:: Library Catalog

Cover Image

Saved in:

Bibliographic Details
Main Author:	Romaniega, Álvaro
Format:	Preprint
Published:	2024
Subjects:	Mathematical Finance
Online Access:	https://arxiv.org/abs/2406.09488
Tags:	Add Tag No Tags, Be the first to tag this record!

Similar Items

Rough SABR Forward Market Model
by: Adachi, Reo, et al.
Published: (2025)

Pricing Options on Forwards in Function-Valued Affine Stochastic Volatility Models
by: He, Jian, et al.
Published: (2025)

Feynman-Kac Derivatives Pricing on the Full Forward Curve
by: Mott, Kevin
Published: (2026)

Forward Performance Processes under Multiple Default Risks
by: Chong, Wing Fung, et al.
Published: (2026)

Predictable Relative Forward Performance Processes: Multi-Agent and Mean Field Games for Portfolio Management
by: Liang, Gechun, et al.
Published: (2023)

Analytic Regularity and Approximation Limits of Coefficient-Constrained Shallow Networks
by: Attali, Jean-Gabriel
Published: (2026)

Density Approximation of Affine Jump Diffusions via Closed-Form Moment Matching
by: Wu, Yan-Feng, et al.
Published: (2025)

Quantum Probability Theoretic Asset Return Modeling: A Novel Schrödinger-Like Trading Equation and Multimodal Distribution
by: Lin, Li
Published: (2024)

SABR Type Libor (Forward) Market Model (SABR/LMM) with time-dependent skew and smile
by: Tsuchiya, Osamu
Published: (2026)

Approximating intractable short ratemodel distribution with neural network
by: Knezevic, Anna, et al.
Published: (2019)

Community Bail Fund Systems: Fluid Limits and Approximations
by: Zhang, Yidan, et al.
Published: (2025)

Selective Forgetting in Option Calibration: An Operator-Theoretic Gauss-Newton Framework
by: Özsoy, Ahmet Umur
Published: (2025)

Asian Basket Spread Options: A New Approximation Based on Stochastic Taylor Expansions
by: Floc'h, Fabien Le
Published: (2025)

Reference-dependent asset pricing with a stochastic consumption-dividend ratio
by: Aquino, Luca De Gennaro, et al.
Published: (2024)

Basket Options with Volatility Skew: Calibrating a Local Volatility Model by Sample Rearrangement
by: Zaugg, Nicola F., et al.
Published: (2024)

Event-Based Limit Order Book Simulation under a Neural Hawkes Process: Application in Market-Making
by: Lalor, Luca, et al.
Published: (2025)

Decentralised Finance and Automated Market Making: Execution and Speculation
by: Cartea, Álvaro, et al.
Published: (2023)

An empirical study of market risk factors for Bitcoin
by: Singh, Shubham
Published: (2024)

Machine Learning Methods for Pricing Financial Derivatives
by: Fan, Lei, et al.
Published: (2024)

Simulation of square-root processes made simple: applications to the Heston model
by: Jaber, Eduardo Abi
Published: (2024)

On the Hull-White model with volatility smile for Valuation Adjustments
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)

Deep Penalty Methods: A Class of Deep Learning Algorithms for Solving High Dimensional Optimal Stopping Problems
by: Peng, Yunfei, et al.
Published: (2024)

Computing the SSR
by: Friz, Peter K., et al.
Published: (2024)

Market information of the fractional stochastic regularity model
by: Angelini, Daniele, et al.
Published: (2024)

Boundary conditions at infinity for Black-Scholes equations
by: Tsuzuki, Yukihiro
Published: (2024)

Reinforcement Learning in Non-Markov Market-Making
by: Lalor, Luca, et al.
Published: (2024)

Model-Free Deep Hedging with Transaction Costs and Light Data Requirements
by: Brugière, Pierre, et al.
Published: (2025)

Implied and Realized Volatility: A Study of Distributions and the Distribution of Difference
by: Moghaddam, M. Dashti, et al.
Published: (2019)

Joint SPX-VIX calibration with Gaussian polynomial volatility models: deep pricing with quantization hints
by: Jaber, Eduardo Abi, et al.
Published: (2022)

Reconciling rough volatility with jumps
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)

Time-Varying Factor-Augmented Models for Volatility Forecasting
by: Zhang, Duo, et al.
Published: (2025)

Swing contract pricing: with and without Neural Networks
by: Lemaire, Vincent, et al.
Published: (2023)

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)

SANOS Smooth strictly Arbitrage-free Non-parametric Option Surfaces
by: Buehler, Hans, et al.
Published: (2026)

SPX-VIX Risk Computations Via Perturbed Optimal Transport
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)

Three-Currency HJM for Brazilian Credit Markets
by: Coelho, Raphael
Published: (2026)

Distributions of Historic Market Data -- Relaxation and Correlations
by: Moghaddam, M. Dashti, et al.
Published: (2019)