:: Library Catalog

Cover Image

Saved in:

Bibliographic Details
Main Authors:	Detering, Nils, Lavagnini, Silvia
Format:	Preprint
Published:	2025
Subjects:	Probability Mathematical Finance 60H15, 60G07, 60J25
Online Access:	https://arxiv.org/abs/2502.09486
Tags:	Add Tag No Tags, Be the first to tag this record!

Similar Items

Short-time behavior of the At-The-Money implied volatility for the jump-diffusion stochastic volatility Bachelier model
by: Alòs, Elisa, et al.
Published: (2025)

The Euler Scheme for Fractional Stochastic Delay Differential Equations with Additive Noise
by: Sauri, Orimar
Published: (2024)

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

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

On the short-time behaviour of up-and-in barrier options using Malliavin calculus
by: Burés, Òscar
Published: (2025)

Failure of the Markov property for stochastic Volterra equations
by: Friesen, Martin, et al.
Published: (2025)

The insider problem in the trinomial model: a discrete-time jump process approach
by: Halconruy, Hélène
Published: (2021)

Stochastic Volterra equations: failure of the time-homogeneous Markov property
by: Friesen, Martin, et al.
Published: (2025)

On the geometric Brownian motion with state-dependent variable exponent diffusion term
by: Avci, Mustafa
Published: (2025)

Real-world forward rate dynamics with affine realizations
by: Platen, Eckhard, et al.
Published: (2019)

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

Open Markets and Hybrid Jacobi Processes
by: Itkin, David, et al.
Published: (2021)

Continuous-state branching processes with Lévy-Khintchine drift-interaction: Laplace duality and Fellerian extensions
by: Foucart, Clément, et al.
Published: (2026)

Intertemporal Cost-efficient Consumption
by: Elizalde, Mauricio, et al.
Published: (2024)

Looking forwards and backwards: dynamics and genealogies of locally regulated populations
by: Etheridge, Alison M., et al.
Published: (2023)

On the existence, uniqueness and stability of solutions of SDEs with state-dependent variable exponent
by: Avci, Mustafa
Published: (2025)

Rearranged Stochastic Heat Equation
by: Delarue, François, et al.
Published: (2022)

Optimal local central limit theorems on Wiener chaos
by: Ebina, Masahisa, et al.
Published: (2025)

Small-time central limit theorems for stochastic Volterra integral equations and their Markovian lifts
by: Friesen, Martin, et al.
Published: (2024)

Stochastic persistence and extinction for degenerate stochastic Rosenzweig-MacArthur model
by: Benaïm, Michel, et al.
Published: (2025)

Malliavin calculus for signatures with applications to finance
by: Jaber, Eduardo Abi, et al.
Published: (2026)

On Stochastic Partial Differential Equations and their applications to Derivative Pricing through a conditional Feynman-Kac formula
by: Das, Kaustav, et al.
Published: (2021)

Central limit theorems for nonlinear stochastic wave equations in dimension three
by: Ebina, Masahisa
Published: (2022)

Central limit theorems for stochastic wave equations in high dimensions
by: Ebina, Masahisa
Published: (2023)

Density of imaginary multiplicative chaos via Malliavin calculus
by: Aru, Juhan, et al.
Published: (2020)

An Operator Ito Formula for Volterra Gaussian Processes: The Intrinsic Bracket via Causal Derivation-Divergence Factorization
by: Fontes, Ramiro
Published: (2026)

Multiple and weak Markov properties in Hilbert spaces with applications to fractional stochastic evolution equations
by: Kirchner, Kristin, et al.
Published: (2023)

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

Tempered stable distributions and processes
by: Küchler, Uwe, et al.
Published: (2019)

Unbiased Rough Integrators and No Free Lunch in Rough-Path-Based Market Models
by: Ichiba, Tomoyuki, et al.
Published: (2025)

Optimal stopping of Gauss-Markov bridges
by: Azze, Abel, et al.
Published: (2022)

Tail behavior of Markov-modulated generalized Ornstein-Uhlenbeck processes
by: Alsmeyer, Gerold, et al.
Published: (2026)

Optimal exercise of American options under time-dependent Ornstein-Uhlenbeck processes
by: Azze, Abel, et al.
Published: (2022)

Optimal investment with insider information using Skorokhod & Russo-Vallois integration
by: Elizalde, Mauricio, et al.
Published: (2022)

Affine realizations with affine state processes for stochastic partial differential equations
by: Tappe, Stefan
Published: (2019)

The stationary distributions of state-dependent diffusions reflected at one and two sides
by: Miyazawa, Masakiyo
Published: (2024)

A quantitative CLT on a finite sum of Wiener chaoses and applications to ratios of Gaussian functionals
by: Es-Sebaiy, Khalifa
Published: (2024)

Existence results for the Cox-Ingersoll-Ross model with variable exponent diffusion
by: Avci, Mustafa
Published: (2025)

Regularity of multiplicative processes on infinite-dimensional Lie groups
by: Behme, Anita, et al.
Published: (2025)

On the large-time behaviour of affine Volterra processes
by: Jacquier, Antoine, et al.
Published: (2022)