Free Lunches with Vanishing Risks Most Likely Exist
Fuente:
arXiv
Saved in:
| Main Authors: | Platen, Eckhard, Fergusson, Kevin |
|---|---|
| Format: | Preprint |
| Published: |
2025
|
| Subjects: | |
| Online Access: | |
| Tags: |
Add Tag
No Tags, Be the first to tag this record!
|
Similar Items
Information-minimizing stationary financial market dynamics
by: Platen, Eckhard
Published: (2025)
by: Platen, Eckhard
Published: (2025)
Pricing under the Benchmark Approach
by: Platen, Eckhard
Published: (2025)
by: Platen, Eckhard
Published: (2025)
Information-Theoretic Approach to Financial Market Modelling
by: Platen, Eckhard
Published: (2026)
by: Platen, Eckhard
Published: (2026)
Functional CLTs for subordinated Lévy models in physics, finance, and econometrics
by: Søjmark, Andreas, et al.
Published: (2023)
by: Søjmark, Andreas, et al.
Published: (2023)
On variable annuities with surrender charges
by: De Angelis, Tiziano, et al.
Published: (2024)
by: De Angelis, Tiziano, et al.
Published: (2024)
Curved Greeks: A Geometric Layer for Option P&L Adjustments
by: Velasco, Pedro Pablo Pérez, et al.
Published: (2026)
by: Velasco, Pedro Pablo Pérez, et al.
Published: (2026)
Capital Asset Pricing Model with Size Factor and Normalizing by Volatility Index
by: Atsiwo, Abraham, et al.
Published: (2024)
by: Atsiwo, Abraham, et al.
Published: (2024)
Asymptotic Expansions for High-Frequency Option Data
by: Chong, Carsten H., et al.
Published: (2023)
by: Chong, Carsten H., et al.
Published: (2023)
On an Optimal Stopping Problem with a Discontinuous Reward
by: Mackay, Anne, et al.
Published: (2023)
by: Mackay, Anne, et al.
Published: (2023)
Comparative Evaluation of VaR Models: Historical Simulation, GARCH-Based Monte Carlo, and Filtered Historical Simulation
by: Tian, Xin
Published: (2025)
by: Tian, Xin
Published: (2025)
A note on closed-form spread option valuation under log-normal models
by: Abudurexiti, Nuerxiati, et al.
Published: (2021)
by: Abudurexiti, Nuerxiati, et al.
Published: (2021)
Statistical inference for rough volatility: Central limit theorems
by: Chong, Carsten, et al.
Published: (2022)
by: Chong, Carsten, et al.
Published: (2022)
Modeling and Forecasting Realized Volatility with Multivariate Fractional Brownian Motion
by: Bibinger, Markus, et al.
Published: (2025)
by: Bibinger, Markus, et al.
Published: (2025)
A New Stock Market Valuation Measure with Applications to Retirement Planning
by: Sarantsev, Andrey
Published: (2019)
by: Sarantsev, Andrey
Published: (2019)
Asymptotics of randomly weighted sums without moment conditions of random weights
by: Gao, Qingwu, et al.
Published: (2026)
by: Gao, Qingwu, et al.
Published: (2026)
Random marked nested tessellations applied to the modelling of deformation twinning in polycrystalline materials
by: Kornijčuk, Oleksandr, et al.
Published: (2025)
by: Kornijčuk, Oleksandr, et al.
Published: (2025)
Asymmetric super-Heston-rough volatility model with Zumbach effect as scaling limit of quadratic Hawkes processes
by: Chudasama, Priyanka, et al.
Published: (2025)
by: Chudasama, Priyanka, et al.
Published: (2025)
L-Estimation Approach to Tobit Models with Endogeneity and Weakly Dependent Errors
by: Shukla, Swati, et al.
Published: (2024)
by: Shukla, Swati, et al.
Published: (2024)
Calibrated rank volatility stabilized models for large equity markets
by: Itkin, David, et al.
Published: (2024)
by: Itkin, David, et al.
Published: (2024)
A Regression-Based Share Market Prediction Model for Bangladesh
by: Fabiha, Syeda Tasnim, et al.
Published: (2025)
by: Fabiha, Syeda Tasnim, et al.
Published: (2025)
Nonparametric Bayesian Calibration of Computer Models
by: Shi, Haiyi, et al.
Published: (2025)
by: Shi, Haiyi, et al.
Published: (2025)
Testing Independence of Infinite Dimensional Random Elements: A Sup-norm Approach
by: Bhar, Suprio, et al.
Published: (2023)
by: Bhar, Suprio, et al.
Published: (2023)
Wishart kernel density estimation for strongly mixing time series on the cone of positive definite matrices
by: Belzile, Léo R., et al.
Published: (2025)
by: Belzile, Léo R., et al.
Published: (2025)
Optimal Control of a Battery Storage On the Energy Market
by: Schlüter, Stephan, et al.
Published: (2024)
by: Schlüter, Stephan, et al.
Published: (2024)
Insights into Tail-Based and Order Statistics
by: Almani, Hamidreza Maleki
Published: (2025)
by: Almani, Hamidreza Maleki
Published: (2025)
Rank tests for time-varying covariance matrices observed under noise
by: Reiß, Markus, et al.
Published: (2026)
by: Reiß, Markus, et al.
Published: (2026)
The envelope of a complex Gaussian random variable
by: Ghosal, Sattwik, et al.
Published: (2023)
by: Ghosal, Sattwik, et al.
Published: (2023)
Log Heston Model for Monthly Average VIX
by: Park, Jihyun, et al.
Published: (2024)
by: Park, Jihyun, et al.
Published: (2024)
Bridging Human Cognition and AI: A Framework for Explainable Decision-Making Systems
by: Jean, N., et al.
Published: (2025)
by: Jean, N., et al.
Published: (2025)
A theory of passive market impact
by: Chahdi, Youssef Ouazzani, et al.
Published: (2024)
by: Chahdi, Youssef Ouazzani, et al.
Published: (2024)
Global Persistence, Local Residual Structure: Forecasting Heterogeneous Investment Panels
by: Roshka, Oleg
Published: (2026)
by: Roshka, Oleg
Published: (2026)
Adaptive Thresholds for Monitoring and Screening in Imbalanced Samples: Optimality and Boosting Sensitivity
by: Steland, Ansgar
Published: (2025)
by: Steland, Ansgar
Published: (2025)
On the rate of convergence of estimating the Hurst parameter of rough stochastic volatility models
by: Han, Xiyue, et al.
Published: (2025)
by: Han, Xiyue, et al.
Published: (2025)
Probability Weighting Meets Heavy Tails: An Econometric Framework for Behavioral Asset Pricing
by: Deep, Akash, et al.
Published: (2025)
by: Deep, Akash, et al.
Published: (2025)
Optimizing Forecast Combination Weights Using Exponentially Weighted Hit and Win Rate Losses
by: van Eijk, Henry D., et al.
Published: (2025)
by: van Eijk, Henry D., et al.
Published: (2025)
Why Empirical p-Values Are Not Uniform: Reference Samples, Dependence, and PIT Backtesting
by: Lis, Jakub
Published: (2026)
by: Lis, Jakub
Published: (2026)
Monte Carlo Simulation for Trading Under a Lévy-Driven Mean-Reverting Framework
by: Leung, Tim, et al.
Published: (2023)
by: Leung, Tim, et al.
Published: (2023)
Simulation and Analysis of Multifractional Stochastic Processes with R Package Rmfrac
by: Olenko, Andriy, et al.
Published: (2026)
by: Olenko, Andriy, et al.
Published: (2026)
Some limit theorems for locally stationary Hawkes processes
by: Deschatre, Thomas, et al.
Published: (2025)
by: Deschatre, Thomas, et al.
Published: (2025)
A high-order recombination algorithm for weak approximation of stochastic differential equations
by: Ninomiya, Syoiti, et al.
Published: (2025)
by: Ninomiya, Syoiti, et al.
Published: (2025)
Similar Items
-
Information-minimizing stationary financial market dynamics
by: Platen, Eckhard
Published: (2025) -
Pricing under the Benchmark Approach
by: Platen, Eckhard
Published: (2025) -
Information-Theoretic Approach to Financial Market Modelling
by: Platen, Eckhard
Published: (2026) -
Functional CLTs for subordinated Lévy models in physics, finance, and econometrics
by: Søjmark, Andreas, et al.
Published: (2023) -
On variable annuities with surrender charges
by: De Angelis, Tiziano, et al.
Published: (2024)