:: Library Catalog

Cover Image

Saved in:

Bibliographic Details
Main Author:	Dimitriou, Ioannis
Format:	Preprint
Published:	2024
Subjects:	Probability 60J99, 60G51, 91B30
Online Access:	https://arxiv.org/abs/2402.12178
Tags:	Add Tag No Tags, Be the first to tag this record!

Similar Items

At-the-money short-time call-price asymptotics for new classes of exponential Lévy models
by: Hoffmeyer, Allen, et al.
Published: (2026)

Quantifying Crypto Portfolio Risk: A Simulation-Based Framework Integrating Volatility, Hedging, Contagion, and Monte Carlo Modeling
by: Firouzi, Kiarash
Published: (2025)

Higher-order ATM asymptotics for the CGMY model via the characteristic function
by: Hoffmeyer, Allen, et al.
Published: (2026)

Exact solution of the ruin problem in the Cramér--Lundberg model with proportional investment
by: Promyslov, Platon, et al.
Published: (2026)

A functional limit theorem for additive functionals
by: Taillefumier, Thibaud, et al.
Published: (2024)

Permutations in competing growth processes and balls-in-bins
by: Bäumler, Johannes, et al.
Published: (2025)

The Mean Field Market Model Revisited
by: Hasenbichler, Manuel, et al.
Published: (2023)

Near-Maturity Asymptotics of Critical Prices of American Put Options under Exponential Lévy Models
by: Figueroa-López, José E., et al.
Published: (2025)

Separating Times for One-Dimensional General Diffusions
by: Criens, David, et al.
Published: (2022)

On the time consistent solution to optimal stopping problems with expectation constraint
by: Christensen, Sören, et al.
Published: (2023)

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

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

On the Expected Maximum Deficit and the Optimal Allocation of Reserves
by: Lefevre, Claude, et al.
Published: (2026)

Fast and explicit European option pricing under tempered stable processes
by: Agazzotti, Gaetano, et al.
Published: (2025)

Tails of explosive birth processes and applications to non-linear P ólya urns
by: Gottfried, Thomas, et al.
Published: (2024)

Pricing and hedging for a sticky diffusion
by: Anagnostakis, Alexis
Published: (2023)

A geometric model of synthetic filtrations via context-dependent time
by: Adachi, Takanori
Published: (2025)

Bayesian optimal investment and reinsurance with dependent financial and insurance risks
by: Bäuerle, Nicole, et al.
Published: (2021)

The bilateral generalized inverse Gaussian process with applications to financial modeling
by: Agazzotti, Gaetano, et al.
Published: (2024)

Asymptotics of survival probabilities and lower tail probability problem
by: Boyarchenko, Svetlana, et al.
Published: (2025)

Series representations for the characteristic function of the multidimensional Markov random flight
by: Kolesnik, Alexander D.
Published: (2023)

Multivariate Tempered Space-Fractional Negative Binomial Process and Risk Models with Shocks
by: Pathak, Ashok Kumar, et al.
Published: (2024)

On the ergodicity of a three-factor CIR model
by: Ascione, Giacomo, et al.
Published: (2023)

A recursive representation for decoupling time-state dependent jumps from jump-diffusion processes
by: Qiu, Qinjing, et al.
Published: (2021)

Optimal investment under capital gains taxes
by: Dimitrov, Alexander, et al.
Published: (2026)

Exact asymptotics of the ruin probability in the Sparre Andersen model
by: Promyslov, Platon
Published: (2026)

Universal basic income in a financial equilibrium
by: Weston, Kim
Published: (2026)

Zero-Coupon Treasury Rates and Returns using the Volatility Index
by: Park, Jihyun, et al.
Published: (2024)

Non-zero-sum optimal stopping game with continuous versus periodic exercise opportunities
by: Pérez, José Luis, et al.
Published: (2021)

First passage times with fast immigration
by: Tung, Hwai-Ray, et al.
Published: (2025)

Radner equilibrium with population growth
by: Choi, Jin Hyuk, et al.
Published: (2025)

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

Dynkin Games for Lévy Processes
by: Aspirot, Laura, et al.
Published: (2024)

The Maki-Thompson model with random awareness
by: Coletti, Cristian F., et al.
Published: (2025)

Ruin probability for renewal risk models with neutral net profit condition
by: Grigutis, Andrius, et al.
Published: (2023)

Towards a characterization of elliptic Harnack inequality for jump processes
by: Malmquist, Jens
Published: (2025)

Noise induced Stability of a Mean-Field model of Systemic Risk with uncertain robustness
by: Alecio, Alexander
Published: (2025)

Stochastic homogenization of stable-like process with divergence free drift
by: Chen, Xin, et al.
Published: (2025)

Occupied Processes: Going with the Flow
by: Tissot-Daguette, Valentin
Published: (2023)

Short-rate models with stochastic discontinuities: a PDE approach
by: Calvia, Alessandro, et al.
Published: (2025)