Quasi-sure essential supremum and applications to finance
Fuente:
arXiv
Saved in:
| Main Author: | Carassus, Laurence |
|---|---|
| Format: | Preprint |
| Published: |
2021
|
| Subjects: | |
| Online Access: | |
| Tags: |
Add Tag
No Tags, Be the first to tag this record!
|
Similar Items
Strategies with minimal norm are optimal for expected utility maximization under high model ambiguity
by: Carassus, Laurence, et al.
Published: (2023)
by: Carassus, Laurence, et al.
Published: (2023)
Robust No-Arbitrage under Projective Determinacy
by: Boistard, Alexandre, et al.
Published: (2025)
by: Boistard, Alexandre, et al.
Published: (2025)
Discrete time optimal investment under model uncertainty
by: Carassus, Laurence, et al.
Published: (2023)
by: Carassus, Laurence, et al.
Published: (2023)
Nonconcave Robust Utility Maximization under Projective Determinacy
by: Carassus, Laurence, et al.
Published: (2024)
by: Carassus, Laurence, et al.
Published: (2024)
Special issue on machine learning in finance
by: Christa Cuchiero, et al.
Published: (2024)
by: Christa Cuchiero, et al.
Published: (2024)
Almost sure null bankruptcy of testing-by-betting strategies
by: Wang, Hongjian, et al.
Published: (2026)
by: Wang, Hongjian, et al.
Published: (2026)
Malliavin calculus for signatures with applications to finance
by: Jaber, Eduardo Abi, et al.
Published: (2026)
by: Jaber, Eduardo Abi, et al.
Published: (2026)
A second order finite volume IMEX Runge-Kutta scheme for two dimensional PDEs in finance
by: López-Salas, J. G., et al.
Published: (2024)
by: López-Salas, J. G., et al.
Published: (2024)
Affine models with path-dependence under parameter uncertainty and their application in finance
by: Geuchen, Benedikt, et al.
Published: (2022)
by: Geuchen, Benedikt, et al.
Published: (2022)
Efficient approximations for utility-based pricing
by: Carassus, Laurence, et al.
Published: (2021)
by: Carassus, Laurence, et al.
Published: (2021)
Simulation of square-root processes made simple: applications to the Heston model
by: Jaber, Eduardo Abi
Published: (2024)
by: Jaber, Eduardo Abi
Published: (2024)
The additive Bachelier model with an application to the oil option market in the Covid period
by: Baviera, Roberto, et al.
Published: (2025)
by: Baviera, Roberto, et al.
Published: (2025)
Implicit Numerical Scheme for the Hamilton-Jacobi-Bellman Quasi-Variational Inequality in the Optimal Market-Making Problem with Alpha Signal
by: Meteykin, Alexey
Published: (2025)
by: Meteykin, Alexey
Published: (2025)
Uncertainty in the financial market and application to forecastabnormal financial fluctuations
by: Peng, Shige, et al.
Published: (2024)
by: Peng, Shige, et al.
Published: (2024)
A robust stochastic control problem with applications to monotone mean-variance problems
by: Chen, Yuyang, et al.
Published: (2024)
by: Chen, Yuyang, et al.
Published: (2024)
Model-Free Deep Hedging with Transaction Costs and Light Data Requirements
by: Brugière, Pierre, et al.
Published: (2025)
by: Brugière, Pierre, et al.
Published: (2025)
Event-Based Limit Order Book Simulation under a Neural Hawkes Process: Application in Market-Making
by: Lalor, Luca, et al.
Published: (2025)
by: Lalor, Luca, et al.
Published: (2025)
On the Hull-White model with volatility smile for Valuation Adjustments
by: van der Zwaard, T., et al.
Published: (2024)
by: van der Zwaard, T., et al.
Published: (2024)
Watanabe's expansion: A Solution for the convexity conundrum
by: García-Lorite, David, et al.
Published: (2024)
by: García-Lorite, David, et al.
Published: (2024)
Implied and Realized Volatility: A Study of Distributions and the Distribution of Difference
by: Moghaddam, M. Dashti, et al.
Published: (2019)
by: Moghaddam, M. Dashti, et al.
Published: (2019)
Basket Options with Volatility Skew: Calibrating a Local Volatility Model by Sample Rearrangement
by: Zaugg, Nicola F., et al.
Published: (2024)
by: Zaugg, Nicola F., et al.
Published: (2024)
Deep Penalty Methods: A Class of Deep Learning Algorithms for Solving High Dimensional Optimal Stopping Problems
by: Peng, Yunfei, et al.
Published: (2024)
by: Peng, Yunfei, et al.
Published: (2024)
Computing the SSR
by: Friz, Peter K., et al.
Published: (2024)
by: Friz, Peter K., et al.
Published: (2024)
Reference-dependent asset pricing with a stochastic consumption-dividend ratio
by: Aquino, Luca De Gennaro, et al.
Published: (2024)
by: Aquino, Luca De Gennaro, et al.
Published: (2024)
Market information of the fractional stochastic regularity model
by: Angelini, Daniele, et al.
Published: (2024)
by: Angelini, Daniele, et al.
Published: (2024)
Joint SPX-VIX calibration with Gaussian polynomial volatility models: deep pricing with quantization hints
by: Jaber, Eduardo Abi, et al.
Published: (2022)
by: Jaber, Eduardo Abi, et al.
Published: (2022)
Reconciling rough volatility with jumps
by: Jaber, Eduardo Abi, et al.
Published: (2023)
by: Jaber, Eduardo Abi, et al.
Published: (2023)
Marketron games: Self-propelling stocks vs dumb money and metastable dynamics of the Good, Bad and Ugly markets
by: Halperin, I., et al.
Published: (2025)
by: Halperin, I., et al.
Published: (2025)
Time-Varying Factor-Augmented Models for Volatility Forecasting
by: Zhang, Duo, et al.
Published: (2025)
by: Zhang, Duo, et al.
Published: (2025)
Swing contract pricing: with and without Neural Networks
by: Lemaire, Vincent, et al.
Published: (2023)
by: Lemaire, Vincent, et al.
Published: (2023)
Boundary conditions at infinity for Black-Scholes equations
by: Tsuzuki, Yukihiro
Published: (2024)
by: Tsuzuki, Yukihiro
Published: (2024)
From Volatility to Variance: A Skew-Enhanced SABR Model and Its Empirical Study in the Chinese Financial Options Market
by: Zhang, Wenxuan, et al.
Published: (2026)
by: Zhang, Wenxuan, et al.
Published: (2026)
SANOS Smooth strictly Arbitrage-free Non-parametric Option Surfaces
by: Buehler, Hans, et al.
Published: (2026)
by: Buehler, Hans, et al.
Published: (2026)
SPX-VIX Risk Computations Via Perturbed Optimal Transport
by: Che, Charlie, et al.
Published: (2026)
by: Che, Charlie, et al.
Published: (2026)
Proactive Market Making and Liquidity Analysis for Everlasting Options in DeFi Ecosystems
by: Mohanty, Hardhik, et al.
Published: (2025)
by: Mohanty, Hardhik, et al.
Published: (2025)
Three-Currency HJM for Brazilian Credit Markets
by: Coelho, Raphael
Published: (2026)
by: Coelho, Raphael
Published: (2026)
Reinforcement Learning in Non-Markov Market-Making
by: Lalor, Luca, et al.
Published: (2024)
by: Lalor, Luca, et al.
Published: (2024)
Distributions of Historic Market Data -- Relaxation and Correlations
by: Moghaddam, M. Dashti, et al.
Published: (2019)
by: Moghaddam, M. Dashti, et al.
Published: (2019)
Combined Mutiplicative-Heston Model for Stochastic Volatility
by: Moghaddam, M. Dashti, et al.
Published: (2018)
by: Moghaddam, M. Dashti, et al.
Published: (2018)
Forecasting implied volatility surface with generative diffusion models
by: Jin, Chen, et al.
Published: (2025)
by: Jin, Chen, et al.
Published: (2025)
Similar Items
-
Strategies with minimal norm are optimal for expected utility maximization under high model ambiguity
by: Carassus, Laurence, et al.
Published: (2023) -
Robust No-Arbitrage under Projective Determinacy
by: Boistard, Alexandre, et al.
Published: (2025) -
Discrete time optimal investment under model uncertainty
by: Carassus, Laurence, et al.
Published: (2023) -
Nonconcave Robust Utility Maximization under Projective Determinacy
by: Carassus, Laurence, et al.
Published: (2024) -
Special issue on machine learning in finance
by: Christa Cuchiero, et al.
Published: (2024)