Mathematical Finance

Authors and titles for q-fin.MF in Mar 2024

[1]  arXiv:2403.00139 [pdf, other]

Title: Optimal positioning in derivative securities in incomplete markets

Authors: Tim Leung, Matthew Lorig, Yoshihiro Shirai

Comments: 22 pages, 3 figures

Subjects: Mathematical Finance (q-fin.MF)

[2]  arXiv:2403.01088 [pdf, other]

Title: Justifying the Volatility of S&P 500 Daily Returns

Authors: Hayden Brown

Subjects: Mathematical Finance (q-fin.MF)

[3]  arXiv:2403.04674 [pdf, other]

Title: Calibrated rank volatility stabilized models for large equity markets

Authors: David Itkin, Martin Larsson

Comments: 35 pages, 10 figures

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

[4]  arXiv:2403.09761 [pdf, other]

Title: Hydrodynamics of Markets:Hidden Links Between Physics and Finance

Authors: Alexander Lipton

Comments: 123 pages, 14 figures. arXiv admin note: text overlap with arXiv:2309.04547

Subjects: Mathematical Finance (q-fin.MF)

[5]  arXiv:2403.10441 [pdf, other]

Title: A Mean-Field Game of Market Entry: Portfolio Liquidation with Trading Constraints

Authors: Guanxing Fu, Paul P. Hager, Ulrich Horst

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

[6]  arXiv:2403.11824 [pdf, ps, other]

Title: Nonconcave Robust Utility Maximization under Projective Determinacy

Authors: Laurence Carassus, Massinissa Ferhoune

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

[7]  arXiv:2403.11897 [pdf, other]

Title: Risk premium and rough volatility

Authors: Ofelia Bonesini, Antoine Jacquier, Aitor Muguruza

Comments: 17 pages, 6 figures

Subjects: Mathematical Finance (q-fin.MF)

[8]  arXiv:2403.13138 [pdf, ps, other]

Title: Max-stability under first-order stochastic dominance

Authors: Christopher Chambers, Alan Miller, Ruodu Wang, Qinyu Wu

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

[9]  arXiv:2403.13361 [pdf, other]

Title: Multifractal wavelet dynamic mode decomposition modeling for marketing time series

Authors: Mohamed Elshazli A. Zidan, Anouar Ben Mabrouk, Nidhal Ben Abdallah, Tawfeeq M. Alanazi

Comments: 57 pages, 25 figures

Subjects: Mathematical Finance (q-fin.MF); Econometrics (econ.EM); Statistics Theory (math.ST)

[10]  arXiv:2403.15923 [pdf, other]

Title: On Merton's Optimal Portfolio Problem under Sporadic Bankruptcy

Authors: Yaacov Kopeliovich, Michael Pokojovy

Comments: 12 pages, 1 figure

Subjects: Mathematical Finance (q-fin.MF)

[11]  arXiv:2403.16228 [pdf, other]

Title: Rank-Dependent Predictable Forward Performance Processes

Authors: Bahman Angoshtari, Shida Duan

Comments: 43 pages, 3 figures

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

[12]  arXiv:2403.18177 [pdf, ps, other]

Title: Growth rate of liquidity provider's wealth in G3Ms

Authors: Cheuk Yin Lee, Shen-Ning Tung, Tai-Ho Wang

Comments: 27 pages

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

[13]  arXiv:2403.00746 (cross-list from q-fin.CP) [pdf, other]

Title: A time-stepping deep gradient flow method for option pricing in (rough) diffusion models

Authors: Antonis Papapantoleon, Jasper Rou

Comments: 18 pages, 10 figures

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

[14]  arXiv:2403.03367 (cross-list from q-fin.TR) [pdf, ps, other]

Title: am-AMM: An Auction-Managed Automated Market Maker

Authors: Austin Adams, Ciamac Moallemi, Sara Reynolds, Dan Robinson

Subjects: Trading and Market Microstructure (q-fin.TR); Computer Science and Game Theory (cs.GT); Optimization and Control (math.OC); Mathematical Finance (q-fin.MF)

[15]  arXiv:2403.06303 (cross-list from q-fin.PR) [pdf, other]

Title: A Unifying Approach for the Pricing of Debt Securities

Authors: Marie-Claude Vachon, Anne Mackay

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

[16]  arXiv:2403.10273 (cross-list from q-fin.PM) [pdf, other]

Title: Optimal Portfolio Choice with Cross-Impact Propagators

Authors: Eduardo Abi Jaber, Eyal Neuman, Sturmius Tuschmann

Comments: 44 pages, 5 figures

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

[17]  arXiv:2403.10631 (cross-list from q-fin.RM) [pdf, other]

Title: Default Resilience and Worst-Case Effects in Financial Networks

Authors: Giuseppe Calafiore, Giulia Fracastoro, Anton Proskurnikov

Subjects: Risk Management (q-fin.RM); Computational Engineering, Finance, and Science (cs.CE); Optimization and Control (math.OC); Mathematical Finance (q-fin.MF)

[18]  arXiv:2403.12647 (cross-list from q-fin.RM) [pdf, ps, other]

Title: Uncertainty in the financial market and application to forecastabnormal financial fluctuations

Authors: Shige Peng, Shuzhen Yang, Wenqing Zhang

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

[19]  arXiv:2403.14841 (cross-list from q-fin.CP) [pdf, other]

Title: On the Hull-White model with volatility smile for Valuation Adjustments

Authors: T. van der Zwaard, L.A. Grzelak, C.W. Oosterlee

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

[20]  arXiv:2403.15243 (cross-list from q-fin.CP) [pdf, other]

Title: Robust Utility Optimization via a GAN Approach

Authors: Florian Krach, Josef Teichmann, Hanna Wutte

Subjects: Computational Finance (q-fin.CP); Machine Learning (cs.LG); Mathematical Finance (q-fin.MF); Portfolio Management (q-fin.PM)

[21]  arXiv:2403.16006 (cross-list from q-fin.PR) [pdf, other]

Title: Crypto Inverse-Power Options and Fractional Stochastic Volatility

Authors: Boyi Li, Weixuan Xia

Comments: 42 pages, 2 tables, 5 figures

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

[22]  arXiv:2403.18737 (cross-list from q-fin.TR) [pdf, other]

Title: Optimal Rebalancing in Dynamic AMMs

Authors: Matthew Willetts, Christian Harrington

Comments: 16 pages including appendix

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

[23]  arXiv:2403.01012 (cross-list from math.OC) [pdf, ps, other]

Title: Hilbert Space-Valued LQG Mean Field Games: An Infinite-Dimensional Analysis

Authors: Hanchao Liu, Dena Firoozi

Comments: 21 pages

Subjects: Optimization and Control (math.OC); Functional Analysis (math.FA); Probability (math.PR); Mathematical Finance (q-fin.MF); Risk Management (q-fin.RM)

[24]  arXiv:2403.03915 (cross-list from math.OC) [pdf, other]

Title: Risk-Sensitive Mean Field Games with Common Noise: A Theoretical Study with Applications to Interbank Markets

Authors: Xin Yue Ren, Dena Firoozi

Comments: 47 pages

Subjects: Optimization and Control (math.OC); Systems and Control (eess.SY); Probability (math.PR); Mathematical Finance (q-fin.MF); Risk Management (q-fin.RM)

[25]  arXiv:2403.09532 (cross-list from math.OC) [pdf, other]

Title: Robust SGLD algorithm for solving non-convex distributionally robust optimisation problems

Authors: Ariel Neufeld, Matthew Ng Cheng En, Ying Zhang

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