Mathematical Finance

Authors and titles for November 2024

[1] arXiv:2411.00713 [pdf, html, other]

Title: Discrete approximation of risk-based prices under volatility uncertainty

Jonas Blessing, Michael Kupper, Alessandro Sgarabottolo

Subjects: Mathematical Finance (q-fin.MF); Probability (math.PR)

[2] arXiv:2411.01983 [pdf, html, other]

Title: Real-world models for multiple term structures: a unifying HJM framework

Claudio Fontana, Eckhard Platen, Stefan Tappe

Comments: 45 pages

Subjects: Mathematical Finance (q-fin.MF); Probability (math.PR)

[3] arXiv:2411.04041 [pdf, html, other]

Title: Volatility Parametrizations with Random Coefficients: Analytic Flexibility for Implied Volatility Surfaces

Nicola F. Zaugg, Leonardo Perotti, Lech A. Grzelak

Subjects: Mathematical Finance (q-fin.MF)

[4] arXiv:2411.04616 [pdf, html, other]

Title: Optimal Execution under Incomplete Information

Etienne Chevalier, Yadh Hafsi, Vathana Ly Vath

Comments: 36 pages

Subjects: Mathematical Finance (q-fin.MF); Trading and Market Microstructure (q-fin.TR)

[5] arXiv:2411.05417 [pdf, html, other]

Title: Optimal reinsurance and investment via stochastic projected gradient method based on Malliavin calculus

Yuta Otsuki, Shotaro Yagishita

Subjects: Mathematical Finance (q-fin.MF); Optimization and Control (math.OC); Computational Finance (q-fin.CP)

[6] arXiv:2411.05470 [pdf, html, other]

Title: Model-free portfolio allocation in continuous-time

Henry Chiu

Subjects: Mathematical Finance (q-fin.MF)

[7] arXiv:2411.06484 [pdf, html, other]

Title: ajdmom: a Python Package for Deriving Moment Formulas of Affine Jump Diffusion Processes

Yan-Feng Wu, Jian-Qiang Hu

Subjects: Mathematical Finance (q-fin.MF)

[8] arXiv:2411.07421 [pdf, html, other]

Title: An Empirical Implementation of the Shadow Riskless Rate

Davide Lauria, JiHo Park, Yuan Hu, W. Brent Lindquist, Svetlozar T. Rachev, Frank J. Fabozzi

Comments: 23 pages, 14 figures

Subjects: Mathematical Finance (q-fin.MF)

[9] arXiv:2411.07732 [pdf, html, other]

Title: Implementing Dynamic Pricing Across Multiple Pricing Groups in Real Estate

Lev Razumovskiy, Mariya Gerasimova, Nikolay Karenin, Mikhail Safro

Subjects: Mathematical Finance (q-fin.MF); Theoretical Economics (econ.TH); Computational Finance (q-fin.CP); Trading and Market Microstructure (q-fin.TR)

[10] arXiv:2411.08763 [pdf, html, other]

Title: Multi-asset return risk measures

Christian Laudagé, Felix-Benedikt Liebrich, Jörn Sass

Subjects: Mathematical Finance (q-fin.MF)

[11] arXiv:2411.05807 (cross-list from q-fin.PM) [pdf, html, other]

Title: Schur Complementary Allocation: A Unification of Hierarchical Risk Parity and Minimum Variance Portfolios

Peter Cotton

Subjects: Portfolio Management (q-fin.PM); Mathematical Finance (q-fin.MF)