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Mathematical Finance
Unified Asymptotics For Investment Under Illiquidity: Transaction Costs And Search Frictions
Yesterday by
Tae Ung Gang
and
Jin Hyuk Choi
Mathematical Finance
A Mean Field Game approach for pollution regulation of competitive firms
2 days ago by
Gianmarco Del Sarto
and
others
Mathematical Finance
Chaotic Hedging with Iterated Integrals and Neural Networks
2 days ago by
Ariel Neufeld
and
Philipp Schmocker
Mathematical Finance
,
Machine Learning
Mean-Variance Optimization for Participating Life Insurance Contracts
3 days ago by
Felix Fießinger
and
Mitja Stadje
Mathematical Finance
Testing by Betting while Borrowing and Bargaining
3 days ago by
Hongjian Wang
and
Aaditya Ramdas
Statistics Theory
,
Probability
A nonparametric test for rough volatility
4 days ago by
Carsten Chong
and
Viktor Todorov
Statistics Theory
,
Econometrics
Optimal Investment with Herd Behaviour Using Rational Decision Decomposition
4 days ago by
Huisheng Wang
and
H. Vicky Zhao
Systems and Control
,
Optimization and Control
Option pricing in Sandwiched Volterra Volatility model
5 days ago by
Giulia Nunno
and
others
Mathematical Finance
,
Probability
Sandwiched Volterra Volatility model: Markovian approximations and hedging
5 days ago by
Giulia Nunno
and
Anton Yurchenko-Tytarenko
Mathematical Finance
Stopper vs. singular-controller games with degenerate diffusions
7 days ago by
Andrea Bovo
and
others
Optimization and Control
,
Probability
Optimal Carbon Emission Control With Allowances Purchasing
11 July 2024 by
Xinfu Chen
and
others
Optimization and Control
,
Mathematical Finance
Herding Unmasked: Insights into Cryptocurrencies, Stocks and US ETFs
10 July 2024 by
An Pham Ngoc Nguyen
and
others
at
Dublin City University
Mathematical Finance
,
General Economics
Hilbert Space-Valued LQ Mean Field Games: An Infinite-Dimensional Analysis
7 July 2024 by
Hanchao Liu
and
Dena Firoozi
at
École des Hautes Études Commerciales
Optimization and Control
,
Functional Analysis
Unified Approach for Hedging Impermanent Loss of Liquidity Provision
6 July 2024 by
Alexander Lipton
and
others
Mathematical Finance
,
Trading and Market Microstructure
Subleading correction to the Asian options volatility in the Black-Scholes model
6 July 2024 by
Dan Pirjol
Mathematical Finance
,
Probability
Risk Budgeting Allocation for Dynamic Risk Measures
5 July 2024 by
Sebastian Jaimungal
and
others
Mathematical Finance
,
Portfolio Management
Kullback-Leibler Barycentre of Stochastic Processes
5 July 2024 by
Sebastian Jaimungal
and
Silvana Pesenti
Mathematical Finance
,
Probability
Decentralised Finance and Automated Market Making: Execution and Speculation
5 July 2024 by
Álvaro Cartea
and
others
Trading and Market Microstructure
,
Mathematical Finance
Modelling Uncertain Volatility Using Quantum Stochastic Calculus: Unitary vs Non-Unitary Time Evolution
5 July 2024 by
Will Hicks
Mathematical Finance
Unwinding Toxic Flow with Partial Information
5 July 2024 by
Alexander Barzykin
and
others
Trading and Market Microstructure
,
Mathematical Finance
Fluid-Limits of Fragmented Limit-Order Markets
5 July 2024 by
Johannes Muhle-Karbe
and
others
Probability
,
Mathematical Finance
Cost-efficiency in Incomplete Markets
4 July 2024 by
Carole Bernard
and
Stephan Sturm
Portfolio Management
,
Probability
The second-order Esscher martingale densities for continuous-time market models
4 July 2024 by
Tahir Choulli
and
others
Mathematical Finance
,
Probability
Optimal stopping of Gauss-Markov bridges
4 July 2024 by
Abel Azze
and
others
Probability
,
Mathematical Finance
Block-diagonal idiosyncratic covariance estimation in high-dimensional factor models for financial time series
4 July 2024 by
Lucija Žignić
and
others
Statistical Finance
,
Computational Engineering, Finance, and Science
Optimal ratcheting of dividend payout under Brownian motion surplus
4 July 2024 by
Chonghu Guan
and
Zuo Quan Xu
Mathematical Finance
,
Optimization and Control
Optimal hedging with variational preferences under convex risk measures
3 July 2024 by
Marcelo Righi
Mathematical Finance
The not-so-hidden risks of 'hidden-to-maturity' accounting: on depositor runs and bank resilience
3 July 2024 by
Zachary Feinstein
and
others
at
London School of Economics and Political Science, University of London
Risk Management
,
Mathematical Finance
Basket Options with Volatility Skew: Calibrating a Local Volatility Model by Sample Rearrangement
3 July 2024 by
Nicola Zaugg
and
Lech Grzelak
Computational Finance
,
Mathematical Finance
Robust optimal investment and consumption strategies with portfolio constraints and stochastic environment
3 July 2024 by
Len Patrick Dominic M. Garces
and
Yang Shen
Portfolio Management
,
Optimization and Control
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