2025 July - 23 articles
This paper enhances the calibration procedure for pricing spread options with liquidity risk. The novelty is the use of Chebyshev interpolation to fit the prices.Numerical experiments reveal that the calibrated parameters are close to the ones obtain...
As requested by the Editorial Office, the authors have removed Eliana Angelini from the author list due to insufficient contribution to the published paper (Di Febo 2025) [...]
As investment portfolios become increasingly diversified and financial asset risks grow more complex, accurately forecasting the risk of multiple asset classes through mathematical modeling and identifying their heterogeneity has emerged as a critica...
The simulation of wind power, electricity load, and natural gas prices will allow commodity traders to see the future movement of prices in a more probabilistic manner. The ability to observe possible paths for wind power, electricity load, and natur...
Over the past decade, multifactor models have shown enhanced capability compared to single-factor models in explaining asset return variability. Given the common assertion that higher risk tends to yield higher returns, this study empirically examine...
This study explores the presence of hidden market regimes in a sector-specific stock index within the Thai equity market. The behavior of such indices often deviates from broader macroeconomic trends, making it difficult for conventional models to de...
This study examines the degree of alignment between the actual environmental performance and the ESG disclosures of 365 listed financial institutions in Europe for the fiscal year 2024. Although ESG reporting has become a standard practice in the fin...
Healthcare cost acceleration and resource allocation issues have worsened across European health systems, where a small group of patients drives excessive healthcare spending. The prediction of high-cost utilization patterns is important for the sust...
This paper is concerned with the choice of data granularity for the application of the Mack chain ladder model to forecast a loss reserve. It is a sequel to a related paper by Taylor, which considers the same question for the EDF chain ladder model....
The growth of Artificial Intelligence applications requires the development of risk management models that can balance opportunities with risks. This paper contributes to the development of Artificial Intelligence risk management models by means of a...
Globalization and the spread of technological innovations have made world markets and economies increasingly unified and conditioned by international trade, not only for sales markets but above all for the supply of raw materials necessary for the fu...
The objective of this paper is to analyse profitability and risk through the return on equity (ROE) measure of the open economy insurance sector in a non-stable economic period with an economic shock chain, during the years 2018–2022, character...
Machine learning applications in finance commonly employ feature decorrelation techniques developed for generic statistical problems. We investigate whether this practice appropriately addresses the unique characteristics of financial data, where cor...
This study investigates the relationship between overconfidence and meme stock valuation, drawing on panel data from 28 meme stocks listed from 2019 to 2024. The analysis incorporates key financial indicators, including Tobin’s Q ratio, market...
We investigate the influence of boardroom gender diversity on earnings management. Drawing on a sample of European firms over the 2010–2023 period, we document an inverted U-shaped nexus between boardroom gender heterogeneity and earnings manip...
In the present study, we model the migration process and the changes in the market environment. The migration process is being modeled as an
This paper introduces a methodology for estimating transition intensities in a multi-state model for disability and long-term care insurance. We propose a novel framework that integrates observable risk factors, such as demographic (age and sex), lif...
This study aims to analyze the determinants of bank profitability in Angola by employing panel data econometric models, specifically, the Generalized Method of Moments (GMM), to assess the impact of internal and external factors on the financial indi...
Capital investment in longevity science—research targeting the biological processes of aging through interventions like cellular reprogramming, AI-driven drug discovery, and biological age monitoring—may create significant divergence betw...
The aim of this research is to thoroughly investigate the influence of the 2025 Donald Trump Presidential Inauguration on informational efficiency of the U.S. exchange-traded fund market in the context of political risk. The data set includes daily o...
Using panel data spanning 2004–2023 of 21 countries in the MENA (Middle East and North Africa) region, we measure systemic risk and assess its influence on key banking sector performance indicators, including financial stability (proxied by com...
COVID-19’s effects on mortality are hard to quantify. Issues with attribution can cause problems with resulting conclusions. Analyzing excess mortality addresses this concern and allows for the analysis of broader effects of the pandemic. We pr...
This paper analyzes a parabolic operator
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