Recent Advances on Nonlinear Models in Mathematical Finance, 2nd Edition

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

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