Delphi.science

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307 records

On the Pricing of American Options under Stochastic Local Volatility and Stochastic Correlation via the RBSDE Framework
Long Teng
arXiv Source: arxiv.orgOct 1, 2026q-fin.CPscore 0
Strategic Optimization of Bus Systems with Stochastic Ridership
Haoran Zhao, Andres Fielbaum
arXiv Source: arxiv.orgOct 1, 2026econ.GNscore 0
Expected Utility Regret Rule: Minimax and Bayes Optimal Portfolio Choice
Masahiro Kato
arXiv Source: arxiv.orgOct 1, 2026econ.EMscore 0
On the Cardinality of the Smith Set Under Impartial Culture with Many Alternatives
Zachary Berchenko, Kaizhao Liu
arXiv Source: arxiv.orgOct 1, 2026econ.THscore 0
Rochet's Cyclic-Monotonicity Characterization
Arthur Freitas Ramos, David Barros Hulak, Ruy Jose Guerra Barretto de Queiroz
Palomar Registry Source: github.comOct 1, 2026econ.THmachine-checkedscore 0
Border's Finite Auction Feasibility Theorem
Arthur Freitas Ramos, David Barros Hulak, Ruy Jose Guerra Barretto de Queiroz
Palomar Registry Source: github.comOct 1, 2026econ.THmachine-checkedscore 0
Stochastic Knothe-Rosenblatt: Light-speed Calibration of Stochastic Local Volatility Models
Mathias Beiglböck, Manuel Hasenbichler, Gudmund Pammer
arXiv Source: arxiv.orgSep 30, 2026q-fin.PRscore 0
Partial identification with entropy regularized optimal transport
Bruno N. Costa, Florian F. Gunsilius
arXiv Source: arxiv.orgSep 30, 2026econ.EMscore 0
Optimal Catastrophe Bond Design and its Applications to Climate Change Risk
Andres Medina, Wei Wei
arXiv Source: arxiv.orgSep 30, 2026q-fin.PRscore 0
Global Structure and Local Specifications in Sublinear Valuation
Jongjin Park, David Criens, Hyungbin Park
arXiv Source: arxiv.orgSep 29, 2026q-fin.MFscore 0
Short-term barrier option price expansion
Masaaki Fukasawa
arXiv Source: arxiv.orgSep 29, 2026q-fin.PRscore 0
Optimal Liquidation with Support and Resistance Levels under Multi-Skew Brownian Motion
Jun Maeda
arXiv Source: arxiv.orgSep 28, 2026q-fin.MFscore 0
When Hedging Changes the Payoff: Option Replication with Price Impact and Execution Costs
David Itkin, Leandro Sánchez-Betancourt
arXiv Source: arxiv.orgSep 28, 2026q-fin.MFscore 0
Basket implied volatility skew and stickiness
Masaaki Fukasawa, Jun Maeda, Tatsuya Ogiwara
arXiv Source: arxiv.orgSep 28, 2026q-fin.PRscore 0
Myerson-Satterthwaite impossibility theorem (continuous bilateral-trade version)
Arthur Freitas Ramos
Palomar Registry Source: github.comSep 26, 2026econ.THmachine-checkedscore 0
Two-Regime Risk Measures under Convex Loss
Mihaela-Adriana Nistor, Ionel Popescu
arXiv Source: arxiv.orgSep 24, 2026q-fin.RMscore 0
Optimal Investment and Consumption in Financial Markets with Integrated Variance Clocks
Eduardo Abi Jaber, Florian Gutekunst, Martin Herdegen, David Hobson
arXiv Source: arxiv.orgSep 22, 2026q-fin.MFscore 0
Active Portfolio Management in Concentrated Equity Markets
Brian Ceco, Xiaofei Shi, Ting-Kam Leonard Wong
arXiv Source: arxiv.orgSep 22, 2026q-fin.PMscore 0
Risk Measures under Paired-Ambiguity: A Deep Learning Reflected BSDE Framework
Nacira Agram, Jan Rems, Emanuela Rosazza Gianin
arXiv Source: arxiv.orgSep 20, 2026q-fin.RMscore 0
Nested Clustered Optimization Is One End of a Schur Bridge, and the Interior Is Sometimes Provably Better
Peter Cotton
arXiv Source: arxiv.orgSep 18, 2026q-fin.MFscore 0
Equilibrium prices under hidden Markov fundamentals
Henri Pagès, Dylan Possamaï, Mateo Rodriguez Polo
arXiv Source: arxiv.orgSep 18, 2026q-fin.MFscore 0
Quadratic G-BSDEs for bond pricing with endogenous short-rate feedback
Jaehyun Kim, Hyungbin Park
arXiv Source: arxiv.orgSep 16, 2026q-fin.MFscore 0
Stable Policy Learning
Harvey Barnhard, Giacomo Opocher, Rahul Singh
arXiv Source: arxiv.orgSep 16, 2026econ.EMscore 0
Eigenvalue-Decomposition Cost Denoising for Predict-then-Optimize
Henry Aldridge-Krawciw, Irene Aldridge
arXiv Source: arxiv.orgSep 14, 2026econ.EMscore 0
Gaussian Normalized Coordinates and Risk-Neutral CDF Deformations
Jian Sun
arXiv Source: arxiv.orgSep 13, 2026q-fin.MFscore 0
Event-Time Order-Flow Memory, Operational-Time Impact, and Subordinated Market Observables
Christopher Angstmann, Tim Gebbie
arXiv Source: arxiv.orgSep 12, 2026q-fin.TRscore 0
Yet another asymptotic formula for implied volatility
Masaaki Fukasawa
arXiv Source: arxiv.orgSep 12, 2026q-fin.PRscore 0
Exact calibration of structural models via time-change
Frédéric Vrins, Damiano Brigo
arXiv Source: arxiv.orgSep 11, 2026q-fin.MFscore 0
Variance-Optimal Hedging in the Rough Hawkes--Heston Model
Yingli Wang, Xiaoyu Wang
arXiv Source: arxiv.orgSep 8, 2026q-fin.MFscore 0
Pricing and Hedging of Discretely Monitored Asian Options in the Volterra-Heston Model
Gijs Custers, Sven Karbach, Martin Friesen
arXiv Source: arxiv.orgSep 7, 2026q-fin.PRscore 0
Simple Dynamic Stock/Bond/Gold Portfolios
Nikhil Devanathan, Alexandros E. Tzikas, Stephen P. Boyd
arXiv Source: arxiv.orgSep 7, 2026q-fin.PMscore 0
Optimal Transport in Economics
Amine Fahli, Alfred Galichon
arXiv Source: arxiv.orgSep 5, 2026econ.GNscore 0
An Entropic Factor Model for Robust Portfolio Replication
Argimiro Arratia, Henryk Gzyl
arXiv Source: arxiv.orgSep 3, 2026q-fin.PMscore 0
Bayesian Confidence Recalibration and Research-Equilibrium Criticality: Temporal Support in Robust Portfolios
Han Yanç
arXiv Source: arxiv.orgSep 3, 2026q-fin.MFscore 0
Global Multi-Maturity SPX-VIX Calibration Beyond Markovian Stitching
Atithi Acharya, Charlie Che, Yue Sun, Brandon Augustino, Shouvanik Chakrabarti, Shree Hari Sureshbabu
arXiv Source: arxiv.orgSep 3, 2026q-fin.CPscore 0
Mean-field equilibrium of heterogeneous agents under market impact
Joseph Leclère, Mathieu Rosenbaum
arXiv Source: arxiv.orgSep 2, 2026q-fin.TRscore 0
An Operator-Based Visual Analytics Pipeline for Synthetic Systemic Risk Dynamics
Ana Isabel Castillo Pereda
arXiv Source: arxiv.orgSep 1, 2026q-fin.RMscore 0
Optimal Block Time for AMM Liquidity Providers under Jump-Diffusion Prices
Nils Bundi
arXiv Source: arxiv.orgAug 31, 2026q-fin.MFscore 0
A note on markets with semi-static trading strategies
Miklós Rásonyi
arXiv Source: arxiv.orgAug 31, 2026q-fin.MFscore 0
Latent-Space No-Arbitrage Geometry of Generative Models for Implied Volatility Surfaces
Jing Wang, Shuaiqiang Liu, Cornelis Vuik
arXiv Source: arxiv.orgAug 31, 2026q-fin.CPscore 0
Single- and Multilevel Quadrature with Error Control for Fourier Pricing under the Rough Heston Model
Chiheb Ben Hammouda, Abderrahmene Ben Romdhane, Michael Samet, Raul F. Tempone
arXiv Source: arxiv.orgAug 31, 2026q-fin.CPscore 0
Inference for High-Dimensional Network Data
Yuya Sasaki, Baoning Zheng
arXiv Source: arxiv.orgAug 27, 2026econ.EMscore 0
Generalizing Markowitz Portfolio Optimization by a Quadratic Risk Measure
Ignas Gasparavičius, Andrius Grigutis
arXiv Source: arxiv.orgAug 25, 2026q-fin.PMscore 0
On the hedging problem in general 1D diffusion markets
Alexis Anagnostakis, David Criens, Mikhail Urusov
arXiv Source: arxiv.orgAug 25, 2026q-fin.MFscore 0
Uniformly Valid Inference Under Interactive and High-Dimensional Constraints
Joseph Fry
arXiv Source: arxiv.orgAug 22, 2026econ.EMscore 0
Beyond Lognormal Sums: A Four-Moment Probability Framework for Basket and Spread Option Pricing
Dongdong Hu, Hasanjan Sayit, Steve Tchoneteck, Frederi Viens
arXiv Source: arxiv.orgAug 21, 2026q-fin.PRscore 0
Limit Theory for U-Statistics under Clustered and Weakly Dependent Data
Emmanuel Selorm Tsyawo
arXiv Source: arxiv.orgAug 19, 2026econ.EMscore 0
When to Sell an Asset? - A Distribution Builder Approach
Peter Carr, Stephan Sturm
arXiv Source: arxiv.orgAug 19, 2026q-fin.PRscore 0
Deep-MKV-TS: Path-Dependent McKean--Vlasov Control for Financial Time Series Generation
Samer El Boustany, Théo Basseras, Samy Mekkaoui, Alexandre Alouadi, Yadh Hafsi, Huyên Pham
arXiv Source: arxiv.orgAug 19, 2026q-fin.CPscore 0
Monotone Allocations without Single-Crossing: When to Bunch and When to Jump
Aloisio Araujo, Carolina Parra, Sergei Vieira
arXiv Source: arxiv.orgAug 19, 2026econ.THscore 0