Mathematical Finance

Mathematical Finance

ISSNs: 0960-1627

Additional searchable ISSN (Electronic): 1467-9965

Wiley-Blackwell Publishing, Inc., United States

Scopus rating (2022): CiteScore 5 SJR 1.837 SNIP 2.109

Journal

Journal Metrics
1 - 18 out of 18Page size: 20

Research Output

  1. 2023
  2. Online published

    Effective algorithms for optimal portfolio deleveraging problem with cross impact

    Luo, H., Chen, Y., Zhang, X., Li, D. & Wu, H., 30 Mar 2023, (Online published) In: Mathematical Finance.

    Research output: Journal Publications and Reviews (RGC: 21, 22, 62) › 21_Publication in refereed journal › peer-review

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  3. 2022
  4. 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. 825-877

    Research output: Journal Publications and Reviews (RGC: 21, 22, 62) › 21_Publication in refereed journal › peer-review

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  5. 2021

  6. The Alpha-Heston stochastic volatility model

    Jiao, Y., Ma, C., Scotti, S. & Zhou, C., Jul 2021, In: Mathematical Finance. 31, 3, p. 943-978

    Research output: Journal Publications and Reviews (RGC: 21, 22, 62) › 21_Publication in refereed journal › peer-review

    Scopus citations: 9
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  7. Published

    Sharing the Value-at-Risk under Distributional Ambiguity

    Chen, Z. & Xie, W., Jan 2021, In: Mathematical Finance. 31, 1, p. 531-559

    Research output: Journal Publications and Reviews (RGC: 21, 22, 62) › 21_Publication in refereed journal › peer-review

    Scopus citations: 7
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  8. 2018

  9. International reserve management: a drift-switching reflected jump-diffusion model

    CAI, N. & YANG, X., Jan 2018, In: Mathematical Finance. 28, 1, p. 409-446

    Research output: Journal Publications and Reviews (RGC: 21, 22, 62) › 21_Publication in refereed journal › peer-review

    Scopus citations: 6
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  10. 2017

  11. 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. 471-504

    Research output: Journal Publications and Reviews (RGC: 21, 22, 62) › 21_Publication in refereed journal › peer-review

    Scopus citations: 41
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  12. 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. 224-250

    Research output: Journal Publications and Reviews (RGC: 21, 22, 62) › 21_Publication in refereed journal › peer-review

    Scopus citations: 13
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  13. 2016
  14. 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. 748-784

    Research output: Journal Publications and Reviews (RGC: 21, 22, 62) › 21_Publication in refereed journal › peer-review

    Scopus citations: 2
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  15. 2012

  16. 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. 346-378

    Research output: Journal Publications and Reviews (RGC: 21, 22, 62) › 21_Publication in refereed journal › peer-review

    Scopus citations: 97
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  17. SERIES EXPANSION OF THE SABR JOINT DENSITY

    WU, Q., Apr 2012, In: Mathematical Finance. 22, 2, p. 310-345

    Research output: Journal Publications and Reviews (RGC: 21, 22, 62) › 21_Publication in refereed journal › peer-review

    Scopus citations: 7
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  18. 2009

  19. 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. 215-236

    Research output: Journal Publications and Reviews (RGC: 21, 22, 62) › 21_Publication in refereed journal › peer-review

    Scopus citations: 37
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  20. 2008

  21. Optioned portfolio selection: Models and analysis

    LIANG, J., ZHANG, S. & LI, D., Oct 2008, In: Mathematical Finance. 18, 4, p. 569-593

    Research output: Journal Publications and Reviews (RGC: 21, 22, 62) › 21_Publication in refereed journal › peer-review

    Scopus citations: 11
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  22. 2006

  23. 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. 181-202

    Research output: Journal Publications and Reviews (RGC: 21, 22, 62) › 21_Publication in refereed journal › peer-review

    Scopus citations: 99
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  24. OPTIMAL 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. 83-101

    Research output: Journal Publications and Reviews (RGC: 21, 22, 62) › 21_Publication in refereed journal › peer-review

    Scopus citations: 105
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  25. 2000

  26. OPTIMAL DYNAMIC PORTFOLIO SELECTION: MULTIPERIOD MEAN-VARIANCE FORMULATION

    LI, D. & NG, W., Jul 2000, In: Mathematical Finance. 10, 3, p. 387-406

    Research output: Journal Publications and Reviews (RGC: 21, 22, 62) › 21_Publication in refereed journal › peer-review

    Scopus citations: 693
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  27. On the pricing of contingent claims with frictions

    Bensoussan, A. & Julien, H., Apr 2000, In: Mathematical Finance. 10, 2, p. 89-108

    Research output: Journal Publications and Reviews (RGC: 21, 22, 62) › 21_Publication in refereed journal › peer-review

    Scopus citations: 11
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  28. 1995

  29. ATTAINABLE CLAIMS IN A MARKOV MARKET

    Bensoussan, A. & Elliott, R. J., Apr 1995, In: Mathematical Finance. 5, 2, p. 121-131

    Research output: Journal Publications and Reviews (RGC: 21, 22, 62) › 21_Publication in refereed journal › peer-review

    Scopus citations: 6
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  30. 1994

  31. WHEN IS THE SHORT RATE MARKOVIAN?

    Carverhill, A., Oct 1994, In: Mathematical Finance. 4, 4, p. 305-312

    Research output: Journal Publications and Reviews (RGC: 21, 22, 62) › 21_Publication in refereed journal › peer-review

    Scopus citations: 5
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