Mathematical Finance

Authors and titles for November 2024

[1] arXiv:2411.00713 (cross-list from q-fin.MF) [cn-pdf, pdf, html, other]

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

Title: 基于波动率不确定性的风险定价离散逼近

Jonas Blessing, Michael Kupper, Alessandro Sgarabottolo

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

[2] arXiv:2411.01983 (cross-list from q-fin.MF) [cn-pdf, pdf, html, other]

Title: Real-world models for multiple term structures: a unifying HJM semimartingale framework Show Chinese title

Title: 真实世界中的多重期限结构模型：统一的HJM半鞅框架

Claudio Fontana, Eckhard Platen, Stefan Tappe

Comments: 45 pages

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

[3] arXiv:2411.04041 (cross-list from q-fin.MF) [cn-pdf, pdf, html, other]

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

Title: 具有随机系数的波动率参数化：隐含波动率曲面的解析灵活性

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

Subjects: Mathematical Finance (q-fin.MF)

[4] arXiv:2411.04616 (cross-list from q-fin.MF) [cn-pdf, pdf, html, other]

Title: Optimal Execution under Incomplete Information Show Chinese title

Title: 在不完全信息下的最优执行

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 (cross-list from q-fin.MF) [cn-pdf, pdf, html, other]

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

Title: 基于Malliavin微积分的随机投影梯度法最优再保险与投资

Yuta Otsuki, Shotaro Yagishita

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

[6] arXiv:2411.05470 (cross-list from q-fin.MF) [cn-pdf, pdf, html, other]

Title: Model-free portfolio allocation in continuous-time Show Chinese title

Title: 无模型连续时间投资组合配置

Henry Chiu

Subjects: Mathematical Finance (q-fin.MF)

[7] arXiv:2411.06484 (cross-list from q-fin.MF) [cn-pdf, pdf, html, other]

Title: ajdmom: A Python Package for Deriving Moment Formulas of Affine Jump Diffusion Processes Show Chinese title

Title: ajdmom: 用于推导仿射跳跃扩散过程矩公式的一个 Python 软件包

Yan-Feng Wu, Jian-Qiang Hu

Subjects: Mathematical Finance (q-fin.MF)

[8] arXiv:2411.07421 (cross-list from q-fin.MF) [cn-pdf, pdf, html, other]

Title: An Empirical Implementation of the Shadow Riskless Rate Show Chinese title

Title: 一种影子无风险利率的实证实现

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 (cross-list from q-fin.MF) [cn-pdf, pdf, html, other]

Title: Implementing Dynamic Pricing Across Multiple Pricing Groups in Real Estate Show Chinese title

Title: 在房地产中跨多个定价组实施动态定价

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 (cross-list from q-fin.MF) [cn-pdf, pdf, html, other]

Title: Multi-asset return risk measures Show Chinese title

Title: 多资产收益风险度量

Christian Laudagé, Felix-Benedikt Liebrich, Jörn Sass

Subjects: Mathematical Finance (q-fin.MF)

[11] arXiv:2411.10726 (cross-list from q-fin.MF) [cn-pdf, pdf, html, other]

Title: Some Computations for Optimal Execution with Monotone Strategies Show Chinese title

Title: 一些关于单调策略最优执行的计算

Yan Dolinsky

Subjects: Mathematical Finance (q-fin.MF)

[12] arXiv:2411.12013 (cross-list from q-fin.MF) [cn-pdf, pdf, html, other]

Title: Neural and Time-Series Approaches for Pricing Weather Derivatives: Performance and Regime Adaptation Using Satellite Data Show Chinese title

Title: 基于神经网络和时间序列的天气衍生品定价方法：使用卫星数据的性能与状态适应性

Marco Hening Tallarico, Pablo Olivares

Comments: 23 pages, 31 figures

Subjects: Mathematical Finance (q-fin.MF) ; Machine Learning (cs.LG) ; Statistical Finance (q-fin.ST) ; Machine Learning (stat.ML)

[13] arXiv:2411.13579 (cross-list from q-fin.MF) [cn-pdf, pdf, other]

Title: Optimal portfolio under ratio-type periodic evaluation in stochastic factor models under convex trading constraints Show Chinese title

Title: 具有凸交易约束的随机因子模型下比例型周期评估的最优投资组合

Wenyuan Wang, Kaixin Yan, Xiang Yu

Comments: Keywords: Periodic evaluation, relative portfolio performance, incomplete market, stochastic factor model, convex trading constraints, convex duality approach. This manuscript combines two previous preprints arXiv:2311.12517 and arXiv:2401.14672 into one paper with more general and improved results

Subjects: Mathematical Finance (q-fin.MF) ; Optimization and Control (math.OC) ; Portfolio Management (q-fin.PM)

[14] arXiv:2411.13937 (cross-list from q-fin.MF) [cn-pdf, pdf, html, other]

Title: Analytical Formula for Fractional-Order Conditional Moments of Nonlinear Drift CEV Process with Regime Switching: Hybrid Approach with Applications Show Chinese title

Title: 非线性漂移CEV过程在制度切换下的分数阶条件矩的解析公式：与应用相结合的混合方法

Kittisak Chumpong, Khamron Mekchay, Fukiat Nualsri, Phiraphat Sutthimat

Subjects: Mathematical Finance (q-fin.MF)

[15] arXiv:2411.18154 (cross-list from q-fin.MF) [cn-pdf, pdf, html, other]

Title: Semiclassical CEV Option Pricing Model: an Analytical Approach Show Chinese title

Title: 半经典CEV期权定价模型：一种解析方法

Jose A. Capitán, Jose Lope-Alba, Juan J. Morales-Ruiz

Comments: 11 pages

Subjects: Mathematical Finance (q-fin.MF)

[16] arXiv:2411.19444 (cross-list from q-fin.MF) [cn-pdf, pdf, html, other]

Title: Capital Asset Pricing Model with Size Factor and Normalizing by Volatility Index Show Chinese title

Title: 带有规模因子的资本资产定价模型并以波动率指数标准化

Abraham Atsiwo, Andrey Sarantsev

Comments: 22 pages, 2 tables, 7 figures, 14 plots. Keywords: Capital Asset Pricing Model, stochastic volatility, ergodic Markov process, stationary distribution, size effect, autoregression, capital distribution curve

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

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

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

Title: 舒尔补分配：分层风险平价和最小方差投资组合的统一

Peter Cotton

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

[18] arXiv:2411.10386 (cross-list from q-fin.RM) [cn-pdf, pdf, html, other]

Title: The role of debt valuation factors in systemic risk assessment Show Chinese title

Title: 债务估值因素在系统性风险评估中的作用

Kamil Fortuna, Janusz Szwabiński

Subjects: Risk Management (q-fin.RM) ; Mathematical Finance (q-fin.MF)

[19] arXiv:2411.11408 (cross-list from math.PR) [cn-pdf, pdf, html, other]

Title: Multidimensional specific relative entropy between continuous martingales Show Chinese title

Title: 连续鞅之间的多维特定相对熵

Julio Backhoff, Edoardo Kimani Bellotto

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

[20] arXiv:2411.11522 (cross-list from q-fin.RM) [cn-pdf, pdf, html, other]

Title: Robust Bernoulli mixture models for credit portfolio risk Show Chinese title

Title: 稳健的伯努利混合模型在信用组合风险中的应用

Jonathan Ansari, Eva Lütkebohmert

Subjects: Risk Management (q-fin.RM) ; Mathematical Finance (q-fin.MF)

[21] arXiv:2411.12375 (cross-list from q-fin.PR) [cn-pdf, pdf, html, other]

Title: Risk-Neutral Pricing Model of Uniswap Liquidity Providing Position: A Stopping Time Approach Show Chinese title

Title: 风险中性定价模型的Uniswap流动性提供位置：一个停止时间方法

Liang Hou, Hao Yu, Guosong Xu

Comments: 9 pages, 13 figures

Subjects: Pricing of Securities (q-fin.PR) ; Mathematical Finance (q-fin.MF)

[22] arXiv:2411.13558 (cross-list from q-fin.CP) [cn-pdf, pdf, html, other]

Title: Finding the nonnegative minimal solutions of Cauchy PDEs in a volatility-stabilized market Show Chinese title

Title: 在波动稳定市场中求解柯西偏微分方程的非负最小解

Nicole Tianjiao Yang, Tomoyuki Ichiba

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

[23] arXiv:2411.13792 (cross-list from q-fin.PM) [cn-pdf, pdf, html, other]

Title: Multiscale Markowitz Show Chinese title

Title: 多尺度马科维茨

Revant Nayar, Raphael Douady

Subjects: Portfolio Management (q-fin.PM) ; Chaotic Dynamics (nlin.CD) ; Mathematical Finance (q-fin.MF)

[24] arXiv:2411.16617 (cross-list from q-fin.PR) [cn-pdf, pdf, html, other]

Title: Pricing Multi-strike Quanto Call Options on Multiple Assets with Stochastic Volatility, Correlation, and Exchange Rates Show Chinese title

Title: 具有随机波动率、相关性和汇率的多击价货币期权在多种资产上的定价

Boris Ter-Avanesov, Gunter A. Meissner

Comments: 76 pages with 43 figures

Subjects: Pricing of Securities (q-fin.PR) ; Computational Finance (q-fin.CP) ; Mathematical Finance (q-fin.MF)

[25] arXiv:2411.18397 (cross-list from q-fin.PM) [cn-pdf, pdf, html, other]

Title: Optimal payoff under Bregman-Wasserstein divergence constraints Show Chinese title

Title: Bregman-Wasserstein散度约束下的最优收益

Silvana M. Pesenti, Steven Vanduffel, Yang Yang, Jing Yao

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