Special Issue "Financial Mathematics"

A special issue of Mathematics (ISSN 2227-7390).

Deadline for manuscript submissions: 30 April 2019

Special Issue Editor

Guest Editor
Prof. Dr. Antonella Basso

Department of Economics, Ca’ Foscari University of Venice, Cannaregio 873, 30121 Venice, Italy
Website | E-Mail
Interests: financial mathematics; option pricing; DEA (data envelopment analysis) models; performance evaluation of mutual funds; credit risk

Special Issue Information

Dear Colleagues,

In the last few years, financial mathematics has become an important field for mathematicians.

On the one hand, the development of mathematical and probabilistic models for finance have allowed to make progress in the classical fields of financial mathematics. Among these, we may cite criteria for the choice of the best alternative among investment or financing projects, and models for studying: The dynamics of interest rates, the evaluation of bonds, portfolio theory and dynamic asset allocation, the dynamics of stock prices, and the pricing and the risk assessment of many derivatives (options, forwards and futures, swaps, a variety of exotic derivatives).

On the other hand, other important issues have called for the formulation of mathematical models for studying new issues that have become relevant, sometimes hot, in financial markets. Especially the evaluation and management of the risks to which financial markets are exposed have become crucial. Thus, we find new models for the evaluation of credit risk of bonds and of bank loans, and models for the assessment of the sovereign risk.

In addition, new models to assess the performance of mutual funds makes use of different approaches drawn from different fields—among these data envelopment analysis—and allows to study socially-responsible investments.

The purpose of this Special Issue is to establish a collection of articles that reflect the latest mathematical methods and models in the field of financial mathematics, a bridge between mathematical theory and its applications to finance.

Prof. Dr. Antonella Basso
Guest Editor

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 papers will be 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 monthly 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 850 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

  • financial mathematics

  • bonds

  • interest rates dynamics

  • asset allocation

  • derivatives

  • credit risk

  • Sovereign risk

  • performance evaluation of mutual funds

  • socially responsible investments

  • data envelopment analysis

Published Papers (3 papers)

View options order results:
result details:
Displaying articles 1-3
Export citation of selected articles as:

Research

Open AccessArticle Introducing Weights Restrictions in Data Envelopment Analysis Models for Mutual Funds
Mathematics 2018, 6(9), 164; https://doi.org/10.3390/math6090164
Received: 14 August 2018 / Revised: 1 September 2018 / Accepted: 3 September 2018 / Published: 10 September 2018
PDF Full-text (1014 KB) | HTML Full-text | XML Full-text
Abstract
Data envelopment analysis has been applied in a number of papers to measure the performance of mutual funds, besides a great many applications on the more diverse fields of performance evaluation. The data envelopment analysis models proposed in the mutual funds literature do [...] Read more.
Data envelopment analysis has been applied in a number of papers to measure the performance of mutual funds, besides a great many applications on the more diverse fields of performance evaluation. The data envelopment analysis models proposed in the mutual funds literature do not generally set restrictions on the weights assigned to the input and output variables. In this paper, we study the effects of the introduction of different weight restrictions on the results of the performance evaluation of mutual funds. In addition, we provide a unified matrix representation for three widely used approaches on weight restrictions: virtual weight restrictions with constraints on all decision-making units (DMUs) (on all funds); virtual weight restrictions with constraints only on the target unit; assurance regions. Using the unified matrix representation of the weights constraints, we formulate the data envelopment analysis (DEA ) efficiency model and express the efficient frontier in a unified way for the different weight restrictions considered. We investigate the effects of the different weight restrictions on the performance evaluation by means of an empirical application on a set of European mutual funds. Moreover, we study the behaviour of the fund performance scores as the restrictions on the weights become increasingly strict. Full article
(This article belongs to the Special Issue Financial Mathematics)
Figures

Figure 1

Open AccessArticle Advanced Expected Tail Loss Measurement and Quantification for the Moroccan All Shares Index Portfolio
Mathematics 2018, 6(3), 38; https://doi.org/10.3390/math6030038
Received: 4 February 2018 / Revised: 28 February 2018 / Accepted: 2 March 2018 / Published: 7 March 2018
PDF Full-text (1095 KB) | HTML Full-text | XML Full-text
Abstract
In this paper, we have analyzed and tested the Expected Tail Loss (ETL) approach for the Value at Risk (VaR) on the Moroccan stock market portfolio. We have compared the results with the general approaches for the standard VaR, which has been the [...] Read more.
In this paper, we have analyzed and tested the Expected Tail Loss (ETL) approach for the Value at Risk (VaR) on the Moroccan stock market portfolio. We have compared the results with the general approaches for the standard VaR, which has been the most suitable method for Moroccan stock investors up to now. These methods calculate the maximum loss that a portfolio is likely to experience over a given time span. Our work advances those modeling methods with supplementation by inputs from the ETL approach for application to the Moroccan stock market portfolio—the Moroccan All Shares Index (MASI). We calculate these indicators using several methods, according to an easy and fast implementation with a high-level probability and with accommodation for extreme risks; this is in order to numerically simulate and study their behavior to better understand investment opportunities and, thus, form a clear view of the Moroccan financial landscape. Full article
(This article belongs to the Special Issue Financial Mathematics)
Figures

Figure 1

Open AccessArticle On the Inception of Financial Representative Bubbles
Mathematics 2017, 5(4), 64; https://doi.org/10.3390/math5040064
Received: 9 October 2017 / Revised: 9 November 2017 / Accepted: 14 November 2017 / Published: 17 November 2017
Cited by 2 | PDF Full-text (242 KB) | HTML Full-text | XML Full-text
Abstract
In this work, we aim to formalize the inception of representative bubbles giving the condition under which they may arise. We will find that representative bubbles may start at any time, depending on the definition of a behavioral component. This result is at [...] Read more.
In this work, we aim to formalize the inception of representative bubbles giving the condition under which they may arise. We will find that representative bubbles may start at any time, depending on the definition of a behavioral component. This result is at odds with the theory of classic rational bubbles, which are those models that rely on the fulfillment of the transversality condition by which a bubble in a financial asset can arise just at its first trade. This means that a classic rational bubble (differently from our model) cannot follow a cycle since if a bubble exists, it will burst by definition and never arise again. Full article
(This article belongs to the Special Issue Financial Mathematics)
Mathematics EISSN 2227-7390 Published by MDPI AG, Basel, Switzerland RSS E-Mail Table of Contents Alert
Back to Top