Pricing of Securities

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

[1]  arXiv:2403.00006 [pdf, other]

Title: Local sensitivity analysis of heating degree day and cooling degree day temperature derivatives prices

Authors: Sara Ana Solanilla Blanco

Subjects: Pricing of Securities (q-fin.PR); Probability (math.PR)

[2]  arXiv:2403.06303 [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)

[3]  arXiv:2403.16006 [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)

[4]  arXiv:2403.17187 [pdf, ps, other]

Title: Alternatives to classical option pricing

Authors: W. Brent Lindquist, Svetlozar T. Rachev

Comments: 25 pages, 3 figures

Subjects: Pricing of Securities (q-fin.PR)

[5]  arXiv:2403.02500 (cross-list from q-fin.PM) [pdf, ps, other]

Title: RVRAE: A Dynamic Factor Model Based on Variational Recurrent Autoencoder for Stock Returns Prediction

Authors: Yilun Wang, Shengjie Guo

Subjects: Portfolio Management (q-fin.PM); Machine Learning (cs.LG); Pricing of Securities (q-fin.PR)

[6]  arXiv:2403.15810 (cross-list from q-fin.GN) [pdf, ps, other]

Title: Anticipatory Gains and Event-Driven Losses in Blockchain-Based Fan Tokens: Evidence from the FIFA World Cup

Authors: Aman Saggu, Lennart Ante, Ender Demir

Comments: 31 pages, 5 tables, 1 figure

Journal-ref: Research in International Business and Finance, Volume 70, Part A, 102333 (2024)

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

[7]  arXiv:2403.18177 (cross-list from q-fin.MF) [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)