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Main Authors:	Atsiwo, Abraham, Sarantsev, Andrey
Format:	Preprint
Published:	2024
Subjects:	Mathematical Finance Probability Statistical Finance 60G50, 62J05, 62M10, 62P05, 91G15
Online Access:	https://arxiv.org/abs/2411.19444
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A New Stock Market Valuation Measure with Applications to Retirement Planning
by: Sarantsev, Andrey
Published: (2019)

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

On the rate of convergence of estimating the Hurst parameter of rough stochastic volatility models
by: Han, Xiyue, et al.
Published: (2025)

Calibrated rank volatility stabilized models for large equity markets
by: Itkin, David, et al.
Published: (2024)

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

A unified theory of order flow, market impact, and volatility
by: Muhle-Karbe, Johannes, et al.
Published: (2026)

The VIX as Stochastic Volatility for Corporate Bonds
by: Park, Jihyun, et al.
Published: (2024)

Estimating the roughness exponent of stochastic volatility from discrete observations of the integrated variance
by: Han, Xiyue, et al.
Published: (2023)

Functional CLTs for subordinated Lévy models in physics, finance, and econometrics
by: Søjmark, Andreas, et al.
Published: (2023)

Pricing under the Benchmark Approach
by: Platen, Eckhard
Published: (2025)

Probability Weighting Meets Heavy Tails: An Econometric Framework for Behavioral Asset Pricing
by: Deep, Akash, et al.
Published: (2025)

Asymmetric super-Heston-rough volatility model with Zumbach effect as scaling limit of quadratic Hawkes processes
by: Chudasama, Priyanka, et al.
Published: (2025)

Modeling and Forecasting Realized Volatility with Multivariate Fractional Brownian Motion
by: Bibinger, Markus, et al.
Published: (2025)

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

A pure dual approach for hedging Bermudan options
by: Alfonsi, Aurélien, et al.
Published: (2024)

A theory of passive market impact
by: Chahdi, Youssef Ouazzani, et al.
Published: (2024)

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

American Options Pricing under Heston Model via Curriculum Learning in Coupled PINNs
by: Rohan, et al.
Published: (2026)

Free Lunches with Vanishing Risks Most Likely Exist
by: Platen, Eckhard, et al.
Published: (2025)

Information-minimizing stationary financial market dynamics
by: Platen, Eckhard
Published: (2025)

Comparison results for positive supermodular dependent Markov tree distributions
by: Ansari, Jonathan, et al.
Published: (2024)

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

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

Statistical inference for rough volatility: Central limit theorems
by: Chong, Carsten, et al.
Published: (2022)

Same Returns, Different Risks: How Cryptocurrency Markets Process Infrastructure vs Regulatory Shocks
by: Farzulla, Murad
Published: (2026)

Curved Greeks: A Geometric Layer for Option P&L Adjustments
by: Velasco, Pedro Pablo Pérez, et al.
Published: (2026)

Multilayer Perceptron Neural Network Models in Asset Pricing: An Empirical Study on Large-Cap US Stocks
by: Lai, Shanyan
Published: (2025)

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

Asymptotic Expansions for High-Frequency Option Data
by: Chong, Carsten H., et al.
Published: (2023)

Temporal Coverage Bias in Financial Panel Data: A Coverage-Aware Structuring Framework with Evidence from the Dhaka Stock Exchange
by: Muhammad, Tashreef
Published: (2026)

Valuation Measure of the Stock Market using Stochastic Volatility and Stock Earnings
by: Sarantsev, Andrey, et al.
Published: (2025)

On the use of case estimate and transactional payment data in neural networks for individual loss reserving
by: Avanzi, Benjamin, et al.
Published: (2025)

Information-Theoretic Approach to Financial Market Modelling
by: Platen, Eckhard
Published: (2026)

On variable annuities with surrender charges
by: De Angelis, Tiziano, et al.
Published: (2024)

Elicitability and identifiability of tail risk measures
by: Fissler, Tobias, et al.
Published: (2024)

Insights into Tail-Based and Order Statistics
by: Almani, Hamidreza Maleki
Published: (2025)

What's the Price of Monotonicity? A Multi-Dataset Benchmark of Monotone-Constrained Gradient Boosting for Credit PD
by: Koklev, Petr
Published: (2025)

How can the dual martingale help solving the primal optimal stopping problem?
by: Alfonsi, Aurélien, et al.
Published: (2026)

Predicting Market Troughs: A Machine Learning Approach with Causal Interpretation
by: Rao, Peilin, et al.
Published: (2025)

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