Saved in:
| Main Authors: | Benth, Fred Espen, Karbach, Sven, Khedher, Asma |
|---|---|
| Format: | Preprint |
| Published: |
2025
|
| Subjects: | |
| Online Access: | https://arxiv.org/abs/2505.08852 |
| Tags: |
Add Tag
No Tags, Be the first to tag this record!
|
Similar Items
No arbitrage and the existence of ACLMMs in general diffusion models
by: Criens, David, et al.
Published: (2024)
by: Criens, David, et al.
Published: (2024)
Criteria for the absence of arbitrage in general diffusion markets
by: Criens, David, et al.
Published: (2023)
by: Criens, David, et al.
Published: (2023)
Short-horizon Duesenberry Equilibrium
by: Londoño, Jaime Alberto
Published: (2026)
by: Londoño, Jaime Alberto
Published: (2026)
From Gini index as a Lyapunov functional to convergence in Wasserstein distance
by: Cao, Fei
Published: (2024)
by: Cao, Fei
Published: (2024)
Permutations in competing growth processes and balls-in-bins
by: Bäumler, Johannes, et al.
Published: (2025)
by: Bäumler, Johannes, et al.
Published: (2025)
Pricing and hedging for a sticky diffusion
by: Anagnostakis, Alexis
Published: (2023)
by: Anagnostakis, Alexis
Published: (2023)
Time-Inconsistent Stochastic Linear-quadratic Differential Game
by: Zhou, Qinglong, et al.
Published: (2016)
by: Zhou, Qinglong, et al.
Published: (2016)
The fundamental theorem of asset pricing with and without transaction costs
by: Kühn, Christoph
Published: (2023)
by: Kühn, Christoph
Published: (2023)
Time Deep Gradient Flow Method for pricing American options
by: Rou, Jasper
Published: (2025)
by: Rou, Jasper
Published: (2025)
A time-stepping deep gradient flow method for option pricing in (rough) diffusion models
by: Papapantoleon, Antonis, et al.
Published: (2024)
by: Papapantoleon, Antonis, et al.
Published: (2024)
On Inhomogeneous Affine Volterra Processes: Stationarity and Applications to the Volterra Heston Model
by: Gnabeyeu, Emmanuel, et al.
Published: (2025)
by: Gnabeyeu, Emmanuel, et al.
Published: (2025)
The insider problem in the trinomial model: a discrete-time jump process approach
by: Halconruy, Hélène
Published: (2021)
by: Halconruy, Hélène
Published: (2021)
Measuring Financial Resilience Using Backward Stochastic Differential Equations
by: Laeven, Roger J. A., et al.
Published: (2025)
by: Laeven, Roger J. A., et al.
Published: (2025)
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)
by: Alòs, Elisa, et al.
Published: (2025)
Thick points of 4D critical branching Brownian motion
by: Berestycki, Nathanaël, et al.
Published: (2023)
by: Berestycki, Nathanaël, et al.
Published: (2023)
Pricing Options on Forwards in Function-Valued Affine Stochastic Volatility Models
by: He, Jian, et al.
Published: (2025)
by: He, Jian, et al.
Published: (2025)
Extreme ATM skew in a local volatility model with discontinuity: joint density approach
by: Gairat, Alexander, et al.
Published: (2023)
by: Gairat, Alexander, et al.
Published: (2023)
Optimal hedging of a perpetual American put with a single trade
by: Cai, Cheng, et al.
Published: (2020)
by: Cai, Cheng, et al.
Published: (2020)
Generative Market Equilibrium Models with Stable Adversarial Learning via Reinforcement
by: Kratsios, Anastasis, et al.
Published: (2025)
by: Kratsios, Anastasis, et al.
Published: (2025)
Large graph limits of local matching algorithms on Configuration model graphs
by: Aoudi, Mohamed Habib Aliou Diallo, et al.
Published: (2024)
by: Aoudi, Mohamed Habib Aliou Diallo, et al.
Published: (2024)
On the Singular Control of a Diffusion and Its Running Infimum or Supremum
by: Ferrari, Giorgio, et al.
Published: (2025)
by: Ferrari, Giorgio, et al.
Published: (2025)
Modelling the random spreading of fake news through a two-dimensional time-inhomogeneous birth-death process
by: Di Crescenzo, Antonio, et al.
Published: (2024)
by: Di Crescenzo, Antonio, et al.
Published: (2024)
Optimal investment under capital gains taxes
by: Dimitrov, Alexander, et al.
Published: (2026)
by: Dimitrov, Alexander, et al.
Published: (2026)
An infinitesimal generator approach on weak convergence of regulated multi-class matching systems
by: Xie, Bowen
Published: (2025)
by: Xie, Bowen
Published: (2025)
Open Markets and Hybrid Jacobi Processes
by: Itkin, David, et al.
Published: (2021)
by: Itkin, David, et al.
Published: (2021)
Hedging in Jump Diffusion Model with Transaction Costs
by: Almani, Hamidreza Maleki, et al.
Published: (2024)
by: Almani, Hamidreza Maleki, et al.
Published: (2024)
Stochastic factors can matter: improving robust growth under ergodicity
by: Binkert, Balint, et al.
Published: (2025)
by: Binkert, Balint, et al.
Published: (2025)
Computing Systemic Risk Measures with Graph Neural Networks
by: Gonon, Lukas, et al.
Published: (2024)
by: Gonon, Lukas, et al.
Published: (2024)
Worst-Case Optimal Investment in Incomplete Markets
by: Desmettre, Sascha, et al.
Published: (2023)
by: Desmettre, Sascha, et al.
Published: (2023)
One Currency, Two Forward Prices: The Onshore-Offshore Renminbi Puzzle
by: Drapeau, Samuel, et al.
Published: (2026)
by: Drapeau, Samuel, et al.
Published: (2026)
Many-Server Asymptotics for Join-the-Shortest-Queue: Large Deviations and Rare Events
by: Budhiraja, Amarjit, et al.
Published: (2019)
by: Budhiraja, Amarjit, et al.
Published: (2019)
Sharp Transitions and Systemic Risk in Sparse Financial Networks
by: Bendel, Riley James
Published: (2026)
by: Bendel, Riley James
Published: (2026)
Zero-Coupon Treasury Rates and Returns using the Volatility Index
by: Park, Jihyun, et al.
Published: (2024)
by: Park, Jihyun, et al.
Published: (2024)
State spaces of multifactor approximations of nonnegative Volterra processes
by: Jaber, Eduardo Abi, et al.
Published: (2024)
by: Jaber, Eduardo Abi, et al.
Published: (2024)
Call Option Price using Pearson Diffusion Processes
by: Kar, Tapan, et al.
Published: (2025)
by: Kar, Tapan, et al.
Published: (2025)
A groundwater market model
by: Cialenco, Igor, et al.
Published: (2025)
by: Cialenco, Igor, et al.
Published: (2025)
Rough PDEs for local stochastic volatility models
by: Bank, Peter, et al.
Published: (2023)
by: Bank, Peter, et al.
Published: (2023)
The American put with finite-time maturity and stochastic interest rate
by: Cai, Cheng, et al.
Published: (2021)
by: Cai, Cheng, et al.
Published: (2021)
Short-rate models with stochastic discontinuities: a PDE approach
by: Calvia, Alessandro, et al.
Published: (2025)
by: Calvia, Alessandro, et al.
Published: (2025)
Ergodic robust maximization of asymptotic growth with stochastic factor processes
by: Itkin, David, et al.
Published: (2022)
by: Itkin, David, et al.
Published: (2022)
Similar Items
-
No arbitrage and the existence of ACLMMs in general diffusion models
by: Criens, David, et al.
Published: (2024) -
Criteria for the absence of arbitrage in general diffusion markets
by: Criens, David, et al.
Published: (2023) -
Short-horizon Duesenberry Equilibrium
by: Londoño, Jaime Alberto
Published: (2026) -
From Gini index as a Lyapunov functional to convergence in Wasserstein distance
by: Cao, Fei
Published: (2024) -
Permutations in competing growth processes and balls-in-bins
by: Bäumler, Johannes, et al.
Published: (2025)