascal François and Sophie Pardo

Stochastic control model for R&D race in a mixed duopoly with spillovers and knowledge stocks pp. 177-195

Jingjing Wang, Chi Leung and Yue Kwok

A model of information flows and confirmatory bias in financial markets pp. 197-215

Mark Bowden

Risk management under a prudential policy pp. 217-230

Hirbod Assa

Computing the distribution of the sum of dependent random variables via overlapping hypercubes pp. 231-255

Marcello Galeotti

Volume 38, issue 1, 2015

Markets with random lifetimes and private values: mean reversion and option to trade pp. 1-19

Jaksa Cvitanic, Charles Plott and Chien-Yao Tseng

Gambling in contests modelled with diffusions pp. 21-37

Han Feng and David Hobson

On a fuzzy cash flow model with insurance applications pp. 39-54

Daniela Ungureanu and Raluca Vernic

Rent-seeking group contests with one-sided private information pp. 55-73

Rob Everhardt and Lambert Schoonbeek

Financial economics without probabilistic prior assumptions pp. 75-91

Frank Riedel

Using Value-at-Risk to reconcile limited liability and the moral-hazard problem pp. 93-118

Vanda Tulli and Gerd Weinrich

Volume 37, issue 2, 2014

Numeraire portfolios and utility-based price systems under proportional transaction costs pp. 195-234

Jörn Sass and Manfred Schäl

Estimating overnight volatility of asset returns by using the generalized dynamic factor model approach pp. 235-254

Umberto Triacca and Fulvia Focker

Selecting stochastic mortality models for the Italian population pp. 255-286

Paola Biffi and Gian Clemente

The restricted convex risk measures in actuarial solvency pp. 287-318

Dimitrios Konstantinides and Christos Kountzakis

Symmetry and Bates’ rule in Ornstein–Uhlenbeck stochastic volatility models pp. 319-327

José Fajardo

Hedging and the competitive firm under correlated price and background risk pp. 329-340

Kit Wong

A note on the existence of CAPM equilibria with homogeneous cumulative prospect theory preferences pp. 341-348

Matteo Del Vigna

Existence of financial equilibria with endogenous short selling restrictions and real assets pp. 349-371

Michele Gori, Marina Pireddu and Antonio Villanacci

Portfolio optimization for an investor with a benchmark pp. 373-384

R. Korn and C. Lindberg

Saving motives and multivariate precautionary premia pp. 385-391

Christophe Courbage

An application of nonparametric volatility estimators to option pricing pp. 393-412

Romuald Kenmoe and Simona Sanfelici

Production and hedging in futures markets with multiple delivery specifications pp. 413-421

Kit Wong

Measuring and adjusting for overconfidence pp. 423-452

P. Schanbacher

Optimal portfolio choice and consistent performance pp. 453-474

Xianzhe Chen and Weidong Tian

Volume 37, issue 1, 2014

Foreword to the special issue on nonlinear economic dynamics pp. 1-2

Gian Italo Bischi, Jose Cánovas and Michael Kopel

Expectations and industry location: a discrete time dynamical analysis pp. 3-26

Anna Agliari, Pasquale Commendatore, Ilaria Foroni and Ingrid Kubin

One-dimensional maps with two discontinuity points and three linear branches: mathematical lessons for understanding the dynamics of financial markets pp. 27-51

Fabio Tramontana, Frank Westerhoff and Laura Gardini

Discrete-time delay dynamics of boundedly rational monopoly pp. 53-79

Akio Matsumoto and Ferenc Szidarovszky

Endogenous lifetime, accidental bequests and economic growth pp. 81-98

Luciano Fanti, Luca Gori and Fabio Tramontana

Property rights for natural resources and sustainable growth in a two-country trade model pp. 99-123

Francisco Cabo, Guiomar Martin-Herran and María Pilar Martínez-García

Heterogeneous expectations and debt in a growth model for a small open economy pp. 125-136

Michael Wegener

Relational consumption and nonlinear dynamics in an overlapping generations model pp. 137-158

Angelo Antoci, Mauro Sodini and Luca Zarri

Indeterminacy and nonlinear dynamics in an OLG growth model with endogenous labour supply and inherited tastes pp. 159-179

Luca Gori and Mauro Sodini

Nonparametric correlation integral–based tests for linear and nonlinear stochastic processes pp. 181-193

Mariano Matilla-García, Manuel Ruiz Marin, Mohammed Dore and Rina Ojeda

Volume 36, issue 2, 2013

An optimal insurance design problem under Knightian uncertainty pp. 99-124

Carole Bernard, Shaolin Ji and Weidong Tian

The firm under uncertainty: real and financial decisions pp. 125-136

Udo Broll and Kit Wong

Robustness for path-dependent volatility models pp. 137-167

Mauro Rosestolato, Tiziano Vargiolu and Giovanna Villani

Investment and capital structure decisions of foreign subsidiary with international debt shifting and exchange rate uncertainty pp. 169-197

Masaaki Kijima and Yuan Tian

Multidimensional quasi-Monte Carlo Malliavin Greeks pp. 199-224

Nicola Cufaro Petroni and Piergiacomo Sabino

Volume 36, issue 1, 2013

Optimal portfolio selection via conditional convex risk measures on L p pp. 1-21

Beatrice Acciaio and Verena Goldammer

Performance of investment strategies in the absence of correct beliefs pp. 23-37

Çisem Bektur

Investing equally in risk pp. 39-46

Carl Lindberg

Option-based risk management of a bond portfolio under regime switching interest rates pp. 47-70

Fabio Antonelli, Alessandro Ramponi and Sergio Scarlatti

Pricing VIX options with stochastic volatility and random jumps pp. 71-88

Guang-Hua Lian and Song-Ping Zhu

Stackelberg problems with followers in the grand coalition of a Tu-game pp. 89-98

C. Pensavalle and G. Pieri

Volume 35, issue 2, 2012

Portfolio optimization in a defaultable market under incomplete information pp. 91-111

Giorgia Callegaro, Monique Jeanblanc and Wolfgang Runggaldier

How should a convertible bond be decomposed? pp. 113-149

Song-Ping Zhu and Jing Zhang

Optimal investment for executive stockholders with exponential utility pp. 151-170

Sascha Desmettre

Valuation of fixed and variable rate mortgages: binomial tree versus analytical approximations pp. 171-202

Werner Hürlimann

Volume 35, issue 1, 2012

Risk aversion and risk vulnerability in the continuous and discrete case pp. 1-28

Martin Bohner and Gregory Gelles

Exchange rate bifurcation in a stochastic evolutionary finance model pp. 29-58

Gregory Gagnon

On the linearity of the wage–profit relation in a Sraffa’s model: a mathematical summing-up pp. 59-73

G. Giorgi and C. Zuccotti

Privatization of businesses and flexible investment: a real option approach pp. 75-89

Walailuck Chavanasporn and Christian-Oliver Ewald