Saved in:
| Main Author: | Pagès, Gilles |
|---|---|
| Format: | Preprint |
| Published: |
2024
|
| Subjects: | |
| Online Access: | https://arxiv.org/abs/2401.15021 |
| Tags: |
Add Tag
No Tags, Be the first to tag this record!
|
Similar Items
On Inhomogeneous Affine Volterra Processes: Stationarity and Applications to the Volterra Heston Model
by: Gnabeyeu, Emmanuel, et al.
Published: (2025)
by: Gnabeyeu, Emmanuel, et al.
Published: (2025)
On Path-dependent Volterra Integral Equations: Strong Well-posedness and Stochastic Numerics
by: Gnabeyeu, Emmanuel, et al.
Published: (2026)
by: Gnabeyeu, Emmanuel, et al.
Published: (2026)
Rough Path Renormalization from Stratonovich to Itô for Fractional Brownian Motion
by: Qian, Zhongmin, et al.
Published: (2018)
by: Qian, Zhongmin, et al.
Published: (2018)
On the mean-variance problem through the lens of multivariate fake stationary affine Volterra dynamics
by: Gnabeyeu, Emmanuel
Published: (2026)
by: Gnabeyeu, Emmanuel
Published: (2026)
Optimal Merton's Problem under Multivariate Affine Volterra Models with Jumps
by: Dro, Sigui Brice, et al.
Published: (2026)
by: Dro, Sigui Brice, et al.
Published: (2026)
On Utility Maximization under Multivariate Fake Stationary Affine Volterra Models
by: Gnabeyeu, Emmanuel
Published: (2026)
by: Gnabeyeu, Emmanuel
Published: (2026)
Zero-Coupon Treasury Rates and Returns using the Volatility Index
by: Park, Jihyun, et al.
Published: (2024)
by: Park, Jihyun, et al.
Published: (2024)
No arbitrage and the existence of ACLMMs in general diffusion models
by: Criens, David, et al.
Published: (2024)
by: Criens, David, et al.
Published: (2024)
Criteria for the absence of arbitrage in general diffusion markets
by: Criens, David, et al.
Published: (2023)
by: Criens, David, et al.
Published: (2023)
The fundamental theorem of asset pricing with and without transaction costs
by: Kühn, Christoph
Published: (2023)
by: Kühn, Christoph
Published: (2023)
Kolmogorov equations for stochastic Volterra processes with singular kernels
by: Gasteratos, Ioannis, et al.
Published: (2025)
by: Gasteratos, Ioannis, et al.
Published: (2025)
Many-Server Asymptotics for Join-the-Shortest-Queue: Large Deviations and Rare Events
by: Budhiraja, Amarjit, et al.
Published: (2019)
by: Budhiraja, Amarjit, et al.
Published: (2019)
The Mean Field Market Model Revisited
by: Hasenbichler, Manuel, et al.
Published: (2023)
by: Hasenbichler, Manuel, et al.
Published: (2023)
Volatility Modeling with Rough Paths: A Signature-Based Alternative to Classical Expansions
by: Alòs, Elisa, et al.
Published: (2025)
by: Alòs, Elisa, et al.
Published: (2025)
Geometric BSDEs
by: Laeven, Roger J. A., et al.
Published: (2024)
by: Laeven, Roger J. A., et al.
Published: (2024)
Stochastic Integration on Stochastic Sets of Interval Type and Applications to Mathematical Finance
by: Yue, Jia, et al.
Published: (2025)
by: Yue, Jia, et al.
Published: (2025)
State spaces of multifactor approximations of nonnegative Volterra processes
by: Jaber, Eduardo Abi, et al.
Published: (2024)
by: Jaber, Eduardo Abi, et al.
Published: (2024)
On the Structural Foundations of Signature Volatility Models: Existence, Arbitrage, Completeness, and the Hedging-Error Decomposition
by: Xodarev, Akmal
Published: (2026)
by: Xodarev, Akmal
Published: (2026)
Measuring Financial Resilience Using Backward Stochastic Differential Equations
by: Laeven, Roger J. A., et al.
Published: (2025)
by: Laeven, Roger J. A., et al.
Published: (2025)
Short-horizon Duesenberry Equilibrium
by: Londoño, Jaime Alberto
Published: (2026)
by: Londoño, Jaime Alberto
Published: (2026)
On the Analysis of a Singular Stochastic Volterra Differential Equation driven by a Wiener Noise
by: Coffie, Emmanuel, et al.
Published: (2025)
by: Coffie, Emmanuel, et al.
Published: (2025)
Utility maximization in constrained and unbounded financial markets: Applications to indifference valuation, regime switching, consumption and Epstein-Zin recursive utility
by: Hu, Ying, et al.
Published: (2017)
by: Hu, Ying, et al.
Published: (2017)
Intertemporal Cost-efficient Consumption
by: Elizalde, Mauricio, et al.
Published: (2024)
by: Elizalde, Mauricio, et al.
Published: (2024)
One Currency, Two Forward Prices: The Onshore-Offshore Renminbi Puzzle
by: Drapeau, Samuel, et al.
Published: (2026)
by: Drapeau, Samuel, et al.
Published: (2026)
Limit theorems for stochastic Volterra processes
by: Bianchi, Luigi Amedeo, et al.
Published: (2025)
by: Bianchi, Luigi Amedeo, et al.
Published: (2025)
Measuring risk contagion in financial networks with CoVaR
by: Das, Bikramjit, et al.
Published: (2023)
by: Das, Bikramjit, et al.
Published: (2023)
Stability criteria for rough systems
by: Duc, Luu Hoang, et al.
Published: (2024)
by: Duc, Luu Hoang, et al.
Published: (2024)
Dynamic Mean-Variance Asset Allocation in General Incomplete Markets A Nonlocal BSDE-based Feedback Control Approach
by: Lei, Qian, et al.
Published: (2024)
by: Lei, Qian, et al.
Published: (2024)
Comparative Evaluation of VaR Models: Historical Simulation, GARCH-Based Monte Carlo, and Filtered Historical Simulation
by: Tian, Xin
Published: (2025)
by: Tian, Xin
Published: (2025)
Time evaluation of portfolio for asymmetrically informed traders
by: D'Auria, Bernardo, et al.
Published: (2024)
by: D'Auria, Bernardo, et al.
Published: (2024)
Almost-Exact Simulation Scheme for Heston-type Models: Bermudan and American Option Pricing
by: Dimitrov, Mara Kalicanin, et al.
Published: (2025)
by: Dimitrov, Mara Kalicanin, et al.
Published: (2025)
Properties of the entropic risk measure EVaR in relation to selected distributions
by: Mishura, Yuliya, et al.
Published: (2024)
by: Mishura, Yuliya, et al.
Published: (2024)
Optimal investment with insider information using Skorokhod & Russo-Vallois integration
by: Elizalde, Mauricio, et al.
Published: (2022)
by: Elizalde, Mauricio, et al.
Published: (2022)
Time-Inconsistent Stochastic Linear-quadratic Differential Game
by: Zhou, Qinglong, et al.
Published: (2016)
by: Zhou, Qinglong, et al.
Published: (2016)
Nonnegativity preserving convolution kernels. Application to Stochastic Volterra Equations in closed convex domains and their approximation
by: Alfonsi, Aurélien
Published: (2023)
by: Alfonsi, Aurélien
Published: (2023)
Noise induced Stability of a Mean-Field model of Systemic Risk with uncertain robustness
by: Alecio, Alexander
Published: (2025)
by: Alecio, Alexander
Published: (2025)
A Tokenized Sovereign Debt Conversion Mechanism for Dynamic Public Debt Reduction
by: Firouzi, Kiarash
Published: (2025)
by: Firouzi, Kiarash
Published: (2025)
Relative Arbitrage Opportunities with Interactions among $N$ Investors
by: Ichiba, Tomoyuki, et al.
Published: (2020)
by: Ichiba, Tomoyuki, et al.
Published: (2020)
First to reach $n$ game
by: Volkov, Stanislav, et al.
Published: (2025)
by: Volkov, Stanislav, et al.
Published: (2025)
Branched Signature Model
by: Ali, Munawar, et al.
Published: (2025)
by: Ali, Munawar, et al.
Published: (2025)
Similar Items
-
On Inhomogeneous Affine Volterra Processes: Stationarity and Applications to the Volterra Heston Model
by: Gnabeyeu, Emmanuel, et al.
Published: (2025) -
On Path-dependent Volterra Integral Equations: Strong Well-posedness and Stochastic Numerics
by: Gnabeyeu, Emmanuel, et al.
Published: (2026) -
Rough Path Renormalization from Stratonovich to Itô for Fractional Brownian Motion
by: Qian, Zhongmin, et al.
Published: (2018) -
On the mean-variance problem through the lens of multivariate fake stationary affine Volterra dynamics
by: Gnabeyeu, Emmanuel
Published: (2026) -
Optimal Merton's Problem under Multivariate Affine Volterra Models with Jumps
by: Dro, Sigui Brice, et al.
Published: (2026)