Recent Advances on Nonlinear Models in Mathematical Finance, 2nd Edition
A special issue of Mathematics (ISSN 2227-7390). This special issue belongs to the section "Financial Mathematics".
Deadline for manuscript submissions: 30 November 2024 | Viewed by 2572
Special Issue Editors
Interests: partial differential equations and their applications; curvature driven flows of curves and interfaces; financial mathematics; pricing derivative securities
Special Issues, Collections and Topics in MDPI journals
Interests: computational finance; sparse grids; artificial boundaries; splitting methods
Special Issues, Collections and Topics in MDPI journals
Special Issue Information
Dear Colleagues,
Mathematical finance provides a large set of theoretical and applied tools that range from pure branches of mathematics to more applied areas with the objective to deeply understand and solve current problems in finance.
In fact, a rigorous analysis of contemporary finance relies on advanced analytical and numerical methods and needs high-level mathematical skills with special emphasis on stochastic calculus with its rich mathematical structure, partial differential equations, partial integrodifferential equations, and fractional diffusion equations. Robust techniques of numerical analysis and computation are also required.
The aim of this Special Issue is to contribute to the enrichment of mathematical finance by broadening the knowledge in this area, with research papers on the following potential topics:
- Stochastic analysis and control theory in finance;
- fPDE and fractional models in finance;
- PIDE and Lévy processes in finance;
- Interest rate and credit risk modeling;
- Models for portfolio and risk management;
- Big data analytics;
- Computational methods and high-performance computing in finance;
- Machine learning in finance;
- High-performance computing in finance;
- Mathematical modeling in energy markets;
- Methods for high-dimensional problems;
- Applications of forward–backward stochastic differential equations;
- Risk modeling and risk management;
- Stochastic dynamic programming and Hamilton–Jacobi–Bellman equations;
- Nonlinear option pricing models, generalizations of the Black–Scholes equation.
Prof. Dr. Daniel Sevcovic
Prof. Dr. Matthias Ehrhardt
Guest Editors
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. Mathematics is an international peer-reviewed open access semimonthly 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 2600 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
- fractional models in finance
- PIDE, and Lévy processes in finance
- interest rate and credit risk modeling
- portfolio management
- risk management
- big data analytics
- stochastic dynamic programming
- Hamilton–Jacobi–Bellman equations
- nonlinear option pricing models
