Decisions in Economics and Finance

1978 - 2024

Current editor(s): Paolo Ghirardato

From:
Springer
Associazione per la Matematica
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Volume 34, issue 2, 2011

Utility indifference valuation for jump risky assets pp. 85-120

Claudia Ceci and Anna Gerardi

Allocation of public funds to R&D: a portfolio choice-styled decision model and a biotechnology case study pp. 121-139

Dmitriy Volinskiy, Michele Veeman and Wiktor Adamowicz

Optimal portfolio choice in the presence of domestic systemic risk: empirical evidence from stock markets pp. 141-168

Marcel Prokopczuk

Volume 34, issue 1, 2011

A customer’s utility measure based on the reliability of multi-state systems pp. 1-20

Guglielmo D’Amico, Giuseppe Di Biase and Raimondo Manca

Continuous-time mean-variance portfolio optimization in a jump-diffusion market pp. 21-40

Özge Alp and Ralf Korn

Real options game analysis of sleeping patents pp. 41-65

Chi Leung and Yue Kwok

On robust asymmetric equilibria in asymmetric R&D-driven growth economies pp. 67-84

Paolo Giordani and Luca Zamparelli

Volume 33, issue 2, 2010

Adaptive algorithms for maximizing overall stock return pp. 81-95

Charles Lee and Kristy Tran

Dynamic voluntary provision of public goods with uncertainty: a stochastic differential game model pp. 97-116

Wen-Kai Wang and Christian-Oliver Ewald

Sensitivities for Bermudan options by regression methods pp. 117-138

Denis Belomestny, G. Milstein and John Schoenmakers

Mixture sets on finite domains pp. 139-147

Matthew Ryan

A closed-form solution for the continuous-time consumption model with endogenous labor income pp. 149-167

Aihua Zhang

Volume 33, issue 1, 2010

Eugenio Levi and his scientific production: a note on the occasion of the 40th anniversary of his death pp. 1-5

Paola Modesti

Some new characterization of rational expectation equilibria in economies with asymmetric information pp. 7-21

Anna De Simone and Ciro Tarantino

Optimal prepayment and default rules for mortgage-backed securities pp. 23-47

Giulia De Rossi and Tiziano Vargiolu

An improved combinatorial approach for pricing Parisian options pp. 49-61

Yuh-Dauh Lyuu and Cheng-Wei Wu

Explicit formulas for the minimal variance hedging strategy in a martingale case pp. 63-79

Flavio Angelini and Stefano Herzel

Volume 32, issue 2, 2009

Memory of Jean-Yves Jaffray pp. 79-81

Michèle Cohen

An equilibrium model of insider trading in continuous time pp. 83-128

Roberto Monte and Barbara Trivellato

Pricing American barrier options with discrete dividends by binomial trees pp. 129-148

Marcellino Gaudenzi and Antonino Zanette

The predictive power of fund ratings with a novel approach using uncertainty measures to analyzing risk pp. 149-160

Virginie Terraza and Carole Toque

Computationally simple lattice methods for option and bond pricing pp. 161-181

Massimo Costabile, Arturo Leccadito and Ivar Massabó

Volume 32, issue 1, 2009

Obituary pp. 1-4

Achille Basile

Arbitrage in stationary markets pp. 5-12

Igor Evstigneev and Dhruv Kapoor

Knightian uncertainty and insurance regulation decision pp. 13-33

An Chen and Xia Su

A scenario-based integrated approach for modeling carbon price risk pp. 35-48

Zili Zhu, Paul Graham, Luke Reedman and Thomas Lo

Efficient quasi-Monte simulations for pricing high-dimensional path-dependent options pp. 49-65

Piergiacomo Sabino

On the computability of quasi-transitive binary social choice rules in an infinite society and the halting problem pp. 67-78

Yasuhito Tanaka

Volume 31, issue 2, 2008

Unawareness, priors and posteriors pp. 81-94

Salvatore Modica

Axiomatic approach to approximate solutions in multiobjective optimization pp. 95-115

E. Miglierina, E. Molho, F. Patrone and S. Tijs

Approximate equilibrium in pure strategies for a two-stage game of asset creation pp. 117-136

Marta Faias

Optimal consumption and investment under partial information pp. 137-170

Wolfgang Putschögl and Jörn Sass

Volume 31, issue 1, 2008

The competitive firm under price uncertainty: the role of information and hedging pp. 1-11

Udo Broll and Bernhard Eckwert

Path dependent volatility pp. 13-32

Paolo Foschi and Andrea Pascucci

A moments and strike matching binomial algorithm for pricing American Put options pp. 33-49

Benjamin Jourdain and Antonino Zanette

The optimal capital structure of the firm with stable Lévy assets returns pp. 51-72

Olivier Le Courtois and François Quittard-Pinon

A note on arbitrage in term structure pp. 73-79

Miklós Rásonyi

Volume 30, issue 2, 2007

Default-risky bond prices with jumps, liquidity risk and incomplete information pp. 109-136

Monique Jeanblanc and Stoyan Valchev

On the smoothness of optimal paths II: some local turnpike results pp. 137-150

Joël Blot and Bertrand Crettez

Volume 30, issue 1, 2007

Linear cumulative prospect theory with applications to portfolio selection and insurance demand pp. 1-18

Ulrich Schmidt and Horst Zank

The origins of the mean-variance approach in finance: revisiting de Finetti 65 years later pp. 19-49

Flavio Pressacco and Paolo Serafini

Core equivalence theorem: countably many types of agents and commodities in $\vec{L}^{1}(\mu)$ pp. 51-70

Anna Martellotti

Shortfall risk minimization in a discrete regime switching model pp. 71-78

Gerard Awanou

Volume 29, issue 2, 2006

On pricing lookback options under the CEV process pp. 139-153

Massimo Costabile

On the relationship between absolute prudence and absolute risk aversion pp. 155-160

Mario Maggi, Umberto Magnani and Mario Menegatti

Volume 29, issue 1, 2006

The completion of security markets pp. 1-21

Christos Kountzakis and Ioannis Polyrakis

Taxes and money in incomplete financial markets pp. 23-54

Elena del Mercato and Antonio Villanacci

Notes and Comments: Stochastic demand correspondences and their aggregation properties pp. 55-69

José Alcantud

Volume 28, issue 2, 2006

Homogeneous semi-Markov reliability models for credit risk management* pp. 79-93

Guglielmo D’Amico, Jacques Janssen and Raimondo Manca

An overlapping generations model with non-ordered preferences and numeraire-incomplete markets* pp. 95-112

Abdelkrim Seghir

Notes and Comments: An approximation of caplet implied volatilities in Gaussian models pp. 113-127

Flavio Angelini and Stefano Herzel

Volume 28, issue 1, 2005

Notes and Comments: Measures of risk attitude: correspondences between mean-variance and expected-utility approaches pp. 53-65

Thomas Eichner and Andreas Wagener

Notes and Comments: Sup-convolutions of HARA utilities in the affine term structure pp. 67-78

Martino Grasselli