299 records
- Comparing tail forecasts: the number of exceedances is the sample size
- Calibration of Passive Market Impact with a Queue-Sensitive Propagator Model
- Orthogonal Inference for Conditional Z-Estimation without Cross-Fitting: A Distributional Nearest-Neighbor Approach
- Bias Correction and Inference for Panel Quantile Regression
- Martingality in EFM Signature Volatility Models
- Optimal ratcheting dividend policies with resets
- Jensen gaps and the decomposition principle
- On the continuity of conditional distributions and stratification for derivative pricing
- A Stationary Mean-Field Model for Carbon Market Stability Reserve
- Multiple Stopping and Exercise Boundaries for American Put Options
- Mimicking Volatilities under Marginal Constraints via $q_x$-Bass Martingales: A Parallel Computing Approach
- Dynamics of the Liquidity Profile in Concentrated Liquidity Provision: An SPIDE Approach
- Theoretical Foundations of Sequential Dynamic Programming
- DSINC beyond Heston: the 3/2 and other non-affine stochastic-volatility models
- Optimal Trading Filters and the Value of Predictive Signals
- On the skew-curvature power law relationship in a stochastic volatility model with infinite variation Lévy jumps
- From Alpha to Execution: Trading Horizons, Regimes, and Schedules under Concave Impact and Hurst Scaling
- A Pricing and Hedging Framework for Infinite-Dimensional Financial Markets
- Feeling the generalised rough SABR boundary
- Interior smoothness and zero-variance geometry for finite-maturity Heston American puts
- Long Term Pediatric Vaccine Tender Scheduling with Quantity Discounts
- A Mean Field Model of Consumption Inertia and Keeping Up with the Joneses
- GROMM: Generative Risk-neutral Option Market Models
- Ex Ante and Scenario-Conditional Value of Information in Dynamic Portfolio Choice
- Weighted selection from elliptical distributions: a stochastic representation and an application to portfolio separation
- Multi-period Mean-Expectile Portfolio Optimization under Wasserstein Ambiguity: Reformulation, Degeneracy and the Role of the Ground Metric
- Risk-minimizing GUE-implementations of truthful reporting in a Dynamic Social Choice Problem
- Climate Cooperation and Spatial Industrial Relocation: Stability, Emissions, and Regional Policy Incentives
- Vine Copula VAR:From Recursive Margins to Joint Forecast Inference
- Exponential investors with weakly mean-reverting prices
- Large player classes and approximately weighted voting
- Retirement Planning with Minimum Guarantees for Both Beneficiaries and Fund Managers
- Buying at Support: The Entry Problem under Multi-Skew Brownian Motion
- Monderer–Shapley Exact-Potential Characterization
- Optimal Information and Concavification in Bayesian Persuasion
- Milgrom–Shannon's Monotonicity Theorem: the Full Characterization
- Falmagne–Block–Marschak Random-Utility Characterization
- Cross-Fitting Under Nonregularity: Normality and Inference via Locality
- Shapley-based Structural Analysis of Neural Calibration for Stochastic Volatility Models
- Cremer-McLean Full Surplus Extraction Theorem
- Finite Bayes Correlated Equilibrium, Information Expansions and Information Order
- Finite Bayesian-to-Dominant-Strategy Equivalence
- On the Pricing of American Options under Stochastic Local Volatility and Stochastic Correlation via the RBSDE Framework
- Strategic Optimization of Bus Systems with Stochastic Ridership
- Expected Utility Regret Rule: Minimax and Bayes Optimal Portfolio Choice
- On the Cardinality of the Smith Set Under Impartial Culture with Many Alternatives
- Rochet's Cyclic-Monotonicity Characterization
- Border's Finite Auction Feasibility Theorem
- Stochastic Knothe-Rosenblatt: Light-speed Calibration of Stochastic Local Volatility Models
- Partial identification with entropy regularized optimal transport