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Mathematical Finance

Authors and titles for recent submissions

[ total of 9 entries: 1-9 ]
[ showing up to 25 entries per page: fewer | more ]

Thu, 22 Aug 2019

[1]  arXiv:1908.07626 [pdf, other]
Title: Optimal Investment with Correlated Stochastic Volatility Factors
Subjects: Mathematical Finance (q-fin.MF); Probability (math.PR)

Wed, 21 Aug 2019

[2]  arXiv:1908.07417 [pdf, ps, other]
Title: A lognormal type stochastic volatility model with quadratic drift
Subjects: Mathematical Finance (q-fin.MF); Computational Finance (q-fin.CP); Pricing of Securities (q-fin.PR); Risk Management (q-fin.RM)
[3]  arXiv:1908.07102 [pdf, other]
Title: Explosion in the quasi-Gaussian HJM model
Comments: 21 pages, 3 figures
Journal-ref: Finance and Stochastics 2018, Volume 22, Issue 3, 643-666
Subjects: Mathematical Finance (q-fin.MF); Probability (math.PR)
[4]  arXiv:1908.07098 [pdf, other]
Title: Small-noise limit of the quasi-Gaussian log-normal HJM model
Comments: 12 pages, 2 figures
Journal-ref: Operations Research Letters 2017, Volume 45, 6-11
Subjects: Mathematical Finance (q-fin.MF)

Tue, 20 Aug 2019

[5]  arXiv:1908.06927 [pdf, ps, other]
Title: Expected utility operators and coinsurance problem
Authors: Irina Georgescu
Subjects: Mathematical Finance (q-fin.MF)
[6]  arXiv:1908.06207 (cross-list from math.PR) [pdf, ps, other]
Title: On non-uniqueness in mean field games
Comments: Keywords: Mean field game, Entropy solution, master equation, Nash equilibrium, Non-uniqueness
Subjects: Probability (math.PR); Optimization and Control (math.OC); Mathematical Finance (q-fin.MF)

Mon, 19 Aug 2019

[7]  arXiv:1908.05850 [pdf, ps, other]
Title: Linear Stochastic Dividend Model
Authors: Sander Willems
Subjects: Mathematical Finance (q-fin.MF); Computational Finance (q-fin.CP); Pricing of Securities (q-fin.PR)

Thu, 15 Aug 2019

[8]  arXiv:1908.04837 [pdf, other]
Title: The implied Sharpe ratio
Comments: 22 pages, 6 figures
Subjects: Mathematical Finance (q-fin.MF)
[9]  arXiv:1908.05200 (cross-list from q-fin.RM) [pdf, other]
Title: Nonparametric modeling cash flows of insurance company
Comments: 24 pages, 9 figures
Subjects: Risk Management (q-fin.RM); Mathematical Finance (q-fin.MF)
[ total of 9 entries: 1-9 ]
[ showing up to 25 entries per page: fewer | more ]

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