Special Issue "Stochastic Modelling in Financial Mathematics II"
A special issue of Risks (ISSN 2227-9091).
Deadline for manuscript submissions: 30 June 2024 | Viewed by 2839
Interests: mathematical finance; energy finance; stochastic modelling; risk theory; random evolutions and their applications; modeling high-frequency and algorithmic trading; deep and machine learning in quantitative finance
Special Issues, Collections and Topics in MDPI journals
Special Issue in Risks: Stochastic Modelling in Financial Mathematics
Financial mathematics (also known as mathematical finance and quantitative finance) is a field of applied mathematics, concerned with the mathematical and stochastic modelling of financial markets.
French mathematician Louis Bachelier is considered the author of the first scholarly work on mathematical finance, published in 1900. As a discipline, financial mathematics emerged in the 1970s, following the work of Fischer Black, Myron Scholes, and Robert Merton on the option pricing theory.
In financial mathematics, modelling entails the development of sophisticated mathematical and stochastic models, and one may take, for example, the share price as a given and attempt to use stochastic calculus to obtain the corresponding value of derivatives of the stock. Thus, many problems, such as derivative pricing, portfolio optimization, risk modelling, etc., are generally stochastic in nature, and, hence, such models require complex stochastic analyses.
One contemporary example of such a problem is big data. Big data have now become a driver of model building and analysis in a number of areas, including finance, insurance, and energy markets, to name a few. For example, more than half of the markets in today’s highly competitive financial world now use a limit order book (LOB) mechanism to facilitate trade.
This current Special Issue is exactly devoted to modern trends in financial mathematics associated with stochastic modelling, including modelling of big data. Topics from many areas, such as high-frequency and algorithmic trading (limit order books), energy finance, regime switching, and stochastic volatility modelling, among others, have shown to have deep applicable values, which are useful for both academics and practitioners.
This Special Issue is a continuation of the previous successful Special Issue “Stochastic Modelling in Financial Mathematics".
Prof. Dr. Anatoliy Swishchuk
Manuscript Submission Information
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Please visit the Instructions for Authors page before submitting a manuscript. The Article Processing Charge (APC) for publication in this open access journal is 1400 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.
- stochastic modelling
- mathematical finance
- regime-switching models in finance
- energy finance
- limit order books
- stochastic volatility modelling