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Mathematical Finance

Authors and titles for recent submissions

[ total of 6 entries: 1-6 ]
[ showing up to 25 entries per page: fewer | more ]

Mon, 25 Sep 2017

[1]  arXiv:1709.07446 [pdf, ps, other]
Title: Arbitrage and Geometry
Comments: 22 pages, 9 figures
Subjects: Mathematical Finance (q-fin.MF); Statistics Theory (math.ST)

Fri, 22 Sep 2017

[2]  arXiv:1709.07329 (cross-list from math.PR) [pdf, ps, other]
Title: Density of the set of probability measures with the martingale representation property
Comments: 21 pages
Subjects: Probability (math.PR); General Finance (q-fin.GN); Mathematical Finance (q-fin.MF)

Wed, 20 Sep 2017

[3]  arXiv:1709.06348 [pdf, ps, other]
Title: The bail-out optimal dividend problem under the absolutely continuous condition
Comments: Keywords: stochastic control, scale functions, refracted-reflected L\'evy processes
Subjects: Mathematical Finance (q-fin.MF); Optimization and Control (math.OC); Risk Management (q-fin.RM)

Tue, 19 Sep 2017

[4]  arXiv:1709.05519 [pdf, other]
Title: Semi-Static and Sparse Variance-Optimal Hedging
Comments: 4 figures
Subjects: Mathematical Finance (q-fin.MF); Probability (math.PR)
[5]  arXiv:1709.05527 (cross-list from math.PR) [pdf, ps, other]
Title: Semi-Static Variance-Optimal Hedging in Stochastic Volatility Models with Fourier Representation
Subjects: Probability (math.PR); Mathematical Finance (q-fin.MF)

Thu, 14 Sep 2017

[6]  arXiv:1709.04387 [pdf, ps, other]
Title: Welfare effects of information and rationality in portfolio decisions under parameter uncertainty
Comments: 36 pages
Subjects: Mathematical Finance (q-fin.MF); Portfolio Management (q-fin.PM)
[ total of 6 entries: 1-6 ]
[ showing up to 25 entries per page: fewer | more ]

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