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

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 journalpeer-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 journalpeer-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 journalpeer-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 journalpeer-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 journalpeer-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 journalpeer-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 journalpeer-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 journalpeer-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 journalpeer-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 journalpeer-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 journalpeer-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 journalpeer-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 journalpeer-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 journalpeer-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 journalpeer-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 journalpeer-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 journalpeer-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 journalpeer-review

    Scopus citations: 5
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