1. Recent advances in mathematical methods for finance

   • Giorgia Callegaro
   • Claudio Fontana
   • Tiziano Vargiolu

   Editorial Open access 04 April 2024 Pages: 1 - 2

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

   

3. 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

   

4. 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

   

5. Short-time implied volatility of additive normal tempered stable processes

   • Michele Azzone
   • Roberto Baviera

   Original Research Open access 05 September 2022 Pages: 93 - 126

   

6. 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

   

7. Pricing interest rate derivatives under volatility uncertainty

   • Julian Hölzermann

   Original Research Open access 27 August 2022 Pages: 153 - 182

8. XVA modelling: validation, performance and model risk management

   • Lorenzo Silotto
   • Marco Scaringi
   • Marco Bianchetti

   Original Research 14 June 2023 Pages: 183 - 274

   

9. 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

   

10. 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

    

11. 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

    

12. 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

    

13. Random fixed points, systemic risk and resilience of heterogeneous financial network

    • Indrajit Saha
    • Veeraruna Kavitha

    Original Research 24 December 2022 Pages: 383 - 433

    

14. Multivariate systemic optimal risk transfer equilibrium

    • Alessandro Doldi
    • Marco Frittelli

    Original Research Open access 20 August 2022 Pages: 435 - 480

15. 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

    

16. Instabilities in multi-asset and multi-agent market impact games

    • Francesco Cordoni
    • Fabrizio Lillo

    Original Research Open access 23 November 2022 Pages: 505 - 539

    

17. 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

    

18. A Stackelberg order execution game

    • Yinhong Dong
    • Donglei Du
    • Dachuan Xu

    Original Research 07 December 2022 Pages: 571 - 604

    

19. 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

    

20. 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

    

21. Jump-diffusion risk-sensitive benchmarked asset management with traditional and alternative data

    • Mark Davis
    • Sébastien Lleo

    Original Research 26 December 2022 Pages: 661 - 689

22. Ergodic aspects of trading with threshold strategies

    • Attila Lovas
    • Miklós Rásonyi

    Original Research Open access 22 February 2023 Pages: 691 - 709

    

23. Stochastic optimization with dynamic probabilistic forecasts

    • Peter Tankov
    • Laura Tinsi

    Original Research 16 August 2022 Pages: 711 - 747

    

24. Dynamic capital allocation rules via BSDEs: an axiomatic approach

    • Elisa Mastrogiacomo
    • Emanuela Rosazza Gianin

    Original Research Open access 28 August 2022 Pages: 749 - 772

25. Effect of labour income on the optimal bankruptcy problem

    • Guodong Ding
    • Daniele Marazzina

    Original Research Open access 22 January 2023 Pages: 773 - 795

    

26. On horizon-consistent mean-variance portfolio allocation

    • Simone Cerreia-Vioglio
    • Fulvio Ortu
    • Federico Severino

    Original Research 20 June 2022 Pages: 797 - 828

    

27. 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

28. 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

    

29. MAD risk parity portfolios

    • Çağın Ararat
    • Francesco Cesarone
    • Jacopo Maria Ricci

    Original Research Open access 16 January 2024 Pages: 899 - 924

    

30. Implied value-at-risk and model-free simulation

    • Carole Bernard
    • Andrea Perchiazzo
    • Steven Vanduffel

    Original Research 05 November 2022 Pages: 925 - 943

    

31. 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

    

32. Qualitative robustness of utility-based risk measures

    • Pablo Koch-Medina
    • Cosimo Munari

    Original Research Open access 08 August 2022 Pages: 967 - 980

33. Robust reinsurance and investment strategies under principal–agent framework

    • Ning Wang
    • Tak Kuen Siu
    • Kun Fan

    Original Research 26 April 2022 Pages: 981 - 1011

    

34. Convex duality in continuous option pricing models

    • Peter Carr
    • Lorenzo Torricelli

    Original Research 10 January 2023 Pages: 1013 - 1037

    

35. 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

    

36. 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

    

37. 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

    

38. 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

    

39. 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

    

40. 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

    

41. 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

    

42. 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

43. Anticipative information in a Brownian−Poisson market

    • Bernardo D’Auria
    • Jose A. Salmeron

    Original Research Open access 27 November 2022 Pages: 1289 - 1314

44. 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

    

45. Proxying credit curves via Wasserstein distances

    • Matteo Michielon
    • Asma Khedher
    • Peter Spreij

    Original Research Open access 16 February 2022 Pages: 1351 - 1367