Mathematical Finance

Authors and titles for recent submissions

• Fri, 21 Jun 2024
• Wed, 19 Jun 2024
• Tue, 18 Jun 2024
• Mon, 17 Jun 2024
• Fri, 14 Jun 2024

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Fri, 21 Jun 2024 (showing 5 of 5 entries )

[1] arXiv:2406.13539 [pdf, html, other]

Title: Robust Lambda-quantiles and extreme probabilities

Xia Han, Peng Liu

Comments: 30 pages

Subjects: Mathematical Finance (q-fin.MF)

[2] arXiv:2406.13508 [pdf, html, other]

Title: Pricing VIX options under the Heston-Hawkes stochastic volatility model

Oriol Zamora Font

Comments: 28 pages

Subjects: Mathematical Finance (q-fin.MF)

[3] arXiv:2406.13486 [pdf, html, other]

Title: Mean-Variance Portfolio Selection in Long-Term Investments with Unknown Distribution: Online Estimation, Risk Aversion under Ambiguity, and Universality of Algorithms

Duy Khanh Lam

Comments: 21 pages, working paper, first draft version (may contain errors)

Subjects: Mathematical Finance (q-fin.MF); Machine Learning (cs.LG); Probability (math.PR); Portfolio Management (q-fin.PM)

[4] arXiv:2406.14074 (cross-list from math.PR) [pdf, html, other]

Title: Strong existence and uniqueness of a calibrated local stochastic volatility model

Scander Mustapha

Subjects: Probability (math.PR); Analysis of PDEs (math.AP); Mathematical Finance (q-fin.MF)

[5] arXiv:2406.12999 (cross-list from q-fin.RM) [pdf, html, other]

Title: Robust convex risk measures

Marcelo Righi

Subjects: Risk Management (q-fin.RM); Mathematical Finance (q-fin.MF)

Wed, 19 Jun 2024 (showing 1 of 1 entries )

[6] arXiv:2406.12305 [pdf, html, other]

Title: Robust dividend policy: Equivalence of Epstein-Zin and Maenhout preferences

Kexin Chen, Kyunghyun Park, Hoi Ying Wong

Subjects: Mathematical Finance (q-fin.MF); Optimization and Control (math.OC); Probability (math.PR); General Finance (q-fin.GN)

Tue, 18 Jun 2024 (showing 3 of 3 entries )

[7] arXiv:2406.10978 [pdf, html, other]

Title: Local wealth condensation for yard-sale models with wealth-dependent biases

Christoph Börgers, Claude Greengard

Comments: 8 pages, 1 figure

Subjects: Mathematical Finance (q-fin.MF); Probability (math.PR); Physics and Society (physics.soc-ph)

[8] arXiv:2406.10648 [pdf, html, other]

Title: Generalized FGM dependence: Geometrical representation and convex bounds on sums

Hélène Cossette, Etienne Marceau, Alessandro Mutti, Patrizia Semeraro

Comments: 31 pages, 1 figure

Subjects: Mathematical Finance (q-fin.MF); Statistics Theory (math.ST)

[9] arXiv:2406.10465 (cross-list from q-fin.PM) [pdf, html, other]

Title: Constrained mean-variance investment-reinsurance under the Cram\'er-Lundberg model with random coefficients

Xiaomin Shi, Zuo Quan Xu

Subjects: Portfolio Management (q-fin.PM); Optimization and Control (math.OC); Mathematical Finance (q-fin.MF)

Mon, 17 Jun 2024 (showing 3 of 3 entries )

[10] arXiv:2406.09488 [pdf, html, other]

Title: Note on a Theoretical Justification for Approximations of Arithmetic Forwards

Álvaro Romaniega

Subjects: Mathematical Finance (q-fin.MF)

[11] arXiv:2406.10214 (cross-list from cs.LG) [pdf, html, other]

Title: Universal randomised signatures for generative time series modelling

Francesca Biagini, Lukas Gonon, Niklas Walter

Comments: 33 pages

Subjects: Machine Learning (cs.LG); Mathematical Finance (q-fin.MF); Machine Learning (stat.ML)

[12] arXiv:2406.09959 (cross-list from q-fin.CP) [pdf, html, other]

Title: Computation of Robust Option Prices via Structured Multi-Marginal Martingale Optimal Transport

Linn Engström, Sigrid Källblad, Johan Karlsson

Subjects: Computational Finance (q-fin.CP); Optimization and Control (math.OC); Probability (math.PR); Mathematical Finance (q-fin.MF)

Fri, 14 Jun 2024

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