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ORCIDAnnals of Operations Research, Volume 336
Volume 336, Number 1-2, May 2024
- Giorgia Callegaro, Claudio Fontana, Martino Grasselli, Wolfgang J. Runggaldier, Tiziano Vargiolu:
Recent advances in mathematical methods for finance. 1-2 - Martino Grasselli
, Andrea Mazzoran, Andrea Pallavicini:
A general framework for a joint calibration of VIX and VXX options. 3-26 - Iacopo Raffaelli, Simone Scotti, Giacomo Toscano:
Hawkes-driven stochastic volatility models: goodness-of-fit testing of alternative intensity specifications with S &P500 data. 27-45 - Marc Geha, Antoine Jacquier, Zan Zuric:
Large and moderate deviations for importance sampling in the Heston model. 47-92 - Michele Azzone, Roberto Baviera:
Short-time implied volatility of additive normal tempered stable processes. 93-126 - Claudio Fontana, Alessandro Gnoatto, Guillaume Szulda:
CBI-time-changed Lévy processes for multi-currency modeling. 127-152 - Julian Hölzermann:
Pricing interest rate derivatives under volatility uncertainty. 153-182 - Lorenzo Silotto, Marco Scaringi, Marco Bianchetti:
XVA modelling: validation, performance and model risk management. 183-274 - Riccardo Brignone, Luca Gonzato, Carlo Sgarra:
Commodity Asian option pricing and simulation in a 4-factor model with jump clusters. 275-306 - Edoardo Berton, Lorenzo Mercuri:
An efficient unified approach for spread option pricing in a copula market model. 307-329 - Kathrin Glau, Linus Wunderlich:
Neural network expression rates and applications of the deep parametric PDE method in counterparty credit risk. 331-357 - Andrea Caliciotti, Marco Corazza, Giovanni Fasano:
From regression models to machine learning approaches for long term Bitcoin price forecast. 359-381 - Indrajit Saha, Veeraruna Kavitha:
Random fixed points, systemic risk and resilience of heterogeneous financial network. 383-433 - Alessandro Doldi, Marco Frittelli:
Multivariate systemic optimal risk transfer equilibrium. 435-480 - Robert Jarrow, Philip Protter, Alejandra Quintos:
Computing the probability of a financial market failure: a new measure of systemic risk. 481-503 - Francesco Cordoni, Fabrizio Lillo:
Instabilities in multi-asset and multi-agent market impact games. 505-539 - Clémence Alasseur, Luciano Campi, Roxana Dumitrescu, Jia Zeng:
MFG model with a long-lived penalty at random jump times: application to demand side management for electricity contracts. 541-569 - Yinhong Dong, Donglei Du, Qiaoming Han, Jianfeng Ren, Dachuan Xu:
A Stackelberg order execution game. 571-604 - Marina Di Giacinto, Claudio Tebaldi, Tai-Ho Wang:
Optimal order execution under price impact: a hybrid model. 605-636 - Julia Ackermann, Thomas Kruse, Mikhail Urusov:
Self-exciting price impact via negative resilience in stochastic order books. 637-659 - Mark Davis, Sébastien Lleo:
Jump-diffusion risk-sensitive benchmarked asset management with traditional and alternative data. 661-689 - Attila Lovas, Miklós Rásonyi:
Ergodic aspects of trading with threshold strategies. 691-709 - Peter Tankov, Laura Tinsi:
Stochastic optimization with dynamic probabilistic forecasts. 711-747 - Elisa Mastrogiacomo, Emanuela Rosazza Gianin:
Dynamic capital allocation rules via BSDEs: an axiomatic approach. 749-772 - Guodong Ding, Daniele Marazzina:
Effect of labour income on the optimal bankruptcy problem. 773-795 - Simone Cerreia-Vioglio, Fulvio Ortu, Francesco Rotondi, Federico Severino:
On horizon-consistent mean-variance portfolio allocation. 797-828 - Marcelo Brutti Righi, Marlon Ruoso Moresco:
Inf-convolution and optimal risk sharing with countable sets of risk measures. 829-860 - John Armstrong, Damiano Brigo, Alex S. L. Tse:
The importance of dynamic risk constraints for limited liability operators. 861-898 - Çagin Ararat, Francesco Cesarone, Mustafa Çelebi Pinar, Jacopo M. Ricci:
MAD risk parity portfolios. 899-924 - Carole Bernard, Andrea Perchiazzo, Steven Vanduffel:
Implied value-at-risk and model-free simulation. 925-943 - Nuerxiati Abudurexiti, Kai He, Dongdong Hu, Svetlozar T. Rachev, Hasanjan Sayit, Ruoyu Sun:
Portfolio analysis with mean-CVaR and mean-CVaR-skewness criteria based on mean-variance mixture models. 945-966 - Pablo Koch-Medina, Cosimo Munari:
Qualitative robustness of utility-based risk measures. 967-980 - Ning Wang, Tak Kuen Siu, Kun Fan:
Robust reinsurance and investment strategies under principal-agent framework. 981-1011 - Peter Carr, Lorenzo Torricelli:
Convex duality in continuous option pricing models. 1013-1037 - Domenico De Giovanni, Arturo Leccadito, Debora Loccisano:
Co-movements, option pricing and risk management: an application to WTI versus Brent spread options. 1039-1061 - Marta Biancardi, Michele Bufalo, Antonio Di Bari, Giovanni Villani:
A valuation of a corn ethanol plant through a compound options model under skew-Brownian motions. 1063-1087 - Carme Frau, Viviana Fanelli:
Seasonality in commodity prices: new approaches for pricing plain vanilla options. 1089-1131 - Dimitrios Zormpas, Giorgia Oggioni:
Evaluating the optimal timing and capacity of investments in flexible combined heat and power generation for energy-intensive industries. 1133-1160 - Emmanuel Gobet, Clara Lage:
Optimal ecological transition path of a credit portfolio distribution, based on multidate Monge-Kantorovich formulation. 1161-1195 - Florian Bourgey, Emmanuel Gobet, Ying Jiao:
Bridging socioeconomic pathways of rmCO2 emission and credit risk. 1197-1218 - Faizal M. F. Hafiz, Jan Broekaert, Davide La Torre, Akshya Swain:
A multi-criteria approach to evolve sparse neural architectures for stock market forecasting. 1219-1263 - Giulia Di Nunno, Michele Giordano:
Stochastic Volterra equations with time-changed Lévy noise and maximum principles. 1265-1287 - Bernardo D'Auria, Jose A. Salmeron:
Anticipative information in a Brownian-Poisson market. 1289-1314 - Christa Cuchiero, Christoph Reisinger, Stefan Rigger:
Optimal bailout strategies resulting from the drift controlled supercooled Stefan problem. 1315-1349 - Matteo Michielon, Asma Khedher, Peter Spreij:
Proxying credit curves via Wasserstein distances. 1351-1367
Volume 336, Number 3, May 2024
- Ricardo Martínez, Ruud Hendrickx, Marco Slikker, Izabella Stach:
2021 European meeting on game theory (SING16). 1369-1372 - Livino M. Armijos-Toro, José M. Alonso-Meijide, Manuel A. Mosquera:
Mergeable weighted majority games and characterizations of some power indices. 1373-1393 - Gustavo Bergantiños, Juan D. Moreno-Ternero:
Anonymity in sharing the revenues from broadcasting sports leagues. 1395-1417 - Doudou Gong, Bas J. Dietzenbacher, Hans Peters:
Two-bound core games and the nucleolus. 1419-1433 - Miguel Ángel Mirás Calvo, Iago Núñez Lugilde, Carmen Quinteiro Sandomingo, Estela Sánchez-Rodríguez:
An algorithm to compute the average-of-awards rule for claims problems with an application to the allocation of CO2 emissions. 1435-1459 - Maria Montero, Alex Possajennikov:
"Greedy" demand adjustment in cooperative games. 1461-1478 - Shitao Yang, Jiangao Zhang, Shaorui Zhou:
The cost transportation game for collaboration among transportation companies. 1479-1503 - Yu Zhang, Xiang-Kai Sun:
On the α-core of set payoffs games. 1505-1518 - Parisa Assarzadegan, Seyed Reza Hejazi, Morteza Rasti Barzoki:
A stackelberg differential game theoretic approach for analyzing coordination strategies in a supply chain with retailer's premium store brand. 1519-1549 - Jesper Breinbjerg, Trine Tornøe Platz, Lars Peter Østerdal:
Equilibrium arrivals to a last-come first-served preemptive-resume queue. 1551-1572 - Francesco Caruso, Maria Carmela Ceparano, Jacqueline Morgan:
Asymptotic behavior of subgame perfect Nash equilibria in Stackelberg games. 1573-1590 - Atefeh Hassanpour, Emad Roghanian, Mahdi Bashiri:
A non-cooperative multi-leader one-follower integrated generation maintenance scheduling problem under the risk of generation units' disruption and variation in demands. 1591-1635 - Maryam Johari, Seyyed-Mahdi Hosseini-Motlagh:
An evolutionary game theory approach for analyzing risk-based financing schemes. 1637-1660 - Stefanos Leonardos, Constandina Koki, Costis Melolidakis:
A generalization of the increasing generalized failure rate unimodality condition. 1661-1679 - Marta Vidal, Javier Vidal-García, Sabri Boubaker, Stelios D. Bekiros:
Short-term volatility timing: a cross-country study. 1681-1706 - Baogui Xin, Yue Liu, Lei Xie:
Data capital investment strategy in competing supply chains. 1707-1740 - Kuan Zeng:
The role of venture capitalists in reward-based crowdfunding: a game-theoretical analysis. 1741-1775 - Li-Hao Zhang, Shan-Shan Wang, Luyu Chang:
Radio-frequency Identification (RFID) adoption and chain structure decisions in competing supply chains: Bertrand competition versus Cournot competition. 1777-1811 - Wen Zhang, Ting Hou, Qinglong Gou:
Choosing a self-built or an intermediary platform for hosting winner-take-all crowdsourcing contests? 1813-1834 - Yujie Zhao, Hong Zhou, Jiepeng Wang:
Information acquisition and sharing strategies of supply chain with supplier encroachment considering signaling effect. 1835-1869 - Swapnil Dhamal, Walid Ben-Ameur, Tijani Chahed, Eitan Altman, Albert Sunny, Sudheer Poojary:
A game theoretic framework for distributed computing with dynamic set of agents. 1871-1904 - Vladimir Gurvich, Mariya Naumova:
On Nash-solvability of n-person graphical games under Markov and a-priori realizations. 1905-1927 - Weihua Liu, Zhixuan Chen, Tingting Liu:
Model analysis of smart supply chain finance of platform-based enterprises under government supervision. 1929-1963 - Tahereh Zaefarian, Atieh Fander, Saeed Yaghoubi:
A dynamic game approach to demand disruptions of green supply chain with government intervention (case study: automotive supply chain). 1965-2008 - Hamed Amini, Andreea Minca:
Social distancing game and insurance investment in a pandemic. 2009-2036 - Jan Bart Broekaert, Davide La Torre, Faizal M. F. Hafiz:
Competing control scenarios in probabilistic SIR epidemics on social-contact networks. 2037-2060 - Subhadip Chakrabarti, Loyimee Gogoi, Robert P. Gilles, Surajit Borkotokey, Rajnish Kumar:
Expected values for variable network games. 2061-2089 - Endre Boros, Ondrej Cepek, Vladimir Gurvich, Kazuhisa Makino:
Recognizing distributed approval voting forms and correspondences. 2091-2110 - Josep Freixas, Dani Samaniego:
Some characterizations of resolute majority rules. 2111-2124
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