yusuke1997/dblp-id-title huggingface dataset:
Automatic sequences and the Glaisher-Kinkelin constant
Necessary and sufficient conditions for functions involving the tri- and tetra-gamma functions to be completely monotonic
On the number of k -powers in a finite word
Positivity of Szegö's rational function
Hopf algebras of m -permutations, ( m + 1)-ary trees, and m -parking functions
The free tangent law
Combinatorial Addition Formulas and Applications
MacMahon's Partition Analysis: VIII. Plane Partition Diamonds
Polynomial reduction for holonomic sequences and applications in π -series and congruences
Sandpile groups and the coeulerian property for random directed graphs
On the dynamics of cellular automata induced from a prefix code
SL(n) contravariant function-valued valuations on polytopes
Connectivity of old and new models of friends-and-strangers graphs
Constructing a 3-tree for a 3-connected matroid
The Kazhdan-Lusztig polynomials of uniform matroids
Universal labeling algebras as invariants of layered graphs
Binomial edge ideals and conditional independence statements
Triangle-free triangulations
Stereologically adapted Crofton formulae for tensor valuations
A Whitney polynomial for hypermaps
Undecidability in matrices over Laurent polynomials
Higher-dimensional Dedekind sums and their bounds arising from the discrete diagonal of the n -cube
Asymptotically optimal matrix codes with Hamming and rank distances
Factorisation of the complete graph into spanning regular factors
The combinatorics of Al-Salam-Chihara q -Laguerre polynomials
Non-commutative friezes and their determinants, the non-commutative Laurent phenomenon for weak friezes, and frieze gluing
q -Deformations in the modular group and of the real quadratic irrational numbers
Asymptotic relations in the Askey scheme for hypergeometric orthogonal polynomials
Effective generation of subjectively random binary sequences
Differential algebra structures on families of trees
An analogue of the Harer-Zagier formula for unicellular maps on general surfaces
Some binomial series obtained by the WZ-method
The number of spanning trees of the Bruhat graph
On regression adjustments to experimental data
Branching formula for q -Littlewood-Richardson coefficients
The computational complexity of calculating partition functions of optimal medians with Hamming distance
An involution on restricted Laguerre histories and its applications
The planar L p -Minkowski problem for 0 < p < 1
Uniquely pressable graphs: Characterization, enumeration, and recognition
Pseudo-cones
The number of parking functions with center of a given length
The gerrymander sequence, or A348456
Lattice paths and the Rogers-Ramanujan-Gordon type theorems with parity considerations
New families of mock theta functions and partial fraction decomposition
A study on T-equivalent graphs
Extended Schur functions and bases related by involutions
Hardy-Weinberg Theory for Tetraploidy with Mixed Mating
How not to characterize planar-emulable graphs
Geometric analysis on generalized Hermite operators
Maximal 0-1-fillings of moon polyominoes with restricted chain lengths and rc-graphs
Some results on the structure of unary unambiguous automata
The Orlicz chord Minkowski problem for general measures
Some interlacing properties related to the Eulerian and derangement polynomials
Equivalence classes of lower and upper descent weak Bruhat intervals
A clustering algorithm for huge trees
An inhomogeneous multispecies TASEP on a ring
On factor-free Dyck words with half-integer slope
Multilevel Monte Carlo Quadrature of Discontinuous Payoffs in the Generalized Heston Model Using Malliavin Integration by Parts
Interpolation Schemes in the Displaced-Diffusion LIBOR Market Model
The Existence of Optimal Bang-Bang Controls for GMxB Contracts
Double-Execution Strategies Using Path Signatures
Generalized Arbitrage-Free SVI Volatility Surfaces
Density Approach in Modeling Successive Defaults
Hedging of Claims with Physical Delivery under Convex Transaction Costs
On the Robustness of the Snell Envelope
Shortfall Aversion on a Finite Horizon
Primal and Dual Pricing of Multiple Exercise Options in Continuous Time
A Robust Markowitz Mean-Variance Portfolio Selection Model with an Intractable Claim
Short Communication: The Price of Information
Partial Hedging in Rough Volatility Models
The Smile of Certain Lévy-Type Models
Short Communication: Chances for the Honest in Honest versus Insider Trading
When Capital Is a Funding Source: The Anticipated Backward Stochastic Differential Equations of X-Value Adjustments
Anomalous Diffusions in Option Prices: Connecting Trade Duration and the Volatility Term Structure
Stochastic Evolution Equations for Large Portfolios of Stochastic Volatility Models
Asymptotic Behavior of the Fractional Heston Model
Short Communication: Stability of Time-Inconsistent Stopping for One-Dimensional Diffusions
The Formation of Financial Bubbles in Defaultable Markets
Optimal Brokerage Contracts in Almgren-Chriss Model with Multiple Clients
Wavelet-Based Methods for High-Frequency Lead-Lag Analysis
Risk Aversion in Regulatory Capital Principles
Robust Pricing and Hedging of Options on Multiple Assets and Its Numerics
Optimal Portfolio Liquidation with Execution Cost and Risk
Estimation of Asset Distributions from Option Prices: Analysis and Regularization
Robust Portfolio Choice with Sticky Wages
How Superadditive Can a Risk Measure Be?
Small-Time Asymptotics under Local-Stochastic Volatility with a Jump-to-Default: Curvature and the Heat Kernel Expansion
Low-Dimensional Approximations of High-Dimensional Asset Price Models
A Pricing Measure to Explain the Risk Premium in Power Markets
Geometric Characterization of Maximum Diversification Return Portfolio via Rao's Quadratic Entropy
Properties of American Volatility Options in the Mean-Reverting 3/2 Volatility Model
Maturity-Independent Risk Measures
Time Dependent Heston Model
Computation of Robust Option Prices via Structured Multimarginal Martingale Optimal Transport
Expected Utility Maximization with Stochastic Dominance Constraints in Complete Markets
Markowitz Portfolio Selection for Multivariate Affine and Quadratic Volterra Models
High Order Approximations and Simulation Schemes for the Log-Heston Process
A Multifactor Polynomial Framework for Long-Term Electricity Forwards with Delivery Period
Affine Point Processes and Portfolio Credit Risk
On Suboptimality of Delta Hedging for Asian Options
Asymptotic Analysis of Stock Price Densities and Implied Volatilities in Mixed Stochastic Models
Pricing Discretely Monitored Asian Options by Maturity Randomization
Stochastic Gradient Descent in Continuous Time
Short Communication: Revisiting the Automatic Fatou Property of Law-Invariant Functionals
Tail Optimality and Preferences Consistency for Intertemporal Optimization Problems
Short Communication: Beyond Surrogate Modeling: Learning the Local Volatility via Shape Constraints
Utility Maximization in Multivariate Volterra Models
Central Limit Theorems for Price-Mediated Contagion in Stochastic Financial Networks
An Optimal Investment Problem with Nonsmooth and Nonconcave Utility over a Finite Time Horizon
Short Communication: Finding the Nonnegative Minimal Solutions of Cauchy PDEs in a Volatility-Stabilized Market
A Correction Note for Price Dynamics in a Markovian Limit Order Market
Robust Portfolio Selection under Recovery Average Value at Risk
Optimal Initiation of Guaranteed Lifelong Withdrawal Benefit with Dynamic Withdrawals
Variational Formulation of American Option Prices in the Heston Model
Risk Measures beyond Frictionless Markets
Discrete Tenor Models for Credit Risky Portfolios Driven by Time-Inhomogeneous Lévy Processes
A Unified Approach to xVA with CSA Discounting and Initial Margin
The Robust Superreplication Problem: A Dynamic Approach
Interest Rates Term Structure Models Driven by Hawkes Processes
On Regularity of Primal and Dual Dynamic Value Functions Related to Investment Problems and Their Representations as Backward Stochastic PDE Solutions
Optimal Execution with Quadratic Variation Inventories
Stochastic Volatility Asymptotics for Optimal Subsistence Consumption and Investment with Bankruptcy
Static Hedging under Time-Homogeneous Diffusions
Merton's Optimal Investment Problem with Jump Signals
Bayesian Estimation and Optimization for Learning Sequential Regularized Portfolios
Default Intensities Implied by CDO Spreads: Inversion Formula and Model Calibration
Optimal Dynamic Reinsurance Under Heterogeneous Beliefs and CARA Utility
Short Communication: A Groundwater Market Model
Dirichlet Forms and Finite Element Methods for the SABR Model
Portfolio Selection Using Tikhonov Filtering to Estimate the Covariance Matrix
Decentralized Finance and Automated Market Making: Predictable Loss and Optimal Liquidity Provision
Asymptotic Approximations for Asian, European, and American Options with Discrete Averaging or Discrete Dividend/Coupon Payments
Duality Formulas for Robust Pricing and Hedging in Discrete Time
An Affine Multicurrency Model with Stochastic Volatility and Stochastic Interest Rates
Short-Term At-the-Money Asymptotics under Stochastic Volatility Models
On the Curvature of the Smile in Stochastic Volatility Models
Adjoint Expansions in Local Lévy Models
Optimal Execution with Dynamic Order Flow Imbalance
Smooth Value Functions for a Class of Nonsmooth Utility Maximization Problems
A Finite-Dimensional Approximation for Pricing Moving Average Options
On Hedging American Options under Model Uncertainty
Uniform Bounds for Black-Scholes Implied Volatility
Portfolio Optimization for a Large Investor Controlling Market Sentiment Under Partial Information
Forward Utility and Market Adjustments in Relative Investment-Consumption Games of Many Players
Multi-asset Optimal Execution and Statistical Arbitrage Strategies under Ornstein-Uhlenbeck Dynamics
Dynamic Hedging of Portfolio Credit Derivatives
A Probabilistic Numerical Method for Optimal Multiple Switching Problems in High Dimension
Short Communication: On the Separability of Vector-Valued Risk Measures
Mixing LSMC and PDE Methods to Price Bermudan Options
Time-Consistent Reinforcement Learning for Optimal Consumption Under Epstein-Zin Preferences
Convex Ordering for Stochastic Control: The (Path Dependent) Swing Contracts Case
Quadratic Transform Approximation for CDO Pricing in Multifactor Models
Is the Minimum Value of an Option on Variance Generated by Local Volatility?
Pricing Options under Rough Volatility with Backward SPDEs
Short Communication: An Integral Equation in Portfolio Selection with Time-Inconsistent Preferences
Analytical Approximations of BSDEs with Nonsmooth Driver
Convergence of Price and Sensitivities in Carr's Randomization Approximation Globally and Near Barrier
Short Communication: Robust Market-Adjusted Systemic Risk Measures
Conditionally Elicitable Dynamic Risk Measures for Deep Reinforcement Learning
Equilibrium Strategies for Alpha-Maxmin Expected Utility Maximization
Financial Asset Bubbles in Banking Networks
Risk Measures and Progressive Enlargement of Filtration: A BSDE Approach
Equilibrium Pricing Under Relative Performance Concerns
Construction of a Third-Order K-Scheme and Its Application to Financial Models
Modeling the Variance Risk Premium of Equity Indices: The Role of Dependence and Contagion
A Free Boundary Problem for Corporate Bond Pricing and Credit Rating Under Different Upgrade and Downgrade Thresholds
Competition in Fund Management and Forward Relative Performance Criteria
Generalizations of Functionally Generated Portfolios with Applications to Statistical Arbitrage
Portfolio Optimization within a Wasserstein Ball
Weighted Elastic Net Penalized Mean-Variance Portfolio Design and Computation
Managing Default Contagion in Inhomogeneous Financial Networks
Short Communication: Pricing Path-Dependent Derivatives under Multiscale Stochastic Volatility Models: A Malliavin Representation
Solving Backward Stochastic Differential Equations Using the Cubature Method: Application to Nonlinear Pricing
Approximation Rates for Deep Calibration of (Rough) Stochastic Volatility Models
Multilevel Monte Carlo Method for Path-Dependent Barrier Interest Rate Derivatives
Signature Volatility Models: Pricing and Hedging with Fourier
Multiagent Relative Investment Games in a Jump Diffusion Market with Deep Reinforcement Learning Algorithm
Trading Foreign Exchange Triplets
Pricing Bermudan Options in Lévy Process Models
Optimal Diversification in the Presence of Parameter Uncertainty for a Risk Averse Investor
Beating a Benchmark: Dynamic Programming May Not Be the Right Numerical Approach
Optimal Dividend Problem: Asymptotic Analysis
Log-Modulated Rough Stochastic Volatility Models
Reconciling Rough Volatility with Jumps
Optimal Hedging of a Perpetual American Put with a Single Trade
Central Clearing Valuation Adjustment
Contingent Convertible Obligations and Financial Stability
A Stochastic Partial Differential Equation Model for Limit Order Book Dynamics
Mean-Variance Portfolio Selection in Contagious Markets
Multifactor Approximation of Rough Volatility Models
Asymptotics of Forward Implied Volatility
Portfolio Optimization under Local-Stochastic Volatility: Coefficient Taylor Series Approximations and Implied Sharpe Ratio
Valuation and Parities for Exchange Options
Optimal Make-Take Fees in a Multi Market-Maker Environment
The Critical Price of the American Put Near Maturity in the Jump Diffusion Model
Optimal Portfolio for the α-Hypergeometric Stochastic Volatility Model
Saddlepoint Approximations for Expectations and an Application to CDO Pricing
Short Maturity Asian Options in Local Volatility Models
The Small-Maturity Heston Forward Smile
Erratum: Stochastic Evolution Equations for Large Portfolios of Stochastic Volatility Models
Optimal Clearing Payments in a Financial Contagion Model
Real Options Games in Complete and Incomplete Markets with Several Decision Makers
Duesenberry Equilibrium and Heterogenous Agents
Option Pricing in a One-Dimensional Affine Term Structure Model via Spectral Representations
An Explicit Euler Scheme with Strong Rate of Convergence for Financial SDEs with Non-Lipschitz Coefficients
On Conditioning and Consistency for Nonlinear Functionals
Portfolio Selection with Small Transaction Costs and Binding Portfolio Constraints
Analysis of Optimal Portfolio on Finite and Small-Time Horizons for a Stochastic Volatility Market Model
Characteristics and Constructions of Default Times
Portfolio Optimization in Fractional and Rough Heston Models
Normal Tempered Stable Processes and the Pricing of Energy Derivatives
Law-Invariant Functionals on General Spaces of Random Variables
Liquidity Based Modeling of Asset Price Bubbles via Random Matching
A Mean Field Game between Informed Traders and a Broker
Calibration of the Bass Local Volatility Model
Optimal Hedging Under Fast-Varying Stochastic Volatility
Statistically Consistent Term Structures Have Affine Geometry
Time-Coherent Risk Measures for Continuous-Time Markov Chains
The Checkerboard Copula and Dependence Concepts
BSDEs, Càdlàg Martingale Problems, and Orthogonalization under Basis Risk
A Weak Law of Large Numbers for a Limit Order Book Model with Fully State Dependent Order Dynamics
An Efficient Transform Method for Asian Option Pricing
The Markowitz Category
Model Uncertainty: A Reverse Approach
Optimal Order Scheduling for Deterministic Liquidity Patterns
Short Communication: Sensitivity Analysis of an Integrated Climate-Economic Model
A Stochastic Model of Optimal Debt Management and Bankruptcy
Filtering Response Directions
Shapes of Implied Volatility with Positive Mass at Zero
Hedge and Speculate: Replicating Option Payoffs with Limit and Market Orders
Robust No Arbitrage of the Second Kind with a Continuum of Assets and Proportional Transaction Costs
A Numerical Scheme for the Quantile Hedging Problem
Carbon Neutrality and Net-Zero Regulation
Short Communication: Exponential Utility Maximization in a Discrete Time Gaussian Framework
The Dispersion Bias
Pricing and Hedging in Affine Models with Possibility of Default
A Mean Field Game Approach to Bitcoin Mining
Message From the Editors-in-Chief
The Effect of Nonsmooth Payoffs on the Penalty Approximation of American Options
An Asymptotic Expansion with Push-Down of Malliavin Weights
Modelling Bid and Ask Prices Using Constrained Hawkes Processes: Ergodicity and Scaling Limit
Effects of Positive Jumps of Assets on Endogenous Bankruptcy and Optimal Capital Structure: Continuous- and Periodic-Observation Models
Weak Convergence of Path-Dependent SDEs in Basket Credit Default Swap Pricing with Contagion Risk
Minimizing the Expected Market Time to Reach a Certain Wealth Level
The Stability of the Constrained Utility Maximization Problem: A BSDE Approach
Variance Swaps on Defaultable Assets and Market Implied Time-Changes
Lévy-Based Cross-Commodity Models and Derivative Valuation
On the Harmonic Mean Representation of the Implied Volatility
An Analytical Valuation Framework for Financial Assets with Trading Suspensions
A Mean-Field Game of Market-Making against Strategic Traders
Option Pricing for Stochastic Volatility Models: Vol-of-Vol Expansion
Purchasing Term Life Insurance to Reach a Bequest Goal while Consuming
Stochastic Control of Optimized Certainty Equivalents
Optimal Liquidation in a Level-I Limit Order Book for Large-Tick Stocks
Short Communication: American Student Loans: Repayment and Valuation
Pricing and Hedging of Cliquet Options and Locally Capped Contracts
Short Communication: Dynamic Default Contagion in Heterogeneous Interbank Systems
Short Communication: Mean-Stochastic-Dominance Portfolio Selection in Continuous Time
Time-Consistent Portfolio Management
Optimal Dividend Distribution Under Drawdown and Ratcheting Constraints on Dividend Rates
Short Communication: A Note on Utility Indifference Pricing with Delayed Information
Common Forward Rate Volatility
Brownian Path Generation and Polynomial Chaos
Approximation for Option Prices under Uncertain Volatility
Worst-Case Range Value-at-Risk with Partial Information
Stochastic Finite Differences and Multilevel Monte Carlo for a Class of SPDEs in Finance
Calibration of a Hybrid Local-Stochastic Volatility Stochastic Rates Model with a Control Variate Particle Method
Option Pricing in Hilbert Space-Valued Jump-Diffusion Models Using Partial Integro-Differential Equations
Local Volatility, Conditioned Diffusions, and Varadhan's Formula
Exact Smooth Term-Structure Estimation
Malliavin Calculus Method for Asymptotic Expansion of Dual Control Problems
Dynamics of Bankrupt Stocks
Short Communication: Radner Equilibrium with Population Growth
Equilibrium Strategies for the Mean-Variance Investment Problem over a Random Horizon
Valuation Equations for Stochastic Volatility Models
Convex Order of Discrete, Continuous, and Predictable Quadratic Variation and Applications to Options on Variance
On the Discrete-Time Simulation of the Rough Heston Model
Endogenous Noise Trackers in a Radner Equilibrium
Inferring Relative Ability from Winning Probability in Multientrant Contests
Should Commodity Investors Follow Commodities' Prices?
Optimal Stopping for Exponential Lévy Models with Weighted Discounting
Robust Control Problems of BSDEs Coupled with Value Functions
Short Communication: Projection of Functionals and Fast Pricing of Exotic Options
Short Communication: Cone-Constrained Monotone Mean-Variance Portfolio Selection under Diffusion Models
Risk-Neutral Density Recovery via Spectral Analysis
On the Estimation of Jump-Diffusion Models Using Intraday Data: A Filtering-Based Approach
Short Communication: Minimal Quantile Functions Subject to Stochastic Dominance Constraints
Exploratory Control with Tsallis Entropy for Latent Factor Models
Short Communication: The Birth of (a Robust) Arbitrage Theory in de Finetti's Early Contributions
Optimal Discretization of Hedging Strategies with Directional Views
An Option to Reduce Transaction Costs
Detecting Data-Driven Robust Statistical Arbitrage Strategies with Deep Neural Networks
High Frequency Trading and Asymptotics for Small Risk Aversion in a Markov Renewal Model
Sequential Design for Optimal Stopping Problems
Explicit Constructions of Martingales Calibrated to Given Implied Volatility Smiles
A Fourier-Based Valuation Method for Bermudan and Barrier Options under Heston's Model
A Game Theoretical Approach to Homothetic Robust Forward Investment Performance Processes in Stochastic Factor Models
Short Communication: A Quantum Algorithm for Linear PDEs Arising in Finance
Nonquadratic Local Risk-Minimization for Hedging Contingent Claims in Incomplete Markets
Optimal Trading with Signals and Stochastic Price Impact
Optimal Trade Execution for Time-Inconsistent Mean-Variance Criteria and Risk Functions
Forward Exponential Performances: Pricing and Optimal Risk Sharing
Characterization of Optimal Strategy for Multiasset Investment and Consumption with Transaction Costs
On the Level-Slope-Curvature Effect in Yield Curves and Eventual Total Positivity
Consistent Pricing of Options on Leveraged ETFs
Parisian Option Pricing: A Recursive Solution for the Density of the Parisian Stopping Time
On the Realized Risk of High-Dimensional Markowitz Portfolios
Parametrix Approximation of Diffusion Transition Densities
Optimal Mortgage Prepayment Under the Cox-Ingersoll-Ross Model
Escrow and Clawback
Portfolio Selection with Multiple Spectral Risk Constraints
An Exact Connection between Two Solvable SDEs and a Nonlinear Utility Stochastic PDE
Short Communication: A Note on Utility Maximization with Proportional Transaction Costs and Stability of Optimal Portfolios
Kelly Criterion: From a Simple Random Walk to Lévy Processes
Quasi-Self-Dual Exponential Lévy Processes
Long-Term Optimal Investment in Matrix Valued Factor Models
Relative Growth Rate Optimization Under Behavioral Criterion
Construction of Mean-Self-Financing Strategies for European Options under Regime-Switching
Weak Kyle-Back Equilibrium Models for Max and ArgMax
A Bridge between American and European Options: The "Ameripean" Delayed-Exercise Model
Solvable Diffusion Models with Linear and Mean-Reverting Nonlinear Drifts
Mean Field Game of Mutual Holding with Common Noise
On the Use of Policy Iteration as an Easy Way of Pricing American Options
American Options in the Volterra Heston Model
Efficient Pricing of European-Style Asian Options under Exponential Lévy Processes Based on Fourier Cosine Expansions
Representations for Optimal Stopping under Dynamic Monetary Utility Functionals
Stochastic Evolution Equations in Portfolio Credit Modelling
General Smile Asymptotics with Bounded Maturity
Joint Modeling and Calibration of SPX and VIX by Optimal Transport
Risk-Neutral Pricing of Financial Instruments in Emission Markets: A Structural Approach
Small-Time Asymptotics for Basket Options - the Bivariate SABR Model and the Hyperbolic Heat Kernel on ℍ 3
Storage Costs in Commodity Option Pricing
Time-Inconsistent Mean Field and \({n}\)-Agent Games under Relative Performance Criteria
Option Pricing in Sandwiched Volterra Volatility Model
Volatility Parametrizations with Random Coefficients: Analytic Flexibility for Implied Volatility Surfaces
A Nonuniformly Integrable Martingale Bubble with a Crash
Dual Representation of Quasi-convex Conditional Maps
An Optimal Dividend and Investment Control Problem under Debt Constraints
Robustness of Delta Hedging in a Jump-Diffusion Model
Multivariate Extension of Put-Call Symmetry
On the Microstructural Hedging Error
Path-Dependent Deep Galerkin Method: A Neural Network Approach to Solve Path-Dependent Partial Differential Equations
Regularity of the Exercise Boundary for American Put Options on Assets with Discrete Dividends
Binomial-Tree Approximation for Time-Inconsistent Stopping
Liquidity Induced Asset Bubbles via Flows of ELMMs
Relative Wealth Concerns with Partial Information and Heterogeneous Priors
Time-Consistent Portfolio Selection under Short-Selling Prohibition: From Discrete to Continuous Setting
Stability and Analytic Expansions of Local Solutions of Systems of Quadratic BSDEs with Applications to a Price Impact Model
Short Communication: Super-Replication Prices with Multiple Priors in Discrete Time
Rational Models for Inflation-Linked Derivatives
Short Communication: Equilibrium Mean-Variance Dividend Rate Strategies
Game Options in an Imperfect Market with Default