Mathematical Finance: Theory, Methods, and Applications

Dear Colleagues,

We invite you to submit your research to the Special Issue: Mathematical Finance: Theory, Methods, and Applications.

The field of mathematical finance has seen significant developments over the past few decades, driven by advancements in both theoretical foundations and practical methodologies. As financial markets become increasingly complex and interconnected, the need for robust quantitative models and innovative techniques has never been more critical. This Special Issue seeks to highlight cutting-edge research that bridges the gap between theory and practice in the world of finance. We invite contributions that explore the mathematical underpinnings of financial markets, the development of new models and computational methods, and their applications in real-world financial problems. Topics of interest include, but are not limited to the following:

1. Stochastic Processes and Models in Finance
   Stochastic calculus, stochastic differential equations, and their applications in modeling asset prices, interest rates, and risk management.
2. Derivatives Pricing and Risk Management
   Advances in option pricing theory, exotic derivatives, and the mathematical modeling of hedging and risk management strategies.
3. Numerical Methods and Computational Finance
   Development of novel numerical methods such as Monte Carlo simulations, finite difference methods, and tree-based methods for solving complex financial models.
4. Optimization Techniques in Finance
   Mathematical programming, dynamic programming, and game theory applications in portfolio optimization, asset allocation, and market equilibrium.
5. Sustainable Finance and Financial Risk Modeling Extension with Climate and Environmental Risk Factors
   Development and extension of financial risk models that incorporate climate-related and environmental risk factors, including physical and transition risks. This theme explores the integration of sustainability metrics and ESG data into stochastic and optimization frameworks for asset pricing, market risk and credit risk assessment, and portfolio construction. Topics include climate stress testing, green financial instruments, environmental scenario analysis, and the use of machine learning to quantify the impact of climate change on financial markets and institutions.
6. Financial Econometrics and Empirical Analysis
   The application of statistical and econometric methods to analyze financial data, model market behavior, and assess the effectiveness of financial theories in practice.
7. Market Microstructure and High-Frequency Trading
   Mathematical modeling of trading dynamics, liquidity, market depth, and the role of high-frequency trading in modern financial markets.
8. Mathematical Models of Systemic Risk and Financial Crises
   Approaches to understanding and quantifying systemic risk, contagion in financial networks, and modeling financial crises.
9. Alternative Asset Classes and Financial Engineering
   The mathematical modeling of real estate, commodities, cryptocurrencies, and other alternative investments, as well as the engineering of new financial instruments.
10. Machine Learning and Data-Driven Approaches in Finance
    The intersection of machine learning techniques with traditional mathematical finance models, focusing on applications such as algorithmic trading, fraud detection, and risk assessment. This approach leverages data-driven models to improve financial decision-making and predictive accuracy across a variety of financial instruments.
11. Blockchain Analytics and Market Integrity
    Leveraging advanced machine learning models and blockchain analytics for real-time fraud detection, market manipulation identification, and risk management, particularly in high-frequency trading and cryptocurrency exchanges. This includes using NLP and sentiment analysis to track public discourse and detect coordinated manipulation efforts.
12. Regulatory Capture, Lobbying, and Revolving Doors in Financial Systems
    Using mathematical models and simulations, including game theory and network analysis, to study the dynamics of corruption, lobbying, and the "revolving door" between financial institutions, regulators, and policymakers. These models aim to uncover how private interests influence public decisions and identify strategies to reduce conflicts of interest and improve regulatory integrity.

Aim and Scope

This Special Issue aims to bring together researchers, practitioners, and industry experts to showcase the latest advances in the theory, methods, and applications of mathematical finance. By addressing both foundational topics and cutting-edge innovations, the issue will contribute to a deeper understanding of the challenges faced by modern financial systems, as well as to the development of new tools and techniques for solving them.

We hope that the articles presented in this collection will serve as a valuable resource for those working in academia, the finance industry, and beyond, fostering further collaboration between these communities.

Submission Information

We invite original research articles, review papers, and case studies for inclusion in this Special Issue. Submissions should adhere to the guidelines outlined on the journal’s website. All manuscripts will undergo a peer review process to ensure the highest standards of quality and relevance.

Prof. Dr. Giuseppe Orlando
Dr. Noureddine Lehdili
Guest Editors

Manuscript Submission Information

Manuscripts should be submitted online at www.mdpi.com by registering and logging in to this website. Once you are registered, click here to go to the submission form. Manuscripts can be submitted until the deadline. All submissions that pass pre-check are peer-reviewed. Accepted papers will be published continuously in the journal (as soon as accepted) and will be listed together on the special issue website. Research articles, review articles as well as short communications are invited. For planned papers, a title and short abstract (about 100 words) can be sent to the Editorial Office for announcement on this website.

Submitted manuscripts should not have been published previously, nor be under consideration for publication elsewhere (except conference proceedings papers). All manuscripts are thoroughly refereed through a single-blind peer-review process. A guide for authors and other relevant information for submission of manuscripts is available on the Instructions for Authors page. International Journal of Financial Studies is an international peer-reviewed open access quarterly journal published by MDPI.

Please visit the Instructions for Authors page before submitting a manuscript. The Article Processing Charge (APC) for publication in this open access journal is 1800 CHF (Swiss Francs). Submitted papers should be well formatted and use good English. Authors may use MDPI's English editing service prior to publication or during author revisions.

• mathematical finance
• market manipulation
• blockchain analytics
• machine learning
• fraud detection
• regulatory capture
• revolving door
• sentiment analysis
• cryptocurrency markets
• systemic risk