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Featured Papers in Finance and Society Wellbeing—In Honor of Professors...
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Featured Papers in Finance and Society Wellbeing—In Honor of Professors Joe Gani and Chris Heyde

A special issue of Journal of Risk and Financial Management (ISSN 1911-8074). This special issue belongs to the section "Mathematics and Finance".

Deadline for manuscript submissions: 31 December 2024 | Viewed by 2878

Special Issue Editors

Dr. Shuangzhe Liu

E-Mail Website
Guest Editor
Department of Mathematics and Statistics, University of Canberra, Canberra, Australia
Interests: financial time series; multivariate analysis; statistical diagnostics
Special Issues, Collections and Topics in MDPI journals
Prof. Dr. Svetlozar (Zari) Rachev

E-Mail Website
Guest Editor
Department of Mathematics and Statistics, Texas Tech University, Lubbock, TX 79409-1042, USA
Interests: mathematical and empirical finance; probability metrics; mass transportation problems
Special Issues, Collections and Topics in MDPI journals

Special Issue Information

Dear Colleagues,

This Special Issue is a heartfelt tribute to the remarkable Professors Joseph Mark Gani and Christopher Charles Heyde. Their legacies continue to illuminate the path of applied mathematics, financial and social wellbeing. As we approach the centennial of Prof. Gani and the 85th year of Prof. Heyde, we are reminded of their unparalleled contributions that have profoundly influenced probability, statistics and the broader spectrum of applied mathematics and finance.

Prof. Gani, revered for masterfully integrating theoretical precision with practical insights, has left an indelible mark on generations of scholars. Prof. Heyde, remembered for his pioneering work in probability theory and statistical methods, has deeply impacted diverse domains with his analytical prowess. This volume is a convergence of contributions from esteemed peers and protégés, mirroring the vast expanse of influence wielded by these two giants of mathematics. It is a compendium that celebrates not only their academic brilliance, but also the perpetual relevance of their work, fortifying the foundations of the mathematical community.

Scope and Topics: This issue invites a rich tapestry of contributions across various facets of finance, such as:

  1. Stochastic Modeling in Financial Risk: Exploration of advanced stochastic processes and their applications in financial modeling, particularly in the context of epidemic events.
  2. Statistical Methods for Risk Assessment: Cutting-edge methodologies for evaluating financial risks during epidemic times, focusing on extreme value analysis and post-COVID dynamics.
  3. Portfolio Optimization and Asset Allocation: Insightful approaches to optimize investment portfolios, incorporating epidemic-induced uncertainties using probabilistic models.
  4. Insurance and Actuarial Science: Innovative applications in assessing and managing epidemic-related risks within insurance and actuarial frameworks.
  5. Economic Impact Assessment: Utilizing statistical tools to gauge the influence of epidemics on financial markets and global economic structures.
  6. Statistical Learning and Predictive Analytics: Advanced predictive models for financial risk forecasting during or after epidemic events, encompassing credit risk and market prediction.
  7. Dynamic Asset Pricing: Delving into asset pricing models that capture long-range dependencies, heavy-tailed distributions and market asymmetries.
  8. Health Care Finance: Analyzing how financial resources are used in health systems, including revenue raising, the pooling of funds and purchasing services, with a focus on ensuring that the health system can adequately cover the collective health needs of every person.
  9. Alternative Financial Markets—ESG Finance and Investing: Exploring how financial wellbeing is closely linked to perceptions of social relationships, with a focus on financial wellbeing for a sustainable society.

Dr. Shuangzhe Liu
Prof. Dr. Svetlozar (Zari) Rachev
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. Journal of Risk and Financial Management is an international peer-reviewed open access monthly 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 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.

Keywords

  • stochastic modeling in financial risk
  • statistical methods for risk assessment
  • portfolio optimization and asset allocation
  • insurance and actuarial science
  • economic impact assessment
  • statistical learning and predictive analytics
  • dynamic asset pricing
  • health care finance
  • alternative financial markets
  • ESG finance and investing

Published Papers (2 papers)

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Research

27 pages, 1263 KiB  
Article
On Smoothing and Habit Formation of Variable Life Annuity Benefits
by Mogens Steffensen and Savannah Halling Vikkelsøe
J. Risk Financial Manag. 2024, 17(2), 75; https://doi.org/10.3390/jrfm17020075 - 13 Feb 2024
Viewed by 1093
Abstract
This paper studies optimal consumption and investment strategies with lifetime uncertainty to design a smooth pension product. In a simplified Black–Scholes market, we investigate three strategies for consumption and investment: the classical strategy, the habit strategy, and the hybrid strategy. Incorporating additive habit [...] Read more.
This paper studies optimal consumption and investment strategies with lifetime uncertainty to design a smooth pension product. In a simplified Black–Scholes market, we investigate three strategies for consumption and investment: the classical strategy, the habit strategy, and the hybrid strategy. Incorporating additive habit formation in preferences leads to a request for less consumption volatility. Studying the consumption dynamics, it turns out that the hybrid strategy complies with the same preferences as the habit strategy. In our design of a smooth pension product, we are highly inspired by the consumption structure under the hybrid strategy and let consumption be specified as a time-dependent weighted average of last year’s consumption level and a standard market rate life annuity. We give two approaches for the investment portfolio. The numerical examples show that consumption under these approaches is less volatile than consumption under the classical strategy. Full article
(This article belongs to the Special Issue Featured Papers in Finance and Society Wellbeing—In Honor of Professors Joe Gani and Chris Heyde)
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22 pages, 356 KiB  
Article
The Duality Principle for Multidimensional Optional Semimartingales
by Mahdieh Aminian Shahrokhabadi, Alexander Melnikov and Andrey Pak
J. Risk Financial Manag. 2024, 17(2), 43; https://doi.org/10.3390/jrfm17020043 - 25 Jan 2024
Viewed by 1114
Abstract
In option pricing, we often deal with options whose payoffs depend on multiple factors such as foreign exchange rates, stocks, etc. Usually, this leads to a knowledge of the joint distributions and complicated integration procedures. This paper develops an alternative approach that converts [...] Read more.
In option pricing, we often deal with options whose payoffs depend on multiple factors such as foreign exchange rates, stocks, etc. Usually, this leads to a knowledge of the joint distributions and complicated integration procedures. This paper develops an alternative approach that converts the option pricing problem into a dual one and presents a solution to the problem in the optional semimartingale setting. The paper contains several examples which illustrate its results in terms of the parameters of models and options. Full article
(This article belongs to the Special Issue Featured Papers in Finance and Society Wellbeing—In Honor of Professors Joe Gani and Chris Heyde)
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