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mathematical-finance
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mathematical-finance
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· documents ABOUT mathematical-finance across the archive
105
Documents about mathematical-finance
Documents about mathematical-finance
Distribution-constrained optimal multiple stopping: the Root-type solution
#926207
arXiv (All)
Smile asymptotics for Bachelier implied volatility
#972929
arXiv (All)
Quadratic G-BSDEs for bond pricing with endogenous short-rate feedback
#1013302
arXiv (All)
Optimal entry and exit for variance swaps: closed-form rules for the perpetual contract
#1013310
arXiv (All)
Quadratic and $p$-th variation of random signed Takagi--Landsberg bridges
#1036079
arXiv (All)
A compensatory model for quantile estimation and application to VaR
#611211
arXiv (OAI Expanded)
A compensatory model for quantile estimation and application to VaR
#612688
arXiv (All)
Behavioral Participating Insurance: Optimal Investment under Probability Distortion and Aspiration Constraints
#616385
arXiv (OAI Expanded)
Behavioral Participating Insurance: Optimal Investment under Probability Distortion and Aspiration Constraints
#616885
arXiv (All)
Viscosity Supersolution Barriers to a Non-local Free Boundary Problem
#920036
arXiv (OAI Expanded)
Viscosity Supersolution Barriers to a Non-local Free Boundary Problem
#924267
arXiv (All)
Geometric and Arithmetic Likelihood Aggregation for Diffusions with Heterogeneous Volatility
#987213
arXiv (All)
Disentangling wrong-way risk: pricing CVA via change of measures and drift adjustment
#1000418
arXiv (All)
The Volterra Stein-Stein model with stochastic interest rates
#1012001
arXiv (All)
Optimal credit portfolio and consumption with regime switching and default contagion
#1035557
arXiv (All)
Occupied Processes: Going with the Flow
#179047
arXiv (OAI)
Occupied Processes: Going with the Flow
#179245
arXiv (OAI Expanded)
Occupied Processes: Going with the Flow
#179640
arXiv
Occupied Processes: Going with the Flow
#180502
arXiv Biology
Mean-field equilibrium of heterogeneous agents under market impact
#925479
arXiv (All)
Bid--Ask Martingale Optimal Transport
#985032
arXiv (All)
Regularity of a Multidimensional Principal-Agent Problem with Separable Effort Costs
#1012935
arXiv (All)
Asset price bubbles under model uncertainty and short-sale constraints: A discrete-time analysis
#1013489
arXiv (All)
Non-Hermitean Wishart random matrices (I)
#971596
arXiv (All)
Threshold inequality in a public good experiment
#328189
Springer Nature OA
Systemic efficiency beyond income: resource intensity and market orientation
#348973
Springer Nature OA
Can fundamental value predict stock returns? An empirical assessment of the Feltham -Ohlson model
#958181
Louisiana Tech Digital Commons
Beyond Rough Volatility: Decoupling Memory and Scaling via a Generalized Langevin Equation
#1034061
arXiv (All)
Capturing Smile Dynamics with the Quintic Volatility Model: SPX, Skew-Stickiness Ratio and VIX
#158679
arXiv (OAI)
Efficient frontiers for portfolios under SSD and law-invariant risk measures with hyperbolic return distributions
#611212
arXiv (OAI Expanded)
Efficient frontiers for portfolios under SSD and law-invariant risk measures with hyperbolic return distributions
#612689
arXiv (All)
Local Stochastic Rough Volatility: Pathwise Filtering and the Conditional Density Equation
#668640
arXiv (OAI Expanded)
Local Stochastic Rough Volatility: Pathwise Filtering and the Conditional Density Equation
#670705
arXiv (All)
Stochastic Optimal Control of Hawkes Jump-Diffusion Systems
#790236
arXiv (OAI Expanded)
Stochastic Optimal Control of Hawkes Jump-Diffusion Systems
#794255
arXiv (All)
Tractable bank capital structure: optimal control under Basel III constraints
#797384
arXiv (OAI Expanded)
Tractable bank capital structure: optimal control under Basel III constraints
#798798
arXiv (All)
On a Stationarity Theory for Stochastic Volterra Integral Equations with Affine Drift
#920238
arXiv (OAI Expanded)
On a Stationarity Theory for Stochastic Volterra Integral Equations with Affine Drift
#924469
arXiv (All)
Bayesian Confidence Recalibration and Research-Equilibrium Criticality: Temporal Support in Robust Portfolios
#926632
arXiv (All)
Affine term structure models : a time-changed approach with perfect fit to market curves
#1000424
arXiv (All)
Robust asset pricing and superhedging duality under model uncertainty with and without short-sale constraints
#1013386
arXiv (All)
When fairness metrics fail: A utility-based perspective on $\varepsilon$-fairness
#1014460
arXiv (All)
The means of prediction and the production function of AI
#425908
Springer Nature OA
Fundamental approach to exchange rate modeling: Toward an augmented theory of purchasing power parity
#958275
Louisiana Tech Digital Commons
Shortermism and excessive risk taking in optimal execution with a target performance
#163136
arXiv (OAI)
Disciplined Bilevel Programming
#820067
arXiv (All)
Optimal Capital Structure for Life Insurance Companies Offering Surplus Participation
#920807
arXiv (OAI Expanded)
Optimal Capital Structure for Life Insurance Companies Offering Surplus Participation
#925041
arXiv (All)
Impact of ESG on Chinese-Listed Companies: From a New Perspective of Firm Value
#385832
Springer Nature OA
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