Mathematical Finance
Mathematical and analytical methods of finance, including stochastic, probabilistic and functional analysis, algebraic, geometric and other methods
Optimal delivery rule reduces to a single index; Dinkelbach iteration prices it with guaranteed convergence.
· “The end-of-month option in futures contracts and the Gittins index of holding the underlying”
The extra scalar recovers OAS-level performance under non-Gaussian data, cutting stress-period portfolio volatility 4%.
· “Extending the Oracle Approximating Shrinkage to General Distributions”
Only the Hurst parameter and vol-of-vol set the rate — never the local volatility or correlation.
· “Feeling the generalised rough SABR boundary”