Department of Applied Mathematics, Hong Kong Polytechnic University, Hong Kong
Department of Statistics and Actuarial Science, The University of Hong Kong, Pokfulam Road, Hong Kong
The issue aims to look at leading-edge research on the interface between derivatives, insurance, securities and quantitative finance. As financial mathematics and statistics are two essential components in these four areas, the issue, as we hope, will give the readers a survey of the important tools of mathematics and statistics being used in the modern financial institutions.
In this special issue, 7 papers are included. The papers cover mathematical finance topics, such as option pricing, interest models and stochastic volatility; topics in risk management, such as Value at Risk, liquidity risk management; and actuarial science topics, such as ruin theory.
The papers in the issue were selected with a view towards readers coming from finance, actuarial science, mathematics or statistics. Hopefully this is a first step to provide a platform for people who are interested in the interplay among theory and practice of these disciplines.
Ardeshir Ahmadi, Hamed Davari-Ardakani. A multistage stochastic programming framework for cardinality constrained portfolio optimization. Numerical Algebra, Control & Optimization, 2017, 7 (3) : 359-377. doi: 10.3934/naco.2017023
Luke Finlay, Vladimir Gaitsgory, Ivan Lebedev. Linear programming solutions of periodic optimization problems: approximation of the optimal control. Journal of Industrial & Management Optimization, 2007, 3 (2) : 399-413. doi: 10.3934/jimo.2007.3.399
Hong Seng Sim, Wah June Leong, Chuei Yee Chen, Siti Nur Iqmal Ibrahim. Multi-step spectral gradient methods with modified weak secant relation for large scale unconstrained optimization. Numerical Algebra, Control & Optimization, 2018, 8 (3) : 377-387. doi: 10.3934/naco.2018024
2019 Impact Factor: 1.366
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