Zobrazeno 1 - 10
of 13 898
pro vyhledávání: '"MATHEMATICAL finance"'
Autor:
Lei, Qian, Pun, Chi Seng
In this paper, we establish existence, uniqueness, and regularity properties of the solutions to multi-dimensional backward stochastic Volterra integral equations (BSVIEs), whose (possibly random) generator reflects nonlinear dependence on both the s
Externí odkaz:
http://arxiv.org/abs/2412.19236
We study a stochastic control problem with regime switching arising in an optimal liquidation problem with dark pools and multiple regimes. The new feature of this model is that it introduces a system of BSDEs with jumps and with singular terminal va
Externí odkaz:
http://arxiv.org/abs/2412.19058
The Black-Scholes framework is crucial in pricing a vast number of financial instruments that permeate the complex dynamics of world markets. Associated with this framework, we consider a second-order differential operator $L(x, {\partial_x}) := v^2(
Externí odkaz:
http://arxiv.org/abs/2412.19020
Autor:
Tung, Shen-Ning, Wang, Tai-Ho
This paper develops a rigorous mathematical framework for analyzing Concentrated Liquidity Market Makers (CLMMs) in Decentralized Finance (DeFi) within a continuous-time setting. We model the evolution of liquidity profiles as measure-valued processe
Externí odkaz:
http://arxiv.org/abs/2412.18580
This paper studies dynamic mean-variance (MV) asset allocation problems in general incomplete markets. Besides of the conventional MV objective on portfolio's terminal wealth, our framework can accommodate running MV objectives with general (non-expo
Externí odkaz:
http://arxiv.org/abs/2412.18498
Autor:
Wu, Xuchen, Jaimungal, Sebastian
We study partial information Nash equilibrium between a broker and an informed trader. In this model, the informed trader, who possesses knowledge of a trading signal, trades multiple assets with the broker in a dealer market. Simultaneously, the bro
Externí odkaz:
http://arxiv.org/abs/2412.17712
We show that the state spaces of multifactor Markovian processes, coming from approximations of nonnegative Volterra processes, are given by explicit linear transformation of the nonnegative orthant. We demonstrate the usefulness of this result for a
Externí odkaz:
http://arxiv.org/abs/2412.17526
We consider a microstructure foundation for rough volatility models driven by Poisson random measures. In our model the volatility is driven by self-exciting arrivals of market orders as well as self-exciting arrivals of limit orders and cancellation
Externí odkaz:
http://arxiv.org/abs/2412.16436
We use modifications of the Adams method and very fast and accurate sinh-acceleration method of the Fourier inversion (iFT) (S.Boyarchenko and Levendorski\u{i}, IJTAF 2019, v.22) to evaluate prices of vanilla options; for options of moderate and long
Externí odkaz:
http://arxiv.org/abs/2412.16067
We study small-time central limit theorems for stochastic Volterra integral equations with H\"older continuous coefficients and general locally square integrable Volterra kernels. We prove the convergence of the finite-dimensional distributions, a fu
Externí odkaz:
http://arxiv.org/abs/2412.15971