299 records
- Asymptotic Separability of Diffusion and Jump Components in High-Frequency CIR and CKLS Models
- Riemannian Geometry of Optimal Rebalancing in Dynamic Weight Automated Market Makers
- Index and Robustness of Mixed Equilibria: An Algebraic Approach
- Fast simulation of Volterra processes using random Fourier features with application to the log-stationary fractional Brownian motion
- Asymptotics of Ruin Probabilities in a Subordinated Cramér-Lundberg Model
- Single-Asset Adaptive Leveraged Volatility Control
- Exploratory Randomization for Discrete-Time Risk-Sensitive Benchmarked Investment Management with Reinforcement Learning
- Selecting representative community partitions under modularity degeneracy: the STAR method
- Identification in Stochastic Choice
- Time consistent portfolio strategies for a general utility function
- Dynamic Decision-Making under Model Misspecification: A Stochastic Stability Approach
- Optimal investment under capital gains taxes
- Local Coordination and the Geometry of Social Networks
- Decomposition of Spillover Effects Under Misspecification: Pseudo-true Estimands and a Local-Global Extension
- Liquidation Dynamics in DeFi and the Role of Transaction Fees
- Trading in CEXs and DEXs with Priority Fees and Stochastic Delays
- How can the dual martingale help solving the primal optimal stopping problem?
- What Is the Alignment Tax?
- Single- and Multi-Level Fourier-RQMC Methods for Multivariate Shortfall Risk
- On the Skew Stickiness Ratio
- Dual Attainment in Multi-Period Multi-Asset Martingale Optimal Transport and Its Computation
- Habit Formation, Labor Supply, and the Dynamics of Retirement and Annuitization
- Coherent risk from finite models
- A unified theory of order flow, market impact, and volatility
- Numerical Simulations for Time-Fractional Black-Scholes Equations
- Null-Validated Topological Signatures of Financial Market Dynamics
- Adaptive Benign Overfitting (ABO): Overparameterized RLS for Online Learning in Non-stationary Time-series
- Mobility-as-a-service (MaaS) system as a multi-leader-multi-follower game: A single-level variational inequality (VI) formulation
- The Compound BSDE Method: A Fully Forward Method for Option Pricing and Optimal Stopping Problems in Finance
- Learning Optimal Liquidation with Closing Auctions
- Rough Martingale Optimal Transport: Theory, Implementation, and Regulatory Applications for Non-Modelable Risk Factors
- Distributional Instruments: Identification and Estimation with Quantile Least Squares
- Stochastic bifurcation in economic growth model driven by Lévy noise
- An $Ω(\log(N)/N)$ Lookahead is Sufficient to Bound Costs in the Overloaded Loss Network
- Pairwise Beats All-at-Once: Behavioral Gains from Sequential Choice Presentation
- Partial Identification under Stratified Randomization
- Dynamic reinsurance via martingale transport
- Deep g-Pricing for CSI 300 Index Options with Volatility Trajectories and Market Sentiment
- The Fourier estimator of spot volatility: Unbounded coefficients and jumps in the price process
- Learning about Treatment Effects with Prior Studies: A Bayesian Model Averaging Approach
- Learning and Equilibrium under Model Misspecification
- Generalized Riesz Regression: A Unified Framework for Debiased Machine Learning with Riesz Representer Fitting under Bregman Divergence
- Game connectivity and adaptive dynamics in many-action games
- Visible absorbing decompositions and uniqueness of invariant probabilities
- Quantum computing for multidimensional option pricing: End-to-end pipeline
- Sharp Transitions and Systemic Risk in Sparse Financial Networks
- Forward Performance Processes under Multiple Default Risks
- European Options in Market Models with Multiple Defaults: the BSDE approach
- Critical volatility threshold for log-normal to power-law transition