:: Library Catalog

Cover Image

Saved in:

Bibliographic Details
Main Authors:	Chong, Wing Fung, Dumitrescu, Roxana, Liang, Gechun, Ng, Kenneth Tsz Hin
Format:	Preprint
Published:	2026
Subjects:	Mathematical Finance Probability
Online Access:	https://arxiv.org/abs/2601.02276
Tags:	Add Tag No Tags, Be the first to tag this record!

Similar Items

Robust forward investment and consumption under drift and volatility uncertainties: A randomization approach
by: Chong, Wing Fung, et al.
Published: (2024)

Predictable Relative Forward Performance Processes: Multi-Agent and Mean Field Games for Portfolio Management
by: Liang, Gechun, et al.
Published: (2023)

European Options in Market Models with Multiple Defaults: the BSDE approach
by: Grigorova, Miryana, et al.
Published: (2026)

Pricing Options on Forwards in Function-Valued Affine Stochastic Volatility Models
by: He, Jian, et al.
Published: (2025)

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)

Dependent Default Modeling through Multivariate Generalized Cox Processes
by: Gueye, Djibril, et al.
Published: (2025)

Efficient Importance Sampling under Heston Model: Short Maturity and Deep Out-of-the-Money Options
by: Tu, Yun-Feng, et al.
Published: (2025)

Optimal Reinsurance under Endogenous Default and Background Risk
by: Liang, Zongxia, et al.
Published: (2025)

Max- and min-stability under first-order stochastic dominance
by: Chambers, Christopher, et al.
Published: (2024)

Discrete approximation of risk-based prices under volatility uncertainty
by: Blessing, Jonas, et al.
Published: (2024)

Constrained optimal stopping under a regime-switching model
by: Arai, Takuji, et al.
Published: (2022)

Despite Absolute Information Advantages, All Investors Incur Welfare Loss
by: Liang, Zongxia, et al.
Published: (2024)

Dynamic Asset Pricing Theory for Life Contingent Risks
by: Ling, Patrick
Published: (2025)

Robust SGLD algorithm for solving non-convex distributionally robust optimisation problems
by: Neufeld, Ariel, et al.
Published: (2024)

Gordon Growth Model with Vector Autoregressive Process
by: Gankhuu, Battulga
Published: (2024)

A discretization scheme for path-dependent FBSDEs and PDEs
by: Jang, Jiuk, et al.
Published: (2023)

Ranking Metrics: Extending Acceptability and Performance Indexes
by: Hitaj, Asmerilda, et al.
Published: (2026)

Exponential Hedging for the Ornstein-Uhlenbeck Process in the Presence of Linear Price Impact
by: Dolinsky, Yan
Published: (2025)

Sensitivity of robust optimization problems under drift and volatility uncertainty
by: Bartl, Daniel, et al.
Published: (2023)

Robust mean-field control under common noise uncertainty
by: Laurière, Mathieu, et al.
Published: (2025)

Non-concave stochastic optimal control in finite discrete time under model uncertainty
by: Neufeld, Ariel, et al.
Published: (2024)

Strategies with minimal norm are optimal for expected utility maximization under high model ambiguity
by: Carassus, Laurence, et al.
Published: (2023)

Optimal investment and Pension policy in Pay-As-You-Go systems under forward utility and ageing population
by: Alonso-Garcia, Jennifer, et al.
Published: (2026)

On the Skew Stickiness Ratio
by: Fukasawa, Masaaki
Published: (2026)

Martingale expansion for stochastic volatility
by: Fukasawa, Masaaki
Published: (2026)

Visible absorbing decompositions and uniqueness of invariant probabilities
by: Attali, Jean-Gabriel
Published: (2026)

Mean-Field SDEs driven by $G$-Brownian Motion
by: Bollweg, Karl-Wilhelm Georg, et al.
Published: (2024)

Linear reflected backward stochastic differential equations arising from vulnerable claims in markets with random horizon
by: Choulli, T., et al.
Published: (2024)

Multidimensional specific relative entropy between continuous martingales
by: Backhoff, Julio, et al.
Published: (2024)

Real-world models for multiple term structures: a unifying HJM semimartingale framework
by: Fontana, Claudio, et al.
Published: (2024)

Local signature-based expansions
by: Bandi, Federico M., et al.
Published: (2025)

Information-Based Trading
by: Bouzianis, George, et al.
Published: (2022)

Markovian projections for Itô semimartingales with jumps
by: Larsson, Martin, et al.
Published: (2024)

Discrete-time weak approximation of a Black-Scholes model with drift and volatility Markov switching
by: Golomoziy, Vitaliy, et al.
Published: (2025)

Pricing American Options Time-Capped by a Drawdown Event
by: Palmowski, Zbigniew, et al.
Published: (2025)

On non-negative solutions of stochastic Volterra equations with jumps and non-Lipschitz coefficients
by: Alfonsi, Aurélien, et al.
Published: (2024)

Change of numeraire for weak martingale transport
by: Beiglböck, Mathias, et al.
Published: (2024)

Martingale property and moment explosions in signature volatility models
by: Jaber, Eduardo Abi, et al.
Published: (2025)

The second-order Esscher martingale densities for continuous-time market models
by: Choulli, Tahir, et al.
Published: (2024)

Subleading correction to the Asian options volatility in the Black-Scholes model
by: Pirjol, Dan
Published: (2024)