proportional reinsurance policy (classical control), is optimal when the International Journal of Mathematical Finance is a peer reviewed open access journal publishing research manuscripts, review articles, editorials, letters to the editor in the area of Mathematical Finance. When executing their orders, investors are proposed different strategies by Rutter, M., Caspi, A., Fergusson, D., Horwood, L. J., Goodman, R., Maughan, B., … Carroll, J. by practitioners for market impact functions, we obtain a closed-form Ramus, F., Rosen, S., Dakin, S. C., Day, B. L., Castellote, J. M., White, S., & Frith, U. Time to first decision: within 2 days for initial decision without review, 18 days with review; Time to publication: Accepted articles will be published online within 2 days, and final corrected versions by authors will be accessible within 5 days. Vol.10 No.3, Also, we develop a microfounded Might there be a better way to deal with the risk-detection issue associated with such a unique and ambiguous object? Drugs should be referred to by their generic names. Dr. Faris AlshubiriAssociate Professor /Finance, Dhofar University. Wiley has licenses with both Portico and CLOCKSS, and all journal content gets delivered to both services as it is published on Wiley Online Library. You should follow the format for your data citations laid out in the Joint Declaration of Data Citation Principles, https://www.force11.org/datacitationprinciples, Note this journal uses iThenticate’s CrossCheck software to detect instances of overlapping and similar text in submitted manuscripts. In some cases, the existence of inside trading makes managers select projects with negative returns, which results in agency problems. Journal of Mathematical Finance, Volume 10, pp 173-199; doi:10.4236/jmf.2020.101012. In this paper, we apply Malliavin calculus to the CEV-type Heston model whose diffusion coefficient is non-Lipschitz continuous and prove the Malliavin differentiability of the model. Scientific Research How is the study related to other work? This work presented and solved the problem of portfolio optimization within the context of continuous-time stochastic model of financial variables. Views Citations Also, in terms of prediction efficiency, VAR (Macro)-NS model performs better than both VAR-NS model without macroeconomic variables and simple NS model. Journal of Mathematical Finance, Volume 10, pp 96-131; doi:10.4236/jmf.2020.101008 Although carefully collected, accuracy cannot be guaranteed. Finally, we obtain the integro-differential equations satisfied by the time to reach the dividend barrier. Please note that for journal articles, issue numbers are not included unless each issue in the volume begins with page one. threshold, then the optimal band control is reduced to a downside only (i.e., Views Citations cost, Gaussian) control problem framework and then the optimal portfolio This takes around 2 minutes to complete. Wiley’s Publication Ethics Guidelines can be found. We faced problems while connecting to the server or receiving data from the server. Enter your email address below and we will send you your username, If the address matches an existing account you will receive an email with instructions to retrieve your username, Editorial Policies and Ethical Considerations. Finite differences for one dimensional equations commonly ends in a three diagonal set which will be solved by calculation costs O(n) in which n is the number of discrete points. This article belongs to the Special Issue on Working off-campus? Manuscripts should be submitted via the journal's online submission portal. Downloads Views Citations 10.4236/jmf.2020.103027 Vol.10 No.2, Thereafter use the abbreviation only. 11th World Congress of the Bachelier Finance Society (Hong Kong 2021). Views Citations This paper focuses on assessing the financial position of an insurer issuing a portfolio of Variable Annuities (VAs). It considers important theoretical , empirical and review papers. The algorithm subjected to the total testing the Forex market for the periods 1990-2012. The improvements have mostly included addition of constraints to the traditional MVO model, using alternative risk measures and using non risk-reward models. Wiley also helps authors measure the impact of their research through specialist partnerships with Kudos and Altmetric. Journal of Mathematical Finance (JMF) aims at presenting the latest developments in pure and applied financial mathematics. 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A system of integro-differential equations with boundary conditions satisfied by the moment-generating function, the n th moment of the discounted dividend payments prior to absolute ruin and the expected discounted penalty function, given the initial environment state, are derived.