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Mathematical Finance

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Total of 9 entries
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Thu, 16 Jan 2025 (showing 1 of 1 entries )

[2] arXiv:2501.08768 (cross-list from math.PR) [pdf, html, other]
Title: Eigenvector Overlaps of Random Covariance Matrices and their Submatrices
Elie Attal, Romain Allez
Subjects: Probability (math.PR); Statistical Mechanics (cond-mat.stat-mech); Mathematical Finance (q-fin.MF)

Wed, 15 Jan 2025

No updates for this time period.

Tue, 14 Jan 2025 (showing 5 of 5 entries )

[3] arXiv:2501.07489 [pdf, html, other]
Title: How low-cost AI universal approximators reshape market efficiency
Paolo Barucca, Flaviano Morone
Comments: 13 pages
Subjects: Mathematical Finance (q-fin.MF); General Finance (q-fin.GN); Trading and Market Microstructure (q-fin.TR)
[4] arXiv:2501.06758 [pdf, html, other]
Title: Pricing American options under rough volatility using deep-signatures and signature-kernels
Christian Bayer, Luca Pelizzari, Jia-Jie Zhu
Subjects: Mathematical Finance (q-fin.MF)
[5] arXiv:2501.06701 [pdf, html, other]
Title: Sequential Portfolio Selection under Latent Side Information-Dependence Structure: Optimality and Universal Learning Algorithms
Duy Khanh Lam
Comments: 34 pages, working paper, first draft (errors may exist)
Subjects: Mathematical Finance (q-fin.MF); Information Theory (cs.IT); Machine Learning (cs.LG); Probability (math.PR); Portfolio Management (q-fin.PM)
[6] arXiv:2501.07135 (cross-list from q-fin.TR) [pdf, html, other]
Title: Follow the Leader: Enhancing Systematic Trend-Following Using Network Momentum
Linze Li, William Ferreira
Subjects: Trading and Market Microstructure (q-fin.TR); Mathematical Finance (q-fin.MF)
[7] arXiv:2501.06895 (cross-list from math.PR) [pdf, html, other]
Title: Discrete-time weak approximation of a Black-Scholes model with drift and volatility Markov switching
Vitaliy Golomoziy, Kamil Kladivko, Yuliya Mishura
Subjects: Probability (math.PR); Mathematical Finance (q-fin.MF)

Mon, 13 Jan 2025 (showing 2 of 2 entries )

[8] arXiv:2501.05975 [pdf, html, other]
Title: Heath-Jarrow-Morton meet lifted Heston in energy markets for joint historical and implied calibration
Eduardo Abi Jaber, Soukaïna Bruneau, Nathan De Carvalho, Dimitri Sotnikov, Laurent Tur
Subjects: Mathematical Finance (q-fin.MF); Computational Finance (q-fin.CP)
[9] arXiv:2501.05672 (cross-list from q-fin.RM) [pdf, html, other]
Title: Optimal Insurance under Endogenous Default and Background Risk
Zongxia Liang, Zhaojie Ren, Bin Zou
Subjects: Risk Management (q-fin.RM); Mathematical Finance (q-fin.MF)
Total of 9 entries
Showing up to 50 entries per page: fewer | more | all