Editorial for the Special Issue of Journal of Risk and Financial Management: Featured Papers in Mathematics and Finance

We are privileged to present this Special Issue of the Journal of Risk and Financial Management (JRFM), focused on the intersection of mathematics and finance. The 27 contributions to this issue explore theoretical advancements and practical applications in financial risk management, asset pricing, and portfolio optimization. These papers collectively emphasize the ongoing synergy between mathematical rigor and financial innovation.

• Key Highlights of the Issue

This Special Issue encompasses a variety of topics, reflecting the extensive research at the intersection of mathematics and finance:

• Asset Pricing and Portfolio Optimization: Several papers tackle challenges in pricing and managing portfolios, including enhancements to classical models, such as CAPM and the Fama–French three-factor model, and new approaches utilizing entropy and Bayesian analysis. One notable work introduces a novel metric for analyzing downside risks in portfolio selection.
• Green Finance and ESG: The growing importance of sustainability is evident, with studies investigating the resilience of green investments amid policy uncertainties and ESG reporting’s influence on financial performance.
• Advanced Statistical and Econometric Techniques: Innovations in econometrics are represented by studies on multivariate GARCH models, penalized regression, and improved methods for estimating implied volatility. These papers highlight how refined mathematical tools can better capture market dynamics and dependencies.
• Cryptocurrency and Financial Technology: Several contributions delve into cryptocurrency markets, examining interconnected risks, uncertainty indices, and volatility spillovers. These studies showcase the evolving challenges digital assets pose and their integration into traditional finance.
• Risk Measures and Financial Stability: Papers on value at risk (VaR) and conditional VaR (CVaR) offer insights into managing extreme financial risks. Additionally, the stability of banking systems and non-performing loans under fiscal constraints is rigorously analyzed.
• Financial Engineering: Advanced derivative pricing models, including those for path-dependent and step barrier options, demonstrate the application of complex mathematical frameworks to real-world financial instruments.
• Macro-Financial Linkages: Studies exploring the interaction of monetary policy, climate change, and energy uncertainty on financial markets underline the importance of integrating macroeconomic considerations into financial modeling.

• Implications for Research and Practice

This collection underscores the indispensable role of mathematical modeling in addressing contemporary financial challenges. From enhancing portfolio optimization to managing risks in volatile markets, these studies provide actionable insights for academics and practitioners alike. They also highlight emerging areas of inquiry, such as integrating sustainability metrics and quantifying systemic risks in interconnected markets.