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Mathematical Finance

Authors and titles for recent submissions

[ total of 11 entries: 1-11 ]
[ showing up to 25 entries per page: fewer | more ]

Fri, 22 Jun 2018

[1]  arXiv:1806.08107 [pdf, other]
Title: Arbitrage-Free Interpolation in Models of Market Observable Interest Rates
Authors: Erik Schlögl
Journal-ref: Schl\"ogl, E. (2002), Arbitrage-Free Interpolation in Models of Market Observable Interest Rates, in K. Sandmann and P. Sch\"onbucher (eds), Advances in Finance and Stochastics, Springer-Verlag
Subjects: Mathematical Finance (q-fin.MF); Computational Finance (q-fin.CP)
[2]  arXiv:1806.07983 [pdf, other]
Title: Nonlocal Diffusions and The Quantum Black-Scholes Equation: Modelling the Market Fear Factor
Authors: Will Hicks
Comments: 21 pages, 3 figures
Subjects: Mathematical Finance (q-fin.MF)
[3]  arXiv:1806.08161 (cross-list from math.PR) [pdf, other]
Title: Explicit Asymptotics on First Passage Times of Diffusion Processes
Comments: 31 pages, 16 figures
Subjects: Probability (math.PR); Numerical Analysis (math.NA); Mathematical Finance (q-fin.MF)

Thu, 21 Jun 2018

[4]  arXiv:1806.07667 [pdf, ps, other]
Title: Credit Value Adjustment for Counterparties with Illiquid CDS
Comments: 13 pages
Subjects: Mathematical Finance (q-fin.MF); Pricing of Securities (q-fin.PR)
[5]  arXiv:1806.07499 [pdf, other]
Title: Optimal Dividend Distribution Under Drawdown and Ratcheting Constraints on Dividend Rates
Comments: 32 pages, 11 figures
Subjects: Mathematical Finance (q-fin.MF); Optimization and Control (math.OC)

Wed, 20 Jun 2018

[6]  arXiv:1806.07203 [pdf, ps, other]
Title: Minimax theorem and Nash equilibrium of symmetric multi-players zero-sum game with two strategic variables
Comments: 16 pages
Subjects: Mathematical Finance (q-fin.MF)
[7]  arXiv:1806.07175 [pdf, other]
Title: Portfolio Choice with Market-Credit Risk Dependencies
Comments: 38 pages, 12 figures, Forthcoming in SIAM Journal on Control and Optimization
Subjects: Mathematical Finance (q-fin.MF)
[8]  arXiv:1806.06883 (cross-list from q-fin.PR) [pdf, other]
Title: Long-time large deviations for the multi-asset Wishart stochastic volatility model and option pricing
Subjects: Pricing of Securities (q-fin.PR); Mathematical Finance (q-fin.MF)

Fri, 15 Jun 2018

[9]  arXiv:1806.05401 [pdf, ps, other]
Title: The Theoretical Price of a Share-Based Payment with Performance Conditions and Implications for the Current Accounting Standards
Subjects: Mathematical Finance (q-fin.MF)

Wed, 13 Jun 2018

[10]  arXiv:1806.04472 [pdf, other]
Title: Trading algorithms with learning in latent alpha models
Comments: 42 pages, 5 figures
Journal-ref: Mathematical Finance, Forthcoming, 2018
Subjects: Mathematical Finance (q-fin.MF); Statistical Finance (q-fin.ST); Trading and Market Microstructure (q-fin.TR); Machine Learning (stat.ML)
[11]  arXiv:1806.04460 (cross-list from q-fin.TR) [pdf, other]
Title: Foreign Exchange Markets with Last Look
Comments: 40 pages, 7 figures
Journal-ref: Mathematics and Financial Economics, Forthcoming, 2018
Subjects: Trading and Market Microstructure (q-fin.TR); Mathematical Finance (q-fin.MF)
[ total of 11 entries: 1-11 ]
[ showing up to 25 entries per page: fewer | more ]

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