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Mathematical Finance

Authors and titles for recent submissions

[ total of 8 entries: 1-8 ]
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Thu, 23 Nov 2017

[1]  arXiv:1711.08043 [pdf, ps, other]
Title: Polynomial Jump-Diffusion Models
Subjects: Mathematical Finance (q-fin.MF); Pricing of Securities (q-fin.PR)
[2]  arXiv:1711.08282 (cross-list from q-fin.GN) [pdf, other]
Title: Asymmetric return rates and wealth distribution influenced by the introduction of technical analysis into a behavioral agent based model
Comments: 18 pages and 46 figures
Subjects: General Finance (q-fin.GN); Mathematical Finance (q-fin.MF)

Tue, 21 Nov 2017

[3]  arXiv:1711.07279 [pdf, other]
Title: Quantum Duality in Mathematical Finance
Authors: Paul McCloud
Comments: Presented as "From Quadratic Gaussian to Quantum Groups" at the Global Derivatives Trading and Risk Management Conference, Barcelona, May 2017
Subjects: Mathematical Finance (q-fin.MF); Quantum Algebra (math.QA)
[4]  arXiv:1711.06679 [pdf, other]
Title: Strict Local Martingales and Optimal Investment in a Black-Scholes Model with a Bubble
Comments: 39 pages; forthcoming in 'Mathematical Finance'
Subjects: Mathematical Finance (q-fin.MF)
[5]  arXiv:1711.07133 (cross-list from q-fin.CP) [pdf, other]
Title: Influence of jump-at-default in IR and FX on Quanto CDS prices
Comments: 33 pages, 10 figures, 2 tables
Subjects: Computational Finance (q-fin.CP); Mathematical Finance (q-fin.MF); Pricing of Securities (q-fin.PR)

Mon, 20 Nov 2017

[6]  arXiv:1711.06466 [pdf, ps, other]
Title: Robust bounds for the American Put
Comments: 33 pages, 16 figures
Subjects: Mathematical Finance (q-fin.MF)

Wed, 15 Nov 2017

[7]  arXiv:1711.04219 [pdf, other]
Title: Closed-form Solutions of Relativistic Black-Scholes Equations
Subjects: Mathematical Finance (q-fin.MF)

Mon, 13 Nov 2017

[8]  arXiv:1711.03875 (cross-list from math.OC) [pdf, ps, other]
Title: Nonconcave Robust Optimization under Knightian Uncertainty
Comments: arXiv admin note: text overlap with arXiv:1610.09230
Subjects: Optimization and Control (math.OC); Probability (math.PR); Mathematical Finance (q-fin.MF)
[ total of 8 entries: 1-8 ]
[ showing up to 25 entries per page: fewer | more ]

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