Delphi.science

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307 records

On the Structural Foundations of Signature Volatility Models: Existence, Arbitrage, Completeness, and the Hedging-Error Decomposition
Akmal Xodarev
arXiv Source: arxiv.orgMay 16, 2026q-fin.MFscore 0
Clearing in Liability Networks via Sheaves on Directed Hypergraphs
Robert Ghrist
arXiv Source: arxiv.orgMay 15, 2026q-fin.MFscore 0
On the Expected Maximum Deficit and the Optimal Allocation of Reserves
Claude Lefevre, Pierre Zuyderhoff
arXiv Source: arxiv.orgMay 15, 2026q-fin.RMscore 0
Regret Equals Covariance: A Closed-Form Characterization for Stochastic Optimization
Irene Aldridge
arXiv Source: arxiv.orgMay 13, 2026econ.EMscore 0
Optimal investment and Pension policy in Pay-As-You-Go systems under forward utility and ageing population
Jennifer Alonso-Garcia, Caroline Hillairet, Sarah Kaakai, Mohamed Mrad
arXiv Source: arxiv.orgMay 12, 2026q-fin.MFscore 0
Higher-Order Neyman Orthogonality in Moment-Condition Models
Stéphane Bonhomme, Koen Jochmans, Whitney K. Newey, Martin Weidner
arXiv Source: arxiv.orgMay 11, 2026econ.EMscore 0
Aggregating Elo Ratings: An Axiomatization
Mehmet Mars Seven
arXiv Source: arxiv.orgMay 9, 2026econ.THscore 0
Nonparametric Empirical Bayes Confidence Intervals
Zhen Xie
arXiv Source: arxiv.orgMay 8, 2026econ.EMscore 0
Covariate Balancing and Riesz Regression Should Be Guided by the Neyman Orthogonal Score in Debiased Machine Learning
Masahiro Kato
arXiv Source: arxiv.orgMay 7, 2026econ.EMscore 0
Automation, Income Incidence, and Capital Accumulation in Incomplete Markets
Erhan Bayraktar
arXiv Source: arxiv.orgMay 6, 2026econ.GNscore 0
An Axiomatic Foundation for Decisions with Counterfactual Utility
Benedikt Koch, Kosuke Imai, Tomasz Strzalecki
arXiv Source: arxiv.orgMay 6, 2026econ.THscore 0
Equilibrium Stability and Uniqueness with a Large Number of Commodities and Patient Consumers
Xinyang Wang
arXiv Source: arxiv.orgMay 4, 2026econ.THscore 0
Estimation and Inference for the $τ$-Quantile of Individual Heterogeneous Coefficient
Antonio F. Galvao, Ulrich Hounyo, Jiahao Lin
arXiv Source: arxiv.orgMay 3, 2026econ.EMscore 0
Fast Monte-Carlo
Irene Aldridge
arXiv Source: arxiv.orgMay 3, 2026econ.EMscore 0
Martingale Cohomology, Holonomy, and Homological Arbitrage
Takanori Adachi
arXiv Source: arxiv.orgMay 2, 2026q-fin.MFscore 0
Penalized Likelihood for Dyadic Network Formation Models with Degree Heterogeneity
Zizhong Yan, Jingrong Li, Yi Zhang
arXiv Source: arxiv.orgMay 1, 2026econ.EMscore 0
Principal-agent problems with adverse selection: A stochastic target problem formulation
Guillermo Alonso Alvarez, Ibrahim Ekren, Liwei Huang
arXiv Source: arxiv.orgMay 1, 2026econ.THscore 0
American Options Pricing under Heston Model via Curriculum Learning in Coupled PINNs
Rohan, Siddanth Shetty, Amit N. Kumar
arXiv Source: arxiv.orgMay 1, 2026q-fin.CPscore 0
Yau's Affine-Normal Descent for Large-Scale Unrestricted Higher-Moment Portfolio Optimization
Ya-Juan Wang, Yi-Shuai Niu, Artan Sheshmani, Shing-Tung Yau
arXiv Source: arxiv.orgApr 28, 2026q-fin.PMscore 0
Optimal incentive scheme for ESG disclosure
Imen Ben Tahar, Dylan Possamaï, Xiaolu Tan
arXiv Source: arxiv.orgApr 27, 2026econ.GNscore 0
Inference for Linear Systems with Unknown Coefficients
Yuehao Bai, Kirill Ponomarev, Andres Santos, Azeem M. Shaikh, Max Tabord-Meehan, Alexander Torgovitsky
arXiv Source: arxiv.orgApr 27, 2026econ.EMscore 0
Rigidity and default in production networks
Giacomo Como, Fabio Fagnani, Elisa Luciano, Alessandro Milazzo, Marco Scarsini
arXiv Source: arxiv.orgApr 26, 2026econ.THscore 0
Modeling dependency between operational risk losses and macroeconomic variables using Hidden Markov Models
Nikeethan Selvaratnam, Dorinel Bastide, Clément Fernandes, Wojciech Pieczynski
arXiv Source: arxiv.orgApr 23, 2026q-fin.RMscore 0
Extrema, Barrier Options, and Semi-Analytic Leverage Corrections in Stochastic-Clock Volatility Models
Tristan Guillaume
arXiv Source: arxiv.orgApr 22, 2026q-fin.CPscore 0
Dynamics of Periodic Bubbles and Crashes: Modeling Market Overheating and Panic Selling via Cubic Momentum
Naohiro Yoshida
arXiv Source: arxiv.orgApr 21, 2026q-fin.TRscore 0
Risk-Sensitive Investment Management via Free Energy-Entropy Duality
Sebastien Lleo, Wolfgang Runggaldier
arXiv Source: arxiv.orgApr 16, 2026q-fin.PMscore 0
Balanced Contributions in Networks and Games with Externalities
Frank Huettner
arXiv Source: arxiv.orgApr 15, 2026econ.THscore 0
Higher-order ATM asymptotics for the CGMY model via the characteristic function
Allen Hoffmeyer, Christian Houdré
arXiv Source: arxiv.orgApr 15, 2026q-fin.PRscore 0
Generalized Autoregressive Multivariate Models: From Binary to Poisson
Anna Bykhovskaya, Nour Meddahi
arXiv Source: arxiv.orgApr 15, 2026econ.EMscore 0
Average Marginal Effects in One-Step Partially Linear Instrumental Regressions
Lucas Girard, Elia Lapenta
arXiv Source: arxiv.orgApr 13, 2026econ.EMscore 0
Aharanov-Bohm Type Arbitrage and Homological Obstructions in Financial Markets
Takanori Adachi, Keisuke Hara
arXiv Source: arxiv.orgApr 12, 2026q-fin.MFscore 0
Maximum score and non-smooth M-estimators with multiway dependence
Harold D. Chiang, Ahnaf Rafi
arXiv Source: arxiv.orgApr 11, 2026econ.EMscore 0
Exploring Drivers of Extreme Housing Prices in Australia
Grace Burtenshaw, Ashley Burtenshaw, Meagan Carney
arXiv Source: arxiv.orgApr 10, 2026q-fin.GNscore 0
Systemic Risk and Default Cascades in Global Equity Markets: A Network and Tail-Risk Approach Based on the Gai Kapadia Framework
Ana Isabel Castillo Pereda
arXiv Source: arxiv.orgApr 10, 2026q-fin.STscore 0
Identification in (Endogenously) Nonlinear SVARs Is Easier Than You Think
James A. Duffy, Sophocles Mavroeidis
arXiv Source: arxiv.orgApr 9, 2026econ.EMscore 0
$α$-robust utility maximization with intractable claims: A quantile optimization approach
Xinyu Chen, Zuo Quan Xu
arXiv Source: arxiv.orgApr 6, 2026q-fin.PMscore 0
Ranking Metrics: Extending Acceptability and Performance Indexes
Asmerilda Hitaj, Elisa Mastrogiacomo, Ilaria Peri, Marcelo Righi
arXiv Source: arxiv.orgApr 6, 2026q-fin.RMscore 0
Robust Priors in Nonlinear Panel Models with Individual and Time Effects
Zizhong Yan, Zhengyu Zhang, Mingli Chen, Jingrong Li, Iván Fernández-Val
arXiv Source: arxiv.orgApr 4, 2026econ.EMscore 0
Reinforcement Learning for Speculative Trading under Exploratory Framework
Yun Zhao, Alex S. L. Tse, Harry Zheng
arXiv Source: arxiv.orgApr 2, 2026q-fin.MFscore 0
What aggregation rules can be classified as logical concepts?
Nikolay L. Poliakov
arXiv Source: arxiv.orgApr 1, 2026econ.THscore 0
Stochastic Policy Gradient Methods in the Uncertain Volatility Model
Lokman A Abbas-Turki, Jean-François Chassagneux, Jean-Philippe Lemor, Grégoire Loeper, Simon Sananes
arXiv Source: arxiv.orgApr 1, 2026q-fin.CPscore 0
STN-GPR: A Singularity Tensor Network Framework for Efficient Option Pricing
Dominic Gribben, Carolina Allende, Alba Villarino, Aser Cortines, Mazen Ali, Román Orús, Pascal Oswald, Noureddine Lehdili
arXiv Source: arxiv.orgMar 27, 2026q-fin.PRscore 0
Ordering results for extreme claim amounts based on random number of claims
Sangita Das
arXiv Source: arxiv.orgMar 25, 2026q-fin.RMscore 0
Adversarial Selection
Alma Cohen, Alon Klement, Zvika Neeman, Eilon Solan
arXiv Source: arxiv.orgMar 25, 2026econ.THscore 0
Refined Cluster Robust Inference
Bulat Gafarov, Takuya Ura
arXiv Source: arxiv.orgMar 25, 2026econ.EMscore 0
Power Bounds and Efficiency Loss for Asymptotically Optimal Tests in IV Regression
Marcelo J. Moreira, Geert Ridder, Mahrad Sharifvaghefi
arXiv Source: arxiv.orgMar 22, 2026econ.EMscore 0
Triple/Double-Debiased Lasso
Denis Chetverikov, Jesper R. -V. Sørensen, Aleh Tsyvinski
arXiv Source: arxiv.orgMar 20, 2026econ.EMscore 0
Robust quasi-convex risk measures and applications
Francesca Centrone, Asmerilda Hitaj, Elisa Mastrogiacomo, Emanuela Rosazza Gianin
arXiv Source: arxiv.orgMar 18, 2026q-fin.RMscore 0
Short-horizon Duesenberry Equilibrium
Jaime Alberto Londoño
arXiv Source: arxiv.orgMar 17, 2026q-fin.MFscore 0
At-the-money short-time call-price asymptotics for new classes of exponential Lévy models
Allen Hoffmeyer, Christian Houdré
arXiv Source: arxiv.orgMar 16, 2026q-fin.PRscore 0