:: Library Catalog

Cover Image

Saved in:

Bibliographic Details
Main Authors:	Kim, Gihun, Choi, Sun-Yong, Kim, Yeoneung
Format:	Preprint
Published:	2025
Subjects:	Machine Learning Artificial Intelligence Numerical Analysis 60H10, 91G80, 91G60
Online Access:	https://arxiv.org/abs/2507.19003
Tags:	Add Tag No Tags, Be the first to tag this record!

Similar Items

Utility maximization in constrained and unbounded financial markets: Applications to indifference valuation, regime switching, consumption and Epstein-Zin recursive utility
by: Hu, Ying, et al.
Published: (2017)

Rough Path Renormalization from Stratonovich to Itô for Fractional Brownian Motion
by: Qian, Zhongmin, et al.
Published: (2018)

Universal basic income in a financial equilibrium
by: Weston, Kim
Published: (2026)

Time evaluation of portfolio for asymmetrically informed traders
by: D'Auria, Bernardo, et al.
Published: (2024)

Unsupervised Learning-based Calibration Scheme for Rough Volatility Models
by: Teng, Changqing, et al.
Published: (2024)

Geometric Rough Paths above Mixed Fractional Brownian Motion
by: Lechiheb, Atef
Published: (2025)

Representation of forward performance criteria with random endowment via FBSDE and its application to forward optimized certainty equivalent
by: Liang, Gechun, et al.
Published: (2023)

Preservation of structural properties of the CIR model by θ-Milstein schemes
by: Llamazares-Elias, Samir, et al.
Published: (2024)

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

Explicit Asymptotics on First Passage Times of Diffusion Processes
by: Dassios, Angelos, et al.
Published: (2018)

From constant to rough: A survey of continuous volatility modeling
by: Di Nunno, Giulia, et al.
Published: (2023)

Financial Stochastic Models Diffusion: From Risk-Neutral to Real-World Measure
by: Alaya, Mohamed Ben, et al.
Published: (2024)

On Inhomogeneous Affine Volterra Processes: Stationarity and Applications to the Volterra Heston Model
by: Gnabeyeu, Emmanuel, et al.
Published: (2025)

Reduced-Order Modeling for Heston Stochastic Volatility Model
by: Kozpınar, Sinem, et al.
Published: (2016)

On the Analysis of a Singular Stochastic Volterra Differential Equation driven by a Wiener Noise
by: Coffie, Emmanuel, et al.
Published: (2025)

Gatheral double stochastic volatility model with Skorokhod reflection
by: Mishura, Yuliya, et al.
Published: (2025)

Rank-Dependent Predictable Forward Performance Processes
by: Angoshtari, Bahman, et al.
Published: (2024)

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

Equilibrium Strategies for the N-agent Mean-Variance Investment Problem over a Random Horizon
by: Liang, Xiaoqing, et al.
Published: (2025)

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

Differentiating through Stochastic Differential Equations: A Primer
by: Leburu, Rishi, et al.
Published: (2026)

A Tokenized Sovereign Debt Conversion Mechanism for Dynamic Public Debt Reduction
by: Firouzi, Kiarash
Published: (2025)

On Path-dependent Volterra Integral Equations: Strong Well-posedness and Stochastic Numerics
by: Gnabeyeu, Emmanuel, et al.
Published: (2026)

A Limit Order Book Model for High Frequency Trading with Rough Volatility
by: Chen-Shue, Yun, et al.
Published: (2024)

Mild to classical solutions for XVA equations under stochastic volatility
by: Brigo, Damiano, et al.
Published: (2021)

Pricing VIX options under the Heston-Hawkes stochastic volatility model
by: Font, Oriol Zamora
Published: (2024)

Multifactor Quadratic Hobson and Rogers models
by: Foschi, Paolo
Published: (2025)

Discretization of continuous-time arbitrage strategies in financial markets with fractional Brownian motion
by: Lamert, Kerstin, et al.
Published: (2023)

Functional SDE approximation inspired by a deep operator network architecture
by: Eigel, Martin, et al.
Published: (2024)

Hedging in Jump Diffusion Model with Transaction Costs
by: Almani, Hamidreza Maleki, et al.
Published: (2024)

Optimal hedging of a perpetual American put with a single trade
by: Cai, Cheng, et al.
Published: (2020)

On the Structural Foundations of Signature Volatility Models: Existence, Arbitrage, Completeness, and the Hedging-Error Decomposition
by: Xodarev, Akmal
Published: (2026)

Cross-Currency Basis Swaps Referencing Backward-Looking Rates
by: Ding, Yining, et al.
Published: (2024)

Choice of Collateral Currency in Differential Swaps
by: Ding, Yining, et al.
Published: (2026)

Admissible Information Structures and the Non-Existence of Global Martingale Pricing
by: Dominguez, Alejandro Rodriguez
Published: (2026)

On Merton's Optimal Portfolio Problem with Sporadic Bankruptcy for Isoelastic Utility
by: Kopeliovich, Yaacov, et al.
Published: (2024)

Volatility Modeling with Rough Paths: A Signature-Based Alternative to Classical Expansions
by: Alòs, Elisa, et al.
Published: (2025)

The fundamental theorem of asset pricing with and without transaction costs
by: Kühn, Christoph
Published: (2023)

G-Doob-Meyer Decomposition and its Application in Bid-Ask Pricing for American Contingent Claim Under Knightian Uncertainty
by: Chen, Wei
Published: (2013)

Optimal Consumption-Investment with Epstein-Zin Utility under Leverage Constraint
by: Tian, Dejian, et al.
Published: (2025)