:: Library Catalog

Cover Image

Saved in:

Bibliographic Details
Main Authors:	Chen, Xinfu, Qian, Shuaijie, Qiao, Guan
Format:	Preprint
Published:	2025
Subjects:	Mathematical Finance
Online Access:	https://arxiv.org/abs/2503.08503
Tags:	Add Tag No Tags, Be the first to tag this record!

Similar Items

Non-Concave Utility Maximization with Transaction Costs
by: Qian, Shuaijie, et al.
Published: (2023)

Comparative Statics of Trading Boundary in Finite Horizon Portfolio Selection with Proportional Transaction Costs
by: Li, Jintao, et al.
Published: (2024)

Optimal Carbon Emission Control With Allowances Purchasing
by: Chen, Xinfu, et al.
Published: (2024)

Optimal Liquidation of Perpetual Contracts
by: Donnelly, Ryan, et al.
Published: (2026)

Optimal Contracts for Delegated Order Execution
by: Martin Larsson, et al.
Published: (2025)

Optimal Design of Automated Market Makers on Decentralized Exchanges
by: He, Xue Dong, et al.
Published: (2024)

Mean-Variance Optimization for Participating Life Insurance Contracts
by: Fießinger, Felix, et al.
Published: (2024)

A Two-layer Stochastic Game Approach to Reinsurance Contracting and Competition
by: Liang, Zongxia, et al.
Published: (2024)

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

SPX-VIX Risk Computations Via Perturbed Optimal Transport
by: Che, Charlie, et al.
Published: (2026)

Designing stablecoins
by: Yizhou Cao, et al.
Published: (2024)

Analytic Pricing of SOFR Futures Contracts with Smile and Skew
by: Romero-Bermúdez, Aurelio, et al.
Published: (2024)

Optimal Underreporting and Competitive Equilibrium
by: Liang, Zongxia, et al.
Published: (2026)

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

Robust mean-variance stochastic differential reinsurance and investment games under volatility risk and model uncertainty
by: Guan, Guohui, et al.
Published: (2024)

Correction to “Neural Optimal Stopping Boundary”
Published: (2025)

The Quadratic Local Variance Gamma Model: an arbitrage-free interpolation of class C3 for option prices
by: Floc'h, Fabien Le
Published: (2023)

Limited Attention Allocation in a Stochastic Linear Quadratic System with Multiplicative Noise
by: Cui, Xiangyu, et al.
Published: (2024)

Optimal Liquidation With Signals: The General Propagator Case
by: Eduardo Abi Jaber, et al.
Published: (2025)

Optimal positioning in derivative securities in incomplete markets
by: Leung, Tim, et al.
Published: (2024)

Optimal information acquisition for eliminating estimation risk
by: Liang, Zongxia, et al.
Published: (2024)

Long Time Behavior of Optimal Liquidation Problems
by: Cheng, Xinman, et al.
Published: (2024)

Some Computations for Optimal Execution with Monotone Strategies
by: Dolinsky, Yan
Published: (2024)

Optimal Control of the Ethena Yield-Bearing Stablecoin
by: Lorig, Matthew
Published: (2026)

Optimal Portfolio Choice With Cross‐Impact Propagators
by: Eduardo Abi Jaber, et al.
Published: (2026)

Hedging Options on Asset Portfolios against Just One Underlying Asset in the Presence of Transaction Costs
by: Nanyonga, Erina, et al.
Published: (2025)

Minimum Cost Super-Hedging in a Discrete Time Incomplete Multi-Asset Binomial Market
by: Kędra, Jarek, et al.
Published: (2023)

Optimal Decisions for Liquid Staking: Allocation and Exit Timing
by: Ma, Ruofei, et al.
Published: (2025)

Funding-Aware Optimal Market Making for Perpetual DEXs
by: Le, Nam Anh
Published: (2026)

Optimal Annuitization Time under a Mortality Shock
by: Buttarazzi, Matteo
Published: (2026)

The Optimal Mean–Variance Selling Problem With Finite Horizon
by: Peter Johnson, et al.
Published: (2026)

Optimal risk-aware interest rates for decentralized lending protocols
by: Baude, Bastien, et al.
Published: (2025)

Dual Formulation of the Optimal Consumption problem with Multiplicative Habit Formation
by: Kamma, Thijs, et al.
Published: (2025)

Optimal hedging with variational preferences under convex risk measures
by: Righi, Marcelo
Published: (2024)

Optimal investment and consumption under logarithmic utility and uncertainty model
by: Faidi, Wahid
Published: (2022)

Optimal stopping and divestment timing under scenario ambiguity and learning
by: Mazzon, Andrea, et al.
Published: (2024)

Optimal Investment in Equity and Credit Default Swaps in the Presence of Default
by: Zhe Fei, et al.
Published: (2026)

Solutions to Equilibrium HJB Equations for Time-Inconsistent Deterministic Linear Quadratic Control: Characterization and Uniqueness
by: Peng, Yunfei, et al.
Published: (2023)

Modeling and Stabilizing Financial Systemic Risk Using Optimal Control Theory
by: Wu, Jiacheng
Published: (2025)

Optimal post-retirement investment under longevity risk in collective funds
by: Armstrong, John, et al.
Published: (2024)