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Bibliographic Details
Main Authors:	Park, Jihyun, Sarantsev, Andrey
Format:	Preprint
Published:	2024
Subjects:	Statistical Finance Probability Applications 60H10, 60J20, 60J60, 62J05, 62M10, 91B70, 91G30
Online Access:	https://arxiv.org/abs/2411.03699
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Log Heston Model for Monthly Average VIX
by: Park, Jihyun, et al.
Published: (2024)

A New Stock Market Valuation Measure with Applications to Retirement Planning
by: Sarantsev, Andrey
Published: (2019)

Capital Asset Pricing Model with Size Factor and Normalizing by Volatility Index
by: Atsiwo, Abraham, et al.
Published: (2024)

Modeling Stock Returns and Volatility Using Bivariate Gamma Generalized Laplace Law
by: Kozubowski, Tomasz J., et al.
Published: (2026)

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

Stability criteria for rough systems
by: Duc, Luu Hoang, et al.
Published: (2024)

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

Modelling the random spreading of fake news through a two-dimensional time-inhomogeneous birth-death process
by: Di Crescenzo, Antonio, et al.
Published: (2024)

Recovering semipermeable barriers from reflected Brownian motion
by: Van Werde, Alexander, et al.
Published: (2024)

Comparative Evaluation of VaR Models: Historical Simulation, GARCH-Based Monte Carlo, and Filtered Historical Simulation
by: Tian, Xin
Published: (2025)

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

Stein's method for the matrix normal distribution
by: Gaunt, Robert E., et al.
Published: (2026)

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

Climate-Aware Copula Models for Sovereign Rating Migration Risk
by: Palaisti, Marina
Published: (2026)

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

Mean-Field Analysis of Latent Variable Process Models on Dynamically Evolving Graphs with Feedback Effects
by: Ganguly, Ankan, et al.
Published: (2025)

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

Measuring Financial Resilience Using Backward Stochastic Differential Equations
by: Laeven, Roger J. A., et al.
Published: (2025)

Non-standard analysis for coherent risk estimation: hyperfinite representations, discrete Kusuoka formulae, and plug-in asymptotics
by: Kania, Tomasz
Published: (2026)

Estimating the number of clusters of a Block Markov Chain
by: van Vuren, Thomas, et al.
Published: (2024)

Asymptotics of generalized Pólya urns with non-linear feedback
by: Gottfried, Thomas, et al.
Published: (2023)

Geometric BSDEs
by: Laeven, Roger J. A., et al.
Published: (2024)

Strang splitting estimator for nonlinear multivariate stochastic differential equations with Pearson-type multiplicative noise
by: Pilipović, Predrag, et al.
Published: (2026)

Understanding the Commodity Futures Term Structure Through Signatures
by: Krishnan, Hari P., et al.
Published: (2025)

Robust estimation of a Markov chain transition matrix from multiple sample paths
by: Leskelä, Lasse, et al.
Published: (2025)

Efficient Learning of Stationary Diffusions with Stein-type Discrepancies
by: Bleile, Fabian, et al.
Published: (2026)

The mutual arrangement of Wright-Fisher diffusion path measures and its impact on parameter estimation
by: Jenkins, Paul A.
Published: (2024)

Beyond Correlation: Positive Definite Dependence Measures for Robust Inference, Flexible Scenarios, and Causal Modeling for Financial Portfolios
by: Opdyke, JD
Published: (2025)

Bundles of Probability Schemes
by: Pong, Wai Yan
Published: (2026)

Concentration analysis of multivariate elliptic diffusion processes
by: Aeckerle-Willems, Cathrine, et al.
Published: (2022)

From constant to rough: A survey of continuous volatility modeling
by: Di Nunno, Giulia, et al.
Published: (2023)

Sharp Large Deviations and Gibbs Conditioning for Threshold Models in Portfolio Credit Risk
by: Deng, Fengnan, et al.
Published: (2025)

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

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

Reversible Markov kernels and involutions on product spaces
by: Piccioni, Mauro, et al.
Published: (2024)

Random time-shift approximation enables hierarchical Bayesian inference of mechanistic within-host viral dynamics models on large datasets
by: Morris, Dylan J., et al.
Published: (2025)

Branched Signature Model
by: Ali, Munawar, et al.
Published: (2025)

Simulating conditioned diffusions on manifolds
by: Corstanje, Marc, et al.
Published: (2024)

Gradient-enhanced sparse Hermite polynomial expansions for pricing and hedging high-dimensional American options
by: Yang, Jiefei, et al.
Published: (2024)

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