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Bibliographic Details
Main Author:	Mancini, Cecilia
Format:	Preprint
Published:	2025
Subjects:	Computational Finance 6204, 62G05, 91G30
Online Access:	https://arxiv.org/abs/2508.18876
Tags:	Add Tag No Tags, Be the first to tag this record!

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

On the use of case estimate and transactional payment data in neural networks for individual loss reserving
by: Avanzi, Benjamin, et al.
Published: (2025)

The VIX as Stochastic Volatility for Corporate Bonds
by: Park, Jihyun, et al.
Published: (2024)

Calibrated rank volatility stabilized models for large equity markets
by: Itkin, David, et al.
Published: (2024)

Efficient and accurate simulation of the stochastic-alpha-beta-rho model
by: Choi, Jaehyuk, et al.
Published: (2024)

Correct implied volatility shapes and reliable pricing in the rough Heston model
by: Boyarchenko, Svetlana, et al.
Published: (2024)

The Riccati Tontine: How to Satisfy Regulators on Average
by: Milevsky, Moshe A., et al.
Published: (2024)

On the market-consistent valuation of health insurance liabilities
by: Hochgerner, Simon, et al.
Published: (2026)

Multilevel Monte Carlo with Numerical Smoothing for Robust and Efficient Computation of Probabilities and Densities
by: Bayer, Christian, et al.
Published: (2020)

Comparative Evaluation of VaR Models: Historical Simulation, GARCH-Based Monte Carlo, and Filtered Historical Simulation
by: Tian, Xin
Published: (2025)

A unified theory of order flow, market impact, and volatility
by: Muhle-Karbe, Johannes, et al.
Published: (2026)

Probability Weighting Meets Heavy Tails: An Econometric Framework for Behavioral Asset Pricing
by: Deep, Akash, et al.
Published: (2025)

Convolutional Attention in Betting Exchange Markets
by: Gonçalves, Rui, et al.
Published: (2025)

Consistent asset modelling with random coefficients and switches between regimes
by: Wolf, Felix L., et al.
Published: (2024)

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

Capital Asset Pricing Model with Size Factor and Normalizing by Volatility Index
by: Atsiwo, Abraham, et al.
Published: (2024)

Convergence in probability of numerical solutions of a highly non-linear delayed stochastic interest rate model
by: Coffie, Emmanuel
Published: (2025)

Understanding the Commodity Futures Term Structure Through Signatures
by: Krishnan, Hari P., et al.
Published: (2025)

A deep BSDE approach for the simultaneous pricing and delta-gamma hedging of large portfolios consisting of high-dimensional multi-asset Bermudan options
by: Negyesi, Balint, et al.
Published: (2025)

Pricing and calibration in the 4-factor path-dependent volatility model
by: Gazzani, Guido, et al.
Published: (2024)

Coherent estimation of risk measures
by: Aichele, Martin, et al.
Published: (2025)

Dynamic Financial Analysis (DFA) of General Insurers under Climate Change
by: Avanzi, Benjamin, et al.
Published: (2025)

Deep Least Squares Monte Carlo methods for the valuation of variable annuities with guarantees
by: Langrené, Nicolas, et al.
Published: (2026)

Interpretable Hypothesis-Driven Trading:A Rigorous Walk-Forward Validation Framework for Market Microstructure Signals
by: Deep, Gagan, et al.
Published: (2025)

Regime-Based Portfolio Allocation Using Hidden Markov Models and Reinforcement Learning
by: Verma, Ajay Kumar, et al.
Published: (2026)

On the rate of convergence of estimating the Hurst parameter of rough stochastic volatility models
by: Han, Xiyue, et al.
Published: (2025)

A dimension reduction approach for loss valuation in credit risk modelling
by: He, Jian, et al.
Published: (2023)

Curved Greeks: A Geometric Layer for Option P&L Adjustments
by: Velasco, Pedro Pablo Pérez, et al.
Published: (2026)

Stochastic Volatility, Jumps, and Rates: A Unified Framework for Option Pricing and Term-Structure Simulation
by: Putri, Nunik Srikandi, et al.
Published: (2026)

Same Returns, Different Risks: How Cryptocurrency Markets Process Infrastructure vs Regulatory Shocks
by: Farzulla, Murad
Published: (2026)

The fundamental representation of pricing adjustments
by: Burnett, Benedict, et al.
Published: (2025)

A Multilevel Stochastic Approximation Algorithm for Value-at-Risk and Expected Shortfall Estimation
by: Crépey, Stéphane, et al.
Published: (2023)

Adaptive Multilevel Stochastic Approximation of the Value-at-Risk
by: Crépey, Stéphane, et al.
Published: (2024)

Probabilistic Modeling of Venture Capital Portfolio Outliers
by: Sakamoto, Kensei, et al.
Published: (2026)

Temporal Coverage Bias in Financial Panel Data: A Coverage-Aware Structuring Framework with Evidence from the Dhaka Stock Exchange
by: Muhammad, Tashreef
Published: (2026)

A pure dual approach for hedging Bermudan options
by: Alfonsi, Aurélien, et al.
Published: (2024)

Jump detection in high-frequency order prices
by: Bibinger, Markus, et al.
Published: (2024)

Sharpening Shapley Allocation: from Basel 2.5 to FRTB
by: Scaringi, Marco, et al.
Published: (2025)

A new measure of risk using Fourier analysis
by: Grabinski, Michael, et al.
Published: (2024)

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