Mathematical Finance
Mathematical Finance
ISSNs: 0960-1627
Additional searchable ISSN (electronic): 1467-9965
Wiley-Blackwell Publishing, Inc., United States
Scopus rating (2023): CiteScore 4.1 SJR 1.616 SNIP 1.655
Journal
Research Output
- 2024
- Published
Effective algorithms for optimal portfolio deleveraging problem with cross impact
Luo, H., Chen, Y., Zhang, X., Li, D. & Wu, H., Jan 2024, In: Mathematical Finance. 34, 1, p. 36-89Research output: Journal Publications and Reviews › RGC 21 - Publication in refereed journal › peer-review
Scopus citations: 2 - 2023
Trading under the proof-of-stake protocol – A continuous-time control approach
Tang, W. & Yao, D. D., Oct 2023, In: Mathematical Finance. 33, 4, p. 979-1004Research output: Journal Publications and Reviews › RGC 21 - Publication in refereed journal › peer-review
Scopus citations: 3- 2022
- Published
Inter-temporal mutual-fund management
Bensoussan, A., Cheung, K. C., Li, Y. & Yam, S. C. P., Jul 2022, In: Mathematical Finance. 32, 3, p. 825-877Research output: Journal Publications and Reviews › RGC 21 - Publication in refereed journal › peer-review
Scopus citations: 1 - 2021
The Alpha-Heston stochastic volatility model
Jiao, Y., Ma, C., Scotti, S. & Zhou, C., Jul 2021, In: Mathematical Finance. 31, 3, p. 943-978Research output: Journal Publications and Reviews › RGC 21 - Publication in refereed journal › peer-review
Scopus citations: 16- Published
Sharing the Value-at-Risk under Distributional Ambiguity
Chen, Z. & Xie, W., Jan 2021, In: Mathematical Finance. 31, 1, p. 531-559Research output: Journal Publications and Reviews › RGC 21 - Publication in refereed journal › peer-review
Scopus citations: 18 - 2018
International reserve management: a drift-switching reflected jump-diffusion model
CAI, N. & YANG, X., Jan 2018, In: Mathematical Finance. 28, 1, p. 409-446Research output: Journal Publications and Reviews › RGC 21 - Publication in refereed journal › peer-review
Scopus citations: 8- 2017
MEAN-VARIANCE POLICY FOR DISCRETE-TIME CONE-CONSTRAINED MARKETS: TIME CONSISTENCY IN EFFICIENCY AND THE MINIMUM-VARIANCE SIGNED SUPERMARTINGALE MEASURE
Cui, X., Li, D. & Li, X., Apr 2017, In: Mathematical Finance. 27, 2, p. 471-504Research output: Journal Publications and Reviews › RGC 21 - Publication in refereed journal › peer-review
Scopus citations: 45- Published
REAL OPTIONS WITH COMPETITION AND REGIME SWITCHING
Bensoussan, A., Hoe, S., Yan, Z. & Yin, G., 1 Jan 2017, In: Mathematical Finance. 27, 1, p. 224-250Research output: Journal Publications and Reviews › RGC 21 - Publication in refereed journal › peer-review
Scopus citations: 17 - 2016
- Published
EXPECTATIONS OF FUNCTIONS OF STOCHASTIC TIME WITH APPLICATION TO CREDIT RISK MODELING
Costin, O., Gordy, M. B., Huang, M. & Szerszen, P. J., 1 Oct 2016, In: Mathematical Finance. 26, 4, p. 748-784Research output: Journal Publications and Reviews › RGC 21 - Publication in refereed journal › peer-review
Scopus citations: 4 - 2012
BETTER THAN DYNAMIC MEAN-VARIANCE: TIME INCONSISTENCYAND FREE CASH FLOW STREAM
CUI, X., LI, D., WANG, S. & ZHU, S., Apr 2012, In: Mathematical Finance. 22, 2, p. 346-378Research output: Journal Publications and Reviews › RGC 21 - Publication in refereed journal › peer-review
Scopus citations: 102SERIES EXPANSION OF THE SABR JOINT DENSITY
WU, Q., Apr 2012, In: Mathematical Finance. 22, 2, p. 310-345Research output: Journal Publications and Reviews › RGC 21 - Publication in refereed journal › peer-review
Scopus citations: 8- 2009
Optimal consumption and portfolio decisions with partially observed real prices
Bensoussan, A., Keppo, J. & Sethi, S. P., Apr 2009, In: Mathematical Finance. 19, 2, p. 215-236Research output: Journal Publications and Reviews › RGC 21 - Publication in refereed journal › peer-review
Scopus citations: 41- 2008
Optioned portfolio selection: Models and analysis
LIANG, J., ZHANG, S. & LI, D., Oct 2008, In: Mathematical Finance. 18, 4, p. 569-593Research output: Journal Publications and Reviews › RGC 21 - Publication in refereed journal › peer-review
Scopus citations: 15- 2006
CLASSICAL AND IMPULSE STOCHASTIC CONTROL FOR THE OPTIMIZATION OF THE DIVIDEND AND RISK POLICIES OF AN INSURANCE FIRM
Cadenillas, A., Choulli, T., Taksar, M. & Zhang, L., Jan 2006, In: Mathematical Finance. 16, 1, p. 181-202Research output: Journal Publications and Reviews › RGC 21 - Publication in refereed journal › peer-review
Scopus citations: 109OPTIMAL LOT SOLUTION TO CARDINALITY CONSTRAINED MEAN–VARIANCE FORMULATION FOR PORTFOLIO SELECTION
LI, D., SUN, X. & WANG, J., Jan 2006, In: Mathematical Finance. 16, 1, p. 83-101Research output: Journal Publications and Reviews › RGC 21 - Publication in refereed journal › peer-review
Scopus citations: 113- 2000
OPTIMAL DYNAMIC PORTFOLIO SELECTION: MULTIPERIOD MEAN-VARIANCE FORMULATION
LI, D. & NG, W.-L., Jul 2000, In: Mathematical Finance. 10, 3, p. 387-406Research output: Journal Publications and Reviews › RGC 21 - Publication in refereed journal › peer-review
Scopus citations: 787On the pricing of contingent claims with frictions
Bensoussan, A. & Julien, H., Apr 2000, In: Mathematical Finance. 10, 2, p. 89-108Research output: Journal Publications and Reviews › RGC 21 - Publication in refereed journal › peer-review
Scopus citations: 12- 1995
ATTAINABLE CLAIMS IN A MARKOV MARKET
Bensoussan, A. & Elliott, R. J., Apr 1995, In: Mathematical Finance. 5, 2, p. 121-131Research output: Journal Publications and Reviews › RGC 21 - Publication in refereed journal › peer-review
Scopus citations: 6- 1994
WHEN IS THE SHORT RATE MARKOVIAN?
Carverhill, A., Oct 1994, In: Mathematical Finance. 4, 4, p. 305-312Research output: Journal Publications and Reviews › RGC 21 - Publication in refereed journal › peer-review
Scopus citations: 64