:: Library Catalog

Cover Image

Saved in:

Bibliographic Details
Main Author:	Gonchar, N. S.
Format:	Preprint
Published:	2025
Subjects:	Mathematical Finance
Online Access:	https://arxiv.org/abs/2503.24257
Tags:	Add Tag No Tags, Be the first to tag this record!

Similar Items

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

Kalman Filter in the Problem of the Exchange and the Inflation Rates Adequacy To Determining Factors
by: Gonchar, N. S., et al.
Published: (2025)

Market information of the fractional stochastic regularity model
by: Angelini, Daniele, et al.
Published: (2024)

Mathematics of Differential Machine Learning in Derivative Pricing and Hedging
by: Gomes, Pedro Duarte
Published: (2024)

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

An optimal transport foundation for a class of dynamically consistent risk measures
by: Fuhrmann, Sven, et al.
Published: (2026)

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

Distributionally robust risk evaluation with a causality constraint and structural information
by: Han, Bingyan
Published: (2022)

Information and Arbitrage: Applications of Quantum Groups in Mathematical Finance
by: McCloud, Paul
Published: (2017)

Axioms for Automated Market Makers: A Mathematical Framework in FinTech and Decentralized Finance
by: Bichuch, Maxim, et al.
Published: (2022)

Risk aversion of insider and dynamic asymmetric information
by: Danilova, Albina, et al.
Published: (2025)

An empirical study of market risk factors for Bitcoin
by: Singh, Shubham
Published: (2024)

Machine Learning Methods for Pricing Financial Derivatives
by: Fan, Lei, et al.
Published: (2024)

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

Event-Based Limit Order Book Simulation under a Neural Hawkes Process: Application in Market-Making
by: Lalor, Luca, et al.
Published: (2025)

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)

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

Proactive Market Making and Liquidity Analysis for Everlasting Options in DeFi Ecosystems
by: Mohanty, Hardhik, et al.
Published: (2025)

Forecasting implied volatility surface with generative diffusion models
by: Jin, Chen, et al.
Published: (2025)

Simulation of square-root processes made simple: applications to the Heston model
by: Jaber, Eduardo Abi
Published: (2024)

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

Watanabe's expansion: A Solution for the convexity conundrum
by: García-Lorite, David, et al.
Published: (2024)

Implied and Realized Volatility: A Study of Distributions and the Distribution of Difference
by: Moghaddam, M. Dashti, et al.
Published: (2019)

Basket Options with Volatility Skew: Calibrating a Local Volatility Model by Sample Rearrangement
by: Zaugg, Nicola F., 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)

Computing the SSR
by: Friz, Peter K., et al.
Published: (2024)

Reference-dependent asset pricing with a stochastic consumption-dividend ratio
by: Aquino, Luca De Gennaro, et al.
Published: (2024)

Joint SPX-VIX calibration with Gaussian polynomial volatility models: deep pricing with quantization hints
by: Jaber, Eduardo Abi, et al.
Published: (2022)

Reconciling rough volatility with jumps
by: Jaber, Eduardo Abi, et al.
Published: (2023)

Swing contract pricing: with and without Neural Networks
by: Lemaire, Vincent, et al.
Published: (2023)

Boundary conditions at infinity for Black-Scholes equations
by: Tsuzuki, Yukihiro
Published: (2024)

From Volatility to Variance: A Skew-Enhanced SABR Model and Its Empirical Study in the Chinese Financial Options Market
by: Zhang, Wenxuan, et al.
Published: (2026)

SANOS Smooth strictly Arbitrage-free Non-parametric Option Surfaces
by: Buehler, Hans, et al.
Published: (2026)

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

Three-Currency HJM for Brazilian Credit Markets
by: Coelho, Raphael
Published: (2026)

Reinforcement Learning in Non-Markov Market-Making
by: Lalor, Luca, et al.
Published: (2024)

Distributions of Historic Market Data -- Relaxation and Correlations
by: Moghaddam, M. Dashti, et al.
Published: (2019)

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

Ultra-short-term volatility surfaces
by: Bandi, Federico M., et al.
Published: (2026)

Solvability of the Gaussian Kyle model with imperfect information and risk aversion
by: Chhaibi, Reda, et al.
Published: (2025)