First Passage Problems in Finance and Insurance
A special issue of Risks (ISSN 2227-9091).
Deadline for manuscript submissions: closed (20 February 2023) | Viewed by 2274
Special Issue Editor
Interests: actuarial science; financial stochastics; optimal capital structure; optimal portfolio; optimal stopping and free-boundary problem of Levy process; applied probability and stochastic modeling; statistical inference for a finite general mixture; regime switching of Markov jump processes
Special Issues, Collections and Topics in MDPI journals
Special Issue Information
Dear Colleagues,
In a variety of applications in finance and insurance, most temporal risk-and-return optimization problems may be formulated in terms of optimal stopping problems for a given trading strategy of an investor and the underlying financial asset price process. Depending on the nature of the problem, it may be reduced to finding a critical value (optimal stopping boundary) of the underlying asset price beyond which it is optimal to exercise the trading strategy at the first instance that the asset price process crosses the boundary. This is a first passage problem, which has attracted considerable attention over the years since the seminal work of D. A. Darling and A. J. F. Siegert (Annals of Mathematical Statistics, 24(4), p. 624-639, 1953). Recent developments in modern probability theory allow one to obtain analytical solutions or approximate solutions to some first passage problems.
In this Special Issue, entitled “First Passage Problems in Finance and Insurance”, I would like to invite you to submit your latest research paper for publication in the “Risks” journal. This Issue will provide an outlet for researchers to present up-to-date mathematical methods and applications in finance and insurance. High-quality research papers in areas related to first passage problems are welcome. Papers may address theoretical, numerical or practical issues in these areas.
Dr. Budhi Surya
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 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. Risks 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 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.
