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51 papers in q-fin.MF · page 1
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Neural SDE cuts yield curve forecast error to 6.58 bps
Yield Curves Dynamics Using Variational Autoencoders Under No-arbitrage
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Closed-form optimal rules derived for PAYG pension investments with buffer funds
Optimal investment and Pension policy in Pay-As-You-Go systems under forward utility and ageing population
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Closed-form rules optimize PAYG pensions via buffer fund
Optimal investment and Pension policy in Pay-As-You-Go systems under forward utility and ageing population
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Filtering equations now cover predictable jumps
Nonlinear filtering with stochastic discontinuities
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Optimal utility stays continuous under price tweaks in cost markets
On convergence of the Mayer problems arising in the theory of financial markets with transaction cost
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Explicit optimal control derived for Ethena yield positions
Optimal Control of the Ethena Yield-Bearing Stablecoin
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Expected returns shape Black-Scholes-Merton prices
Stochastic Calculus and the Black-Scholes-Merton Model: A Simplified Approach
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One adjoint pass yields policy gradients plus all input sensitivities
SNAPO: Smooth Neural Adjoint Policy Optimization for Optimal Control via Differentiable Simulation
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Funding-aware quotes outperform classical market making in DEX perpetuals
Funding-Aware Optimal Market Making for Perpetual DEXs
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Neural nets learn valid time-varying Markov operators from finance data
Learning Time-Inhomogeneous Markov Dynamics in Financial Time Series via Neural Parameterization
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ESG cuts crashes in stress but drags returns in calm markets
ESG as Priced Crash Insurance: State-Dependent Tail Risk and Deconfounding Evidence
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Bivariate Hawkes processes near criticality limit to rough Volterra system
Scaling Limits of Bivariate Nearly-Unstable Hawkes Processes and Applications to Rough Volatility
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Bivariate Hawkes processes limit to coupled rough Volterra system
Scaling Limits of Bivariate Nearly-Unstable Hawkes Processes and Applications to Rough Volatility
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CRRA portfolio choice equals Rényi information projection
Single-Period Portfolio Selection via Information Projection
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CRRA portfolio selection equals Rényi information projection
Single-Period Portfolio Selection via Information Projection
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Greenium gaps imply time to low-carbon transition
Market-implied time to transition to a low-carbon economy: a stochastic modelling and inference framework
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Single risk factor gives closed-form frontier under volatility uncertainty
Pareto frontier of portfolio investment under volatility uncertainty and short-sale constraints market
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Cohomology detects arbitrage as loop obstructions in time categories
Martingale Cohomology, Holonomy, and Homological Arbitrage
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Closed loops in filtrations create homological arbitrage
Martingale Cohomology, Holonomy, and Homological Arbitrage
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Riccati equations solve Nash equilibrium for battery storage competition
Modeling Stochastic Multi-Agent Interaction in Intraday Battery Energy Storage Dispatch with Market Power
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Merton problem solved via Riccati equations in Volterra models with jumps
Optimal Merton's Problem under Multivariate Affine Volterra Models with Jumps
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Control model beats TWAP benchmark in renewable power trades
Data-Driven Stochastic Optimal Control for Intraday Electricity Trading by Renewable Producers
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Fast-vollib accelerates implied volatility via PyTorch JAX and CUDA backends
Fast-Vollib: A Fast Implied Volatility Library for Pythonwith PyTorch, JAX, and CUDA Fused-Kernel Backends
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News sentiment networks intensify among tech firms after COVID-19
Do News and Social Media Tell the Same Story? Constructing and Comparing Sentiment Spillover Networks
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News sentiment spillover intensifies among tech firms after COVID
Do News and Social Media Tell the Same Story? Constructing and Comparing Sentiment Spillover Networks
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LOV model auto-calibrates to European options with path flexibility
Pricing with Passion: The Local Occupied Volatility (LOV) Model
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Closed-form expansions compute VIX option implied vols directly
Implied Volatility Expansions for VIX Options in Forward Variance Models
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Kelly optimization accuracy follows a sigmoid scaling law
Efficient Multivariate Kelly Optimization Reveals Sigmoidal Scaling Laws
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Solid constraints restore comonotonic risk sharing
Comonotonic improvement under feasibility constraints
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Implied volatility solved explicitly via inverse Gaussian quantile
An Explicit Solution to Black-Scholes Implied Volatility
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Hawkes model with pauses matches LOB volatility slopes
Extended State-dependent Hawkes Process for Limit Order Books: Mathematical Foundation and the Reproduction of Volatility Signature Plots
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Signatures give closed-form Malliavin calculus for Itô processes
Malliavin calculus for signatures with applications to finance
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Truncated Gaussian policies optimize entropy-regularized portfolios under volatility
Optimal Investment and Entropy-Regularized Learning Under Stochastic Volatility Models with Portfolio Constraints
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Only one in six LPs avoids losses in Base CLMM pools
Liquidity provision in CLMMs: evidence from transactions data
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Linear M&A contracts cost more and allow broker manipulation
Pricing and Hedging Financial Derivatives in Merger\&Acquisition Deals with Price Impact
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QR reparametrization diagonalizes conditional Fisher matrix for NSS curves
Orthogonal reparametrization of the Nelson-Siegel-Svensson interest rate curve model: conditioning, diagnostics, and identifiability
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Best Estimates for lifelong health insurance vary with rate models
On the market-consistent valuation of health insurance liabilities
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DeFi vaults need five new credit risk metrics
Vault as a credit instrument
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Decomposition reduces LQ McKean-Vlasov control to two simpler problems
A Decomposition Method for LQ Conditional McKean-Vlasov Control Problems with Random Coefficients
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Regulator mechanisms cut herding and lift welfare in investment games
Mechanism Design for Investment Regulation under Herding
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Non-trivial holonomy in filtrations yields self-financing arbitrage
Aharanov-Bohm Type Arbitrage and Homological Obstructions in Financial Markets
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Disclosure cuts trading costs more when market makers compete less
Mandatory Disclosure in Oligopolistic Market Making
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Long-only min-var portfolio supported only on betas above a positive threshold
The Long-Only Minimum Variance Portfolio in a One-Factor Market: Theory and Asymptotics
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Closed-form solutions give optimal annuitization times under health shocks
Optimal Annuitization Time under a Mortality Shock
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Ranking metrics represented via acceptance sets and risk measures
Ranking Metrics: Extending Acceptability and Performance Indexes
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Generative flow descends MMD for jump-diffusion path laws
Generative Path-Law Jump-Diffusion: Sequential MMD-Gradient Flows and Generalisation Bounds in Marcus-Signature RKHS
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Signature manifolds enable deterministic RL from single trajectories
Anticipatory Reinforcement Learning: From Generative Path-Laws to Distributional Value Functions
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For weighted exponential utilities
$\alpha$-robust utility maximization with intractable claims: A quantile optimization approach
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Discretization yields strong HJB solution for ratcheted dividends with injections
Dividend ratcheting and capital injection under the Cram\'er-Lundberg model: Strong solution and optimal strategy
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Condition reveals when cooperation boosts all agents' utilities
When cooperation is beneficial to all agents