299 records
- Optimal Catastrophe Bond Design and its Applications to Climate Change Risk
- Global Structure and Local Specifications in Sublinear Valuation
- Short-term barrier option price expansion
- Optimal Liquidation with Support and Resistance Levels under Multi-Skew Brownian Motion
- When Hedging Changes the Payoff: Option Replication with Price Impact and Execution Costs
- Basket implied volatility skew and stickiness
- Myerson-Satterthwaite impossibility theorem (continuous bilateral-trade version)
- Two-Regime Risk Measures under Convex Loss
- Optimal Investment and Consumption in Financial Markets with Integrated Variance Clocks
- Active Portfolio Management in Concentrated Equity Markets
- Risk Measures under Paired-Ambiguity: A Deep Learning Reflected BSDE Framework
- Nested Clustered Optimization Is One End of a Schur Bridge, and the Interior Is Sometimes Provably Better
- Equilibrium prices under hidden Markov fundamentals
- Quadratic G-BSDEs for bond pricing with endogenous short-rate feedback
- Stable Policy Learning
- Eigenvalue-Decomposition Cost Denoising for Predict-then-Optimize
- Gaussian Normalized Coordinates and Risk-Neutral CDF Deformations
- Event-Time Order-Flow Memory, Operational-Time Impact, and Subordinated Market Observables
- Yet another asymptotic formula for implied volatility
- Exact calibration of structural models via time-change
- Variance-Optimal Hedging in the Rough Hawkes--Heston Model
- Pricing and Hedging of Discretely Monitored Asian Options in the Volterra-Heston Model
- Simple Dynamic Stock/Bond/Gold Portfolios
- Optimal Transport in Economics
- An Entropic Factor Model for Robust Portfolio Replication
- Bayesian Confidence Recalibration and Research-Equilibrium Criticality: Temporal Support in Robust Portfolios
- Global Multi-Maturity SPX-VIX Calibration Beyond Markovian Stitching
- Mean-field equilibrium of heterogeneous agents under market impact
- An Operator-Based Visual Analytics Pipeline for Synthetic Systemic Risk Dynamics
- Optimal Block Time for AMM Liquidity Providers under Jump-Diffusion Prices
- A note on markets with semi-static trading strategies
- Latent-Space No-Arbitrage Geometry of Generative Models for Implied Volatility Surfaces
- Single- and Multilevel Quadrature with Error Control for Fourier Pricing under the Rough Heston Model
- Inference for High-Dimensional Network Data
- Generalizing Markowitz Portfolio Optimization by a Quadratic Risk Measure
- On the hedging problem in general 1D diffusion markets
- Uniformly Valid Inference Under Interactive and High-Dimensional Constraints
- Beyond Lognormal Sums: A Four-Moment Probability Framework for Basket and Spread Option Pricing
- Limit Theory for U-Statistics under Clustered and Weakly Dependent Data
- When to Sell an Asset? - A Distribution Builder Approach
- Deep-MKV-TS: Path-Dependent McKean--Vlasov Control for Financial Time Series Generation
- Monotone Allocations without Single-Crossing: When to Bunch and When to Jump
- COS-TT-CHF: A Tensor-Train Characteristic-Function COS Method for Multi-Asset Option Pricing
- Does the grand coalition form? Persistence, arrival, and the role of the sharing rule in a dynamic process of nested binding agreements
- The Limits of Experimental Design: Covariate Balance Beyond Low Dimension
- Feasible Multi-Asset Optimal Execution under Cash Constraints
- Scalable Pontryagin-Guided Adjoint-to-Control Recovery for Constrained Dynamic Portfolio Choice
- Local Expected Utility in Infinite-Dimensional Spaces: Theory and Elicitation
- Optimal Control Variates for Survey Sampling and Causal Inference
- Systemic Risk in Financial Networks Revisited: Debt Dilution as a Backdoor Bail-in