Annals of Operations Research

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Volume 336, Issue 1-2

May 2024

Recent Advances in Mathematical Methods for Finance

45 articles in this issue

Recent advances in mathematical methods for finance
Giorgia Callegaro
Claudio Fontana
Tiziano Vargiolu
Editorial Open access 04 April 2024 Pages: 1 - 2
A general framework for a joint calibration of VIX and VXX options
Martino Grasselli
Andrea Mazzoran
Andrea Pallavicini
Original Research 04 February 2023 Pages: 3 - 26
Hawkes-driven stochastic volatility models: goodness-of-fit testing of alternative intensity specifications with S &P500 data
Iacopo Raffaelli
Simone Scotti
Giacomo Toscano
Original Research Open access 23 August 2022 Pages: 27 - 45
Large and moderate deviations for importance sampling in the Heston model
Marc Geha
Antoine Jacquier
Žan Žurič
Original Research Open access 22 June 2023 Pages: 47 - 92
Short-time implied volatility of additive normal tempered stable processes
Michele Azzone
Roberto Baviera
Original Research Open access 05 September 2022 Pages: 93 - 126
CBI-time-changed Lévy processes for multi-currency modeling
Claudio Fontana
Alessandro Gnoatto
Guillaume Szulda
Original Research Open access 28 September 2022 Pages: 127 - 152
Pricing interest rate derivatives under volatility uncertainty
Julian Hölzermann
Original Research Open access 27 August 2022 Pages: 153 - 182
XVA modelling: validation, performance and model risk management
Lorenzo Silotto
Marco Scaringi
Marco Bianchetti
Original Research 14 June 2023 Pages: 183 - 274
Commodity Asian option pricing and simulation in a 4-factor model with jump clusters
Riccardo Brignone
Luca Gonzato
Carlo Sgarra
Original Research Open access 07 January 2023 Pages: 275 - 306
An efficient unified approach for spread option pricing in a copula market model
Edoardo Berton
Lorenzo Mercuri
Original Research 24 August 2023 Pages: 307 - 329
Neural network expression rates and applications of the deep parametric PDE method in counterparty credit risk
Kathrin Glau
Linus Wunderlich
Original Research Open access 13 April 2023 Pages: 331 - 357
From regression models to machine learning approaches for long term Bitcoin price forecast
Andrea Caliciotti
Marco Corazza
Giovanni Fasano
Original Research 03 July 2023 Pages: 359 - 381
Random fixed points, systemic risk and resilience of heterogeneous financial network
Indrajit Saha
Veeraruna Kavitha
Original Research 24 December 2022 Pages: 383 - 433
Multivariate systemic optimal risk transfer equilibrium
Alessandro Doldi
Marco Frittelli
Original Research Open access 20 August 2022 Pages: 435 - 480
Computing the probability of a financial market failure: a new measure of systemic risk
Robert Jarrow
Philip Protter
Alejandra Quintos
Original Research 22 December 2022 Pages: 481 - 503
Instabilities in multi-asset and multi-agent market impact games
Francesco Cordoni
Fabrizio Lillo
Original Research Open access 23 November 2022 Pages: 505 - 539
MFG model with a long-lived penalty at random jump times: application to demand side management for electricity contracts
Clémence Alasseur
Luciano Campi
Jia Zeng
Original Research 11 April 2023 Pages: 541 - 569
A Stackelberg order execution game
Yinhong Dong
Donglei Du
Dachuan Xu
Original Research 07 December 2022 Pages: 571 - 604
Optimal order execution under price impact: a hybrid model
Marina Di Giacinto
Claudio Tebaldi
Tai-Ho Wang
Original Research 16 December 2022 Pages: 605 - 636
Self-exciting price impact via negative resilience in stochastic order books
Julia Ackermann
Thomas Kruse
Mikhail Urusov
Original Research Open access 20 September 2022 Pages: 637 - 659
Jump-diffusion risk-sensitive benchmarked asset management with traditional and alternative data
Mark Davis
Sébastien Lleo
Original Research 26 December 2022 Pages: 661 - 689
Ergodic aspects of trading with threshold strategies
Attila Lovas
Miklós Rásonyi
Original Research Open access 22 February 2023 Pages: 691 - 709
Stochastic optimization with dynamic probabilistic forecasts
Peter Tankov
Laura Tinsi
Original Research 16 August 2022 Pages: 711 - 747
Dynamic capital allocation rules via BSDEs: an axiomatic approach
Elisa Mastrogiacomo
Emanuela Rosazza Gianin
Original Research Open access 28 August 2022 Pages: 749 - 772
Effect of labour income on the optimal bankruptcy problem
Guodong Ding
Daniele Marazzina
Original Research Open access 22 January 2023 Pages: 773 - 795
On horizon-consistent mean-variance portfolio allocation
Simone Cerreia-Vioglio
Fulvio Ortu
Federico Severino
Original Research 20 June 2022 Pages: 797 - 828
Inf-convolution and optimal risk sharing with countable sets of risk measures
Marcelo Brutti Righi
Marlon Ruoso Moresco
Original Research 17 March 2022 Pages: 829 - 860
The importance of dynamic risk constraints for limited liability operators
John Armstrong
Damiano Brigo
Alex S. L. Tse
Original Research Open access 04 April 2023 Pages: 861 - 898
MAD risk parity portfolios
Çağın Ararat
Francesco Cesarone
Jacopo Maria Ricci
Original Research Open access 16 January 2024 Pages: 899 - 924
Implied value-at-risk and model-free simulation
Carole Bernard
Andrea Perchiazzo
Steven Vanduffel
Original Research 05 November 2022 Pages: 925 - 943
Portfolio analysis with mean-CVaR and mean-CVaR-skewness criteria based on mean–variance mixture models
Nuerxiati Abudurexiti
Kai He
Ruoyu Sun
Original Research 30 May 2023 Pages: 945 - 966
Qualitative robustness of utility-based risk measures
Pablo Koch-Medina
Cosimo Munari
Original Research Open access 08 August 2022 Pages: 967 - 980
Robust reinsurance and investment strategies under principal–agent framework
Ning Wang
Tak Kuen Siu
Kun Fan
Original Research 26 April 2022 Pages: 981 - 1011
Convex duality in continuous option pricing models
Peter Carr
Lorenzo Torricelli
Original Research 10 January 2023 Pages: 1013 - 1037
Co-movements, option pricing and risk management: an application to WTI versus Brent spread options
Domenico De Giovanni
Arturo Leccadito
Debora Loccisano
Original Research Open access 14 November 2022 Pages: 1039 - 1061
A valuation of a corn ethanol plant through a compound options model under skew-Brownian motions
Marta Biancardi
Michele Bufalo
Giovanni Villani
Original Research Open access 09 March 2023 Pages: 1063 - 1087
Seasonality in commodity prices: new approaches for pricing plain vanilla options
Carme Frau
Viviana Fanelli
Original Research Open access 13 January 2023 Pages: 1089 - 1131
Evaluating the optimal timing and capacity of investments in flexible combined heat and power generation for energy-intensive industries
Dimitrios Zormpas
Giorgia Oggioni
Original Research Open access 22 March 2023 Pages: 1133 - 1160
Optimal ecological transition path of a credit portfolio distribution, based on multidate Monge–Kantorovich formulation
Emmanuel Gobet
Clara Lage
Original Research 25 May 2023 Pages: 1161 - 1195
Bridging socioeconomic pathways of \(\textrm{CO}_2\) emission and credit risk
Florian Bourgey
Emmanuel Gobet
Ying Jiao
Original Research 19 December 2022 Pages: 1197 - 1218
A multi-criteria approach to evolve sparse neural architectures for stock market forecasting
Faizal Hafiz
Jan Broekaert
Akshya Swain
Original Research 08 December 2023 Pages: 1219 - 1263
Stochastic Volterra equations with time-changed Lévy noise and maximum principles
Giulia di Nunno
Michele Giordano
Original Research Open access 30 March 2023 Pages: 1265 - 1287
Anticipative information in a Brownian−Poisson market
Bernardo D’Auria
Jose A. Salmeron
Original Research Open access 27 November 2022 Pages: 1289 - 1314
Optimal bailout strategies resulting from the drift controlled supercooled Stefan problem
Christa Cuchiero
Christoph Reisinger
Stefan Rigger
Original Research Open access 29 April 2023 Pages: 1315 - 1349
Proxying credit curves via Wasserstein distances
Matteo Michielon
Asma Khedher
Peter Spreij
Original Research Open access 16 February 2022 Pages: 1351 - 1367

Volume 336, Issue 1-2

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