• Dini and Hadamard directional derivatives in multiobjective optimization: an overview of some results • The insider trading problem in a jump-binomial model • Laplace transforms of stochastic integrals and the pricing of Bermudan swaptions • On statistical indistinguishability of complete and incomplete discrete time market models • Implied higher order moments in the Heston model: a case study of S &P500 index • Revisiting the 1/N-strategy: a neural network framework for optimal strategies • Correction: Revisiting the 1/N-strategy: a neural network framework for optimal strategies • Heterogeneity-adjusted management of pension funds using adaptive representative agents • Mortality projections for higher educational attainment with semi-parametric accelerated hazard relational models • Multi-population mortality modeling with Lévy processes • Optimal proportional and excess-of-loss reinsurance for multiple classes of insurance business • Optimisation of drawdowns by generalised reinsurance in the classical risk model • Green economy with efficient public incentives • Recycled and non-recycled exhaustible resource: an optimal control strategy for input allocation • The Black–Scholes paper: a personal perspective • Correction to: Beating the market? A mathematical puzzle for market efficiency
(Volume 46, Issue 1) • Risk-sharing and optimal contracts with large exogenous risks • Multivariate Wold decompositions: a Hilbert A-module approach • Utility maximization in a stochastic affine interest rate and CIR risk premium framework: a BSDE approach • Construction of voting situations concordant with ranking patterns • Surrender and path-dependent guarantees in variable annuities: integral equation solutions and benchmark methods • Cognitive limits and preferences for information • Modelplasticity and abductive decision making • Quasivariational inequalities for dynamic competitive economic equilibrium problems in discrete time • Differentiated goods in a dynamic Cournot duopoly with emission charges on output • On game value of a differential game problem with Grönwall-type constraints on players control functions • Inverse data envelopment analysis without convexity: double frontiers
(Volume 45, Issue 2) • Dangerous tangents: an application of Γ-convergence to the control of dynamical systems • Equalizing solutions for bankruptcy problems revisited • Optimality and duality in nonsmooth semi-infinite optimization, using a weak constraint qualification • The robustness of the generalized Gini index • Two representations of information structures and their comparisons • Introduction to the Milestones series • Bipartite choices
(Volume 45, Issue 1) • Calibration to FX triangles of the 4/2 model under the benchmark approach • Monetary risk measures for stochastic processes via Orlicz duality • Option pricing: a yet simpler approach • Complex dynamics in the market for loans • Expressions of forward starting option price in Hull–White stochastic volatility model
• Bias-optimal vol-of-vol estimation: the role of window overlapping • Portfolio choice in the model of expected utility with a safety-first component • A new class of multidimensional Wishart-based hybrid models • Production and hedging under correlated price and background risks • Long versus short time scales: the rough dilemma and beyond
• Beating the market? A mathematical puzzle for market efficiency • Grey Verhulst model and its chaotic behaviour with application to Bitcoin adoption • Performance measurement with expectiles • Ramsey rule with forward/backward utility for long-term yield curves modeling • • A flexible lattice framework for valuing options on assets paying discrete dividends and variable annuities embedding GMWB riders • Correction to: Semi-analytical prices for lookback and barrier options under the Heston model
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Official publication of the Association for Mathematics Applied to Social and Economic Sciences (AMASES).