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Mathematics - Quantitative Finance | Finance and Stochastics – incl. option to publish open access (Press)

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Finance and Stochastics

Finance and Stochastics

Editor: Martin Schweizer

ISSN: 0949-2984 (print version)
ISSN: 1432-1122 (electronic version)

Journal no. 780

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Call for papers

SPECIAL ISSUE Vector- and set-valued methods in stochastic finance and related areas 

Special Issue Editor: Andreas Hamel (Andreas.Hamel@unibz.it)
Deadline for submissions: October 31, 2019
Markets involving transaction costs or illiquidity, multi-utility representations of incomplete
preferences, or risk measures and quantiles for multivariate positions can be
modelled by means of set-valued functions, and this leads to interesting and mathematically
challenging problems. With the goal of fostering activity in these important
current developments, Finance and Stochastics will devote a special issue to this
area. This special issue welcomes (but is not restricted to) contributions to the
following topics:
- multi-utility maximisation and its application to portfolio selection
- Knightian uncertainty optimisation and new approaches to stochastic dominance
optimisation for the uni- and multivariate case
- quantiles, VaR and second order stochastic dominance for multivariate positions,
corresponding AVaRs, Kusuoka-type representations for set-valued risk measures
- dynamic problems and time-consistency for risk measures and utility maximisation
- set-valued approaches to systemic risk measures and their optimisation
- asset-liability management and risk minimisation with set-valued risk measures
- appropriate concepts for stochastic integration of set-valued functions
- applications of the complete lattice concepts from set optimisation to finance,
statistics, insurance
- multivariate Choquet integrals/theorems, random set approach to above problems
- computational methods for above problems based on new theoretical ideas
Papers of high quality and originality are called for. They could focus on new
methods/algorithms or significant improvements in the above areas, or they could be
authoritative and well-written survey papers, for example comparing competing
approaches to multivariate financial models with incomplete preferences. Papers that
have no relation to stochastics at all, or papers that only consider empirical investigations,
are unlikely to meet the criteria for acceptance.
All papers will be reviewed in the usual way so that only papers which meet the high
standards of Finance and Stochastics will be published. The target time for the
special issue to appear is late 2020 or early 2021. Ideally, papers should be
submitted by October 2019, but this is not a hard deadline. All accepted papers will
be published in Finance and Stochastics; the final selection for the special issue will
be made by the editors.
Submission of papers for the special issue should be done in the usual way by e-mail
to finasto@math.ethz.ch, with the phrase “special issue” in the subject to clarify that
the paper is to be considered for the special issue. If you are in doubt about the
suitability of a specific subject or paper, please contact the Guest Editor of the special
issue, Andreas Hamel, at Andreas.Hamel@unibz.it.

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For authors and editors

  • Journal Citation Reports®
    2017 Impact Factor
  • 1.750
  • Aims and Scope

    Aims and Scope


    The purpose of Finance and Stochastics is to provide a high standard publication forum for research
    - in all areas of finance based on stochastic methods
    - on specific topics in mathematics (in particular probability theory, statistics and stochastic analysis) motivated by the analysis of problems in finance.

    Finance and Stochastics encompasses - but is not limited to - the following fields:
    - theory and analysis of financial markets
    - continuous time finance
    - derivatives research
    - insurance in relation to finance
    - portfolio selection
    - credit and market risks
    - term structure models
    - statistical and empirical financial studies based on advanced stochastic methods
    - numerical and stochastic solution techniques for problems in finance
    - intertemporal economics, uncertainty and information in relation to finance.

    Finance and Stochastics also publish surveys on financial topics of general interest if they clearly picture and illuminate the basic ideas and techniques at work, the interrelationship of different approaches and the central questions which remain open. Special issues may be devoted to specific topics in rapidly growing research ares.
    In summary, Finance and Stochastics serve as a publication platform for both theoretical and applied financial economists using advanced stochastic methods and researchers in stochastics motivated by and interested in applications in finance and insurance.

    Officially cited as: Finance Stoch

    The first Editor-in-Chief was Dieter Sondermann (1996), who was succeeded by Martin Schweizer (2004).

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