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Mathematics
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Modeling, Analysis and Optimization for Mathematical Finance, Economics and Risks,...
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Modeling, Analysis and Optimization for Mathematical Finance, Economics and Risks, 2nd Edition

A special issue of Mathematics (ISSN 2227-7390). This special issue belongs to the section "E5: Financial Mathematics".

Deadline for manuscript submissions: 31 December 2025 | Viewed by 1070

Special Issue Editors

Prof. Dr. Jing Yao

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Guest Editor
Center for Financial Engineering, Soochow University, Suzhou 215006, China
Interests: risk measure; portfolio theory; risk modelling; fintech and insurtech
Special Issues, Collections and Topics in MDPI journals
Dr. Linxiao Wei

E-Mail Website
Guest Editor Assistant
College of Science, Wuhan University of Technology, Wuhan 430070, China
Interests: risk measure
Special Issues, Collections and Topics in MDPI journals
Dr. Linlin Tian

E-Mail Website
Guest Editor Assistant
College of Science, Donghua University, Shanghai 201620, China
Interests: application of stochastic optimal control in finance and insurance
Special Issues, Collections and Topics in MDPI journals
Dr. Bing Liu

E-Mail
Guest Editor Assistant
School of Finance, Nanjing University of Finance and Economics, Nanjing 210023, China
Interests: stochastics; portfolio selection; dynamic programming
Special Issues, Collections and Topics in MDPI journals

Special Issue Information

Dear Colleagues,

The financial and economic landscapes are undergoing rapid transformations, driven by technological advancements, evolving market dynamics, and an increasing emphasis on sustainability. These developments present both unprecedented opportunities and complex challenges for risk measurement, management, and investment strategies. In response, there is a pressing need for innovative approaches that integrate cutting-edge methodologies to address the multifaceted nature of modern financial risks.

This Special Issue seeks to advance the modeling, analysis, and optimization of risks in finance, insurance, and economics by exploring the intersection of traditional financial theories with contemporary technological and environmental considerations. We are particularly interested in, but are not limited to, green finance and climate risk modeling, game-theoretic and advanced computational approaches, artificial intelligence and machine learning in risk management and optimization, data-driven financial and actuarial modeling, utilizing big data analytics to inform financial models, and enabling more precise forecasting and risk evaluation. The integration of diverse data sources, including alternative data, has become increasingly vital in developing comprehensive financial models.

By fostering interdisciplinary research that bridges finance, technology, and mathematics, this Special Issue aims to provide innovative solutions to the evolving challenges in financial and actuarial risk management. We encourage submissions that offer novel insights, methodologies, and applications that can advance the field and contribute to the development of more resilient and sustainable financial systems.

Prof. Dr. Jing Yao
Guest Editor

Dr. Linxiao Wei
Dr. Linlin Tian
Dr. Bing Liu
Guest Editor Assistants

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. Mathematics is an international peer-reviewed open access semimonthly 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 2600 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.

Keywords

  • risk assessment and management
  • optimization
  • green finance
  • data-driven financial modeling
  • financial risk management with machine learning

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Further information on MDPI's Special Issue policies can be found here.

Published Papers (3 papers)

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Research

26 pages, 2039 KiB  
Article
Monetary Policy and Liquidity of the Bond Market—Evidence from the Chinese Local Government Bond Market
by Xiao Liu, Yunzhe Hu, Fang Liu and Rongxi Zhou
Mathematics 2025, 13(16), 2586; https://doi.org/10.3390/math13162586 - 13 Aug 2025
Viewed by 259
Abstract
The bond market serves dual roles in fiscal and financial spheres, playing a crucial role in coordinating monetary policy. This paper investigates the impact of quantitative and price-based monetary policies on the liquidity level of China’s bond market. A comprehensive index measuring the [...] Read more.
The bond market serves dual roles in fiscal and financial spheres, playing a crucial role in coordinating monetary policy. This paper investigates the impact of quantitative and price-based monetary policies on the liquidity level of China’s bond market. A comprehensive index measuring the liquidity of the local bond market is constructed using a combination weighting method that integrates the entropy method and the coefficient of variation. Employing the time-varying stochastic volatility structure vector autoregression (TVP-SV-SVAR) model on data spanning from 2013 to 2021, this study empirically compares the impulse response of local bond market liquidity to monetary policy shocks. The findings reveal that both types of monetary policy operations exhibit asymmetric, nonlinear, and time-varying impacts on bond market liquidity. Quantitative monetary instruments induce deeper impulse responses, with longer-lasting effects. These conclusions offer insights for monetary policy reforms and bond market development in China. Full article
(This article belongs to the Special Issue Modeling, Analysis and Optimization for Mathematical Finance, Economics and Risks, 2nd Edition)
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17 pages, 926 KiB  
Article
Valuation of Credit-Linked Notes Under Government Implicit Guarantees
by Xinghui Wang and Xiaosong Qian
Mathematics 2025, 13(15), 2398; https://doi.org/10.3390/math13152398 - 25 Jul 2025
Viewed by 213
Abstract
Credit-linked notes (CLNs) are vital for transferring and diversifying credit risks in asset securitization, yet their application in China remains limited despite policy support. This paper optimizes China’s CLN pricing mechanism by developing the structured model incorporating the dynamic default boundary and the [...] Read more.
Credit-linked notes (CLNs) are vital for transferring and diversifying credit risks in asset securitization, yet their application in China remains limited despite policy support. This paper optimizes China’s CLN pricing mechanism by developing the structured model incorporating the dynamic default boundary and the probability of government implicit guarantees. The model transforms the pricing problem into a semi-unbounded problem via partial differential methods, yielding an explicit pricing solution through Poisson’s formula. Empirical analysis reveals that government implicit guarantees are observed in systemically important institutions in the domestic CLN market and significantly reduce credit risk premiums, with Monte Carlo simulations indicating an approximately positive linear correlation between guarantee probability and CLN prices. Our results demonstrate the dual impact of implicit guarantees—lowering risk premiums while potentially hindering market discipline. This research advances China’s credit derivative pricing theory, offering institutions a pricing tool and further providing policy and practical suggestions for regulatory authorities. Full article
(This article belongs to the Special Issue Modeling, Analysis and Optimization for Mathematical Finance, Economics and Risks, 2nd Edition)
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18 pages, 2279 KiB  
Article
Conditional Coherent and Convex Risk Measures Under Uncertainty
by Shuo Gong and Yijun Hu
Mathematics 2025, 13(9), 1403; https://doi.org/10.3390/math13091403 - 25 Apr 2025
Viewed by 355
Abstract
In this paper, we take a new perspective to describe the model uncertainty, and thus propose two new classes of risk measures under model uncertainty. To be precise, we use an auxiliary random variable to describe model uncertainty. By proposing new sets of [...] Read more.
In this paper, we take a new perspective to describe the model uncertainty, and thus propose two new classes of risk measures under model uncertainty. To be precise, we use an auxiliary random variable to describe model uncertainty. By proposing new sets of axioms under model uncertainty, we axiomatically introduce and characterize conditional coherent and convex risk measures under a random environment, respectively. As examples, we also discuss the connections of the introduced conditional coherent risk measures under random environments with two existing risk measures. This paper mainly gives some theoretical results, and it is expected to make meaningful complement to the study of coherent and convex risk measures under model uncertainty. Full article
(This article belongs to the Special Issue Modeling, Analysis and Optimization for Mathematical Finance, Economics and Risks, 2nd Edition)
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