Imagen de Portada

Betting Around the Clock: Time Change and Long Term Model Risk

Fuente: arXiv

Guardado en:

Detalles Bibliográficos
Autor principal:	Cherubini, Umberto
Formato:	Preprint
Publicado:	2026
Materias:	Mathematical Finance Statistical Finance 91G10, 60G51, 60E10, 91G70 G.3
Acceso en línea:	Acceder al recurso
Etiquetas:	Agregar Etiqueta Sin Etiquetas, Sea el primero en etiquetar este registro!

Ejemplares similares

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

The Mean Field Market Model Revisited
por: Hasenbichler, Manuel, et al.
Publicado: (2023)

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

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

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

Credit Spreads' Term Structure: Stochastic Modeling with CIR++ Intensity
por: Alaya, Mohamed Ben, et al.
Publicado: (2024)

Pricing American options under rough volatility using deep-signatures and signature-kernels
por: Bayer, Christian, et al.
Publicado: (2025)

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

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

Compounding Effects in Leveraged ETFs: Beyond the Volatility Drag Paradigm
por: Hsieh, Chung-Han, et al.
Publicado: (2025)

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

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

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

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

Multifactor Quadratic Hobson and Rogers models
por: Foschi, Paolo
Publicado: (2025)

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

Hedging with memory: shallow and deep learning with signatures
por: Jaber, Eduardo Abi, et al.
Publicado: (2025)

Analysis of optimal portfolio on finite and small-time horizons for a stochastic volatility model with multiple correlated assets
por: Lin, Minglian, et al.
Publicado: (2023)

Estimation of VaR with jump process: application in corn and soybean markets
por: Lin, Minglian, et al.
Publicado: (2023)

Computing Systemic Risk Measures with Graph Neural Networks
por: Gonon, Lukas, et al.
Publicado: (2024)

Stochastic factors can matter: improving robust growth under ergodicity
por: Binkert, Balint, et al.
Publicado: (2025)

On convergence of the Mayer problems arising in the theory of financial markets with transaction cost
por: Kabanov, Yuri, et al.
Publicado: (2026)

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

Computation of Greeks under rough Volterra stochastic volatility models using the Malliavin calculus approach
por: Al-Foraih, Mishari, et al.
Publicado: (2023)

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

Consumption-Investment Problem in Rank-Based Models
por: Itkin, David
Publicado: (2025)

Radner equilibrium with population growth
por: Choi, Jin Hyuk, et al.
Publicado: (2025)

Pricing and Hedging Strategies for Cross-Currency Equity Protection Swaps
por: Rutkowski, Marek, et al.
Publicado: (2024)

Exponential stock models driven by tempered stable processes
por: Küchler, Uwe, et al.
Publicado: (2019)

Option pricing in bilateral Gamma stock models
por: Küchler, Uwe, et al.
Publicado: (2019)

Bilateral Gamma distributions and processes in financial mathematics
por: Küchler, Uwe, et al.
Publicado: (2019)

A Monotone Limit Approach to Entropy-Regularized American Options
por: Chee, Daniel, et al.
Publicado: (2026)

Primal and dual optimal stopping with signatures
por: Bayer, Christian, et al.
Publicado: (2023)

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

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

Fast and explicit European option pricing under tempered stable processes
por: Agazzotti, Gaetano, et al.
Publicado: (2025)

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

Martingale Cohomology, Holonomy, and Homological Arbitrage
por: Adachi, Takanori
Publicado: (2026)

Sharp Large Deviations and Gibbs Conditioning for Threshold Models in Portfolio Credit Risk
por: Deng, Fengnan, et al.
Publicado: (2025)

The value of partial information
por: Ernst, Philip A., et al.
Publicado: (2025)