Copertina

A Càdlàg Rough Path Foundation for Robust Finance

Fuente: arXiv

Salvato in:

Dettagli Bibliografici
Autori principali:	Allan, Andrew L., Liu, Chong, Prömel, David J.
Natura:	Preprint
Pubblicazione:	2021
Soggetti:	Probability Mathematical Finance 91G80, 60L20, 60G44
Accesso online:	Acceder al recurso
Tags:	Aggiungi Tag Nessun Tag, puoi essere il primo ad aggiungerne!!

Documenti analoghi

Pathwise analysis of log-optimal portfolios
di: Allan, Andrew L., et al.
Pubblicazione: (2025)

Rough PDEs for local stochastic volatility models
di: Bank, Peter, et al.
Pubblicazione: (2023)

Volatility Modeling with Rough Paths: A Signature-Based Alternative to Classical Expansions
di: Alòs, Elisa, et al.
Pubblicazione: (2025)

Rough differential equations for volatility
di: Bonesini, Ofelia, et al.
Pubblicazione: (2024)

Geometric Martingale Benamou-Brenier transport and geometric Bass martingales
di: Backhoff, Julio, et al.
Pubblicazione: (2024)

Bridging classical and martingale Schrödinger bridges
di: Backhoff, Julio, et al.
Pubblicazione: (2026)

Unbiased Rough Integrators and No Free Lunch in Rough-Path-Based Market Models
di: Ichiba, Tomoyuki, et al.
Pubblicazione: (2025)

Primal and dual optimal stopping with signatures
di: Bayer, Christian, et al.
Pubblicazione: (2023)

Scaling Limits of Bivariate Nearly-Unstable Hawkes Processes and Applications to Rough Volatility
di: Karmi, Sohaib El
Pubblicazione: (2026)

On the Structural Foundations of Signature Volatility Models: Existence, Arbitrage, Completeness, and the Hedging-Error Decomposition
di: Xodarev, Akmal
Pubblicazione: (2026)

Geometric Rough Paths above Mixed Fractional Brownian Motion
di: Lechiheb, Atef
Pubblicazione: (2025)

Robust Hedging of American Options via Aggregated Snell Envelopes
di: Rodrigues, Marco
Pubblicazione: (2025)

Extreme ATM skew in a local volatility model with discontinuity: joint density approach
di: Gairat, Alexander, et al.
Pubblicazione: (2023)

Consumption-Investment Problem in Rank-Based Models
di: Itkin, David
Pubblicazione: (2025)

Linear short rate model with several delays
di: Roux, Alet, et al.
Pubblicazione: (2024)

The fundamental theorem of asset pricing with and without transaction costs
di: Kühn, Christoph
Pubblicazione: (2023)

Convergence rates for Backward SDEs driven by Lévy processes
di: Liu, Chenguang, et al.
Pubblicazione: (2024)

Admissible Information Structures and the Non-Existence of Global Martingale Pricing
di: Dominguez, Alejandro Rodriguez
Pubblicazione: (2026)

Criteria for the absence of arbitrage in general diffusion markets
di: Criens, David, et al.
Pubblicazione: (2023)

No arbitrage and the existence of ACLMMs in general diffusion models
di: Criens, David, et al.
Pubblicazione: (2024)

Pricing American options under rough volatility using deep-signatures and signature-kernels
di: Bayer, Christian, et al.
Pubblicazione: (2025)

Unsupervised Learning-based Calibration Scheme for Rough Volatility Models
di: Teng, Changqing, et al.
Pubblicazione: (2024)

Rough volatility, path-dependent PDEs and weak rates of convergence
di: Bonesini, Ofelia, et al.
Pubblicazione: (2023)

Model-independent upper bounds for the prices of Bermudan options with convex payoffs
di: Hobson, David, et al.
Pubblicazione: (2025)

Pricing and hedging for a sticky diffusion
di: Anagnostakis, Alexis
Pubblicazione: (2023)

Open Markets and Hybrid Jacobi Processes
di: Itkin, David, et al.
Pubblicazione: (2021)

Ergodic robust maximization of asymptotic growth with stochastic factor processes
di: Itkin, David, et al.
Pubblicazione: (2022)

Hedging in Jump Diffusion Model with Transaction Costs
di: Almani, Hamidreza Maleki, et al.
Pubblicazione: (2024)

Utility maximization in constrained and unbounded financial markets: Applications to indifference valuation, regime switching, consumption and Epstein-Zin recursive utility
di: Hu, Ying, et al.
Pubblicazione: (2017)

Optimal hedging of a perpetual American put with a single trade
di: Cai, Cheng, et al.
Pubblicazione: (2020)

Existence of affine realizations for stochastic partial differential equations driven by Lévy processes
di: Tappe, Stefan
Pubblicazione: (2019)

Real-world forward rate dynamics with affine realizations
di: Platen, Eckhard, et al.
Pubblicazione: (2019)

Affine realizations with affine state processes for stochastic partial differential equations
di: Tappe, Stefan
Pubblicazione: (2019)

Existence of Lévy term structure models
di: Filipović, Damir, et al.
Pubblicazione: (2019)

Second-Order Approximation of Limit Order Books in a Single-Scale Regime
di: Horst, Ulrich, et al.
Pubblicazione: (2023)

A stochastic volatility approximation for a tick-by-tick price model with mean-field interaction
di: Pra, Paolo Dai, et al.
Pubblicazione: (2025)

Explicit Asymptotics on First Passage Times of Diffusion Processes
di: Dassios, Angelos, et al.
Pubblicazione: (2018)

Rough SDEs and Robust Filtering for Jump-Diffusions
di: Allan, Andrew L., et al.
Pubblicazione: (2025)

Exponential stock models driven by tempered stable processes
di: Küchler, Uwe, et al.
Pubblicazione: (2019)

Option pricing in bilateral Gamma stock models
di: Küchler, Uwe, et al.
Pubblicazione: (2019)