:: Library Catalog

Cover Image

Saved in:

Bibliographic Details
Main Authors:	Gonchar, N. S., Kozyrski, W. H., Zhokhin, A. S., Dovzhyk, O. P.
Format:	Preprint
Published:	2025
Subjects:	Mathematical Finance
Online Access:	https://arxiv.org/abs/2503.10117
Tags:	Add Tag No Tags, Be the first to tag this record!

Similar Items

China and G7 in the Current Context of the World Trading
by: Gonchar, N. S., et al.
Published: (2025)

Mathematical Model of International Trade and Global Economy
by: Gonchar, N. S., et al.
Published: (2021)

Mathematical foundations of information economics
by: Gonchar, N. S.
Published: (2025)

Tax systems for sustainable economic development
by: Gonchar, N. S.
Published: (2024)

Impact of Tariff Wars on Global Economy
by: Gonchar, N. S., et al.
Published: (2025)

Pricing Multi-strike Quanto Call Options on Multiple Assets with Stochastic Volatility, Correlation, and Exchange Rates
by: Ter-Avanesov, Boris, et al.
Published: (2024)

Inflation Models with Correlation and Skew
by: Ogetbil, Orcan, et al.
Published: (2024)

Rough Path Approaches to Stochastic Control, Filtering, and Stopping
by: Mavroforas, Jonathan A., et al.
Published: (2025)

An Empirical Implementation of the Shadow Riskless Rate
by: Lauria, Davide, et al.
Published: (2024)

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

Generalized Beta Prime Distribution: Stochastic Model of Economic Exchange and Properties of Inequality Indices
by: Moghaddam, M. Dashti, et al.
Published: (2019)

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

Backtesting Framework for Concentrated Liquidity Market Makers on Uniswap V3 Decentralized Exchange
by: Urusov, Andrey, et al.
Published: (2024)

Short-Rate-Dependent Volatility Models
by: Leung, Tim, et al.
Published: (2026)

The ESG Rating Game: Deviation, Disagreement, and Greenwashing
by: Qinhan Duan, et al.
Published: (2026)

Two-Factor Hull-White Model Revisited: Correlation Structure for Two-Factor Interest Rate Model in CVA Calculation
by: Tsuchiya, Osamu
Published: (2026)

Short-Rate Derivatives in a Higher-for-Longer Environment
by: Karakhanyan, Aram, et al.
Published: (2025)

Diffusion Factor Models: Generating High-Dimensional Returns with Factor Structure
by: Chen, Minshuo, et al.
Published: (2025)

Arbitrage on Decentralized Exchanges
by: He, Xue Dong, et al.
Published: (2025)

Option Pricing with Stochastic Volatility, Equity Premium, and Interest Rates
by: Hao, Nicole, 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)

Agents' Behavior and Interest Rate Model Optimization in DeFi Lending
by: Charles Bertucci, et al.
Published: (2025)

An Extended Merton Problem With Relaxed Benchmark Tracking
by: Lijun Bo, et al.
Published: (2025)

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

Enhancing a Risk Model by Adding Transient Statistical Factors
by: Tzikas, Alexandros E., et al.
Published: (2026)

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

On the Hull-White model with volatility smile for Valuation Adjustments
by: van der Zwaard, T., et al.
Published: (2024)

Exploratory Control with Tsallis Entropy for Latent Factor Models
by: Donnelly, Ryan, et al.
Published: (2022)

QubitSwap: The Informational Edge in Decentralised Exchanges
by: Scott-Simons, Oliver Tronn, et al.
Published: (2025)

Calibration of a Hybrid Local-Stochastic Volatility Stochastic Rates Model with a Control Variate Particle Method
by: Cozma, Andrei, et al.
Published: (2017)

Algorithmic and High-Frequency Trading Problems for Semi-Markov and Hawkes Jump-Diffusion Models
by: Lalor, Luca, et al.
Published: (2024)

Randomization of Short-Rate Models, Analytic Pricing and Flexibility in Controlling Implied Volatilities
by: Grzelak, Lech A.
Published: (2022)

Efficient Wrong-Way Risk Modelling for Funding Valuation Adjustments
by: van der Zwaard, T., et al.
Published: (2022)

Merton's Problem with Recursive Perturbed Utility
by: Dai, Min, et al.
Published: (2026)

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)

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

Combined Mutiplicative-Heston Model for Stochastic Volatility
by: Moghaddam, M. Dashti, et al.
Published: (2018)

On robust fundamental theorems of asset pricing in discrete time
by: Chau, Huy N.
Published: (2020)

Exploratory Utility Maximization Problem with Tsallis Entropy
by: Ziyi, Chen, et al.
Published: (2025)

On the Application of Laplace Transform to the Ruin Problem with Random Insurance Payments and Investments in a Risky Asset
by: Antipov, Viktor
Published: (2025)