yusuke1997/dblp-id-title huggingface dataset:
Informational Efficiency under Short Sale Constraints
Robust Market Convergence: From Discrete to Continuous Time
Optimal Trade Execution and Absence of Price Manipulations in Limit Order Book Models
Optimal Control of Trading Algorithms: A General Impulse Control Approach
Robust Risk-Aware Reinforcement Learning
Approximating Lévy Semistationary Processes via Fourier Methods in the Context of Power Markets
Optimal Timing to Purchase Options
Constrained Monotone Mean-Variance Problem with Random Coefficients
On the Rate of Convergence of Estimating the Hurst Parameter of Rough Stochastic Volatility Models
Convergence by Viscosity Methods in Multiscale Financial Models with Stochastic Volatility
Optimal Portfolio under Fast Mean-Reverting Fractional Stochastic Environment
Regression-Based Complexity Reduction of the Nested Monte Carlo Methods
Robust Framework for Quantifying the Value of Information in Pricing and Hedging
Conditional Analysis and a Principal-Agent Problem
Time Consistent Stopping for the Mean-Standard Deviation Problem - The Discrete Time Case
Model-Free Price Bounds Under Dynamic Option Trading
Optimal Dividend Strategy for a General Diffusion Process with Time-Inconsistent Preferences and Ruin Penalty
Low-Rank Tensor Approximation for Chebyshev Interpolation in Parametric Option Pricing
Convex Risk Measures for Càdlàg Processes on Orlicz Hearts
Model Uncertainty in Commodity Markets
Optimal Execution with Multiplicative Price Impact
Analysis of Bank Leverage via Dynamical Systems and Deep Neural Networks
Series Expansions and Direct Inversion for the Heston Model
Dimension Reduction in Discrete Time Portfolio Optimization with Partial Information
Magic Points in Finance: Empirical Integration for Parametric Option Pricing
Performance Fees with Stochastic Benchmark
Jump Diffusion Approximation for the Price Dynamics of a Fully State Dependent Limit Order Book Model
Optimal Contract for a Fund Manager with Capital Injections and Endogenous Trading Constraints
Local Volatility Enhanced by a Jump to Default
On CIR Equations with General Factors
Uniswap V3: Impermanent Loss Modeling and Swap Fees Asymptotic Analysis
On the Convergence of Higher Order Hedging Schemes: The Delta-Gamma Case
A Two-Person Zero-Sum Game Approach for a Retirement Decision with Borrowing Constraints
Control of Interbank Contagion Under Partial Information
Asian Options for Local-Stochastic Volatility Models in the Short-Maturity Regime
Optimization of Fire Sales and Borrowing in Systemic Risk
A Scaling Limit for Limit Order Books Driven by Hawkes Processes
Power Mixture Forward Performance Processes
Short Communication: A Gaussian Kusuoka Approximation without Solving Random ODEs
Generalized Optimized Certainty Equivalent with Applications in the Rank-Dependent Utility Model
Asymptotics for Rough Stochastic Volatility Models
Derivatives Pricing in Energy Markets: An Infinite-Dimensional Approach
Trading to Stops
Reward Design in Risk-Taking Contests
Optimal Signal-Adaptive Trading with Temporary and Transient Price Impact
The Shadow Price of Latency: Improving Intraday Fill Ratios in Foreign Exchange Markets
Approaches to Conditional Risk
Implied Volatility in Strict Local Martingale Models
A Backward Dual Representation for the Quantile Hedging of Bermudan Options
A Deep Solver for BSDEs with Jumps
Dispersion-Constrained Martingale Schrödinger Bridges: Joint Entropic Calibration of Stochastic Volatility Models to S&P 500 and VIX Smiles
Multiple Anchor Point Shrinkage for the Sample Covariance Matrix
Fully Dynamic Risk Measures: Horizon Risk, Time-Consistency, and Relations with BSDEs and BSVIEs
On Controller-Stopper Problems with Jumps and Their Applications to Indifference Pricing of American Options
Optimal Trading Policies for Wind Energy Producer
Optimal Investment with Risk Controlled by Weighted Entropic Risk Measures
How Rough Path Lifts Affect Expected Return and Volatility: A Rough Model under Transaction Cost
Optimal Cross-Border Electricity Trading
No Arbitrage SVI
Time-Consistent Mean-Variance Pairs-Trading Under Regime-Switching Cointegration
Stackelberg Reinsurance and Premium Decisions with MV Criterion and Irreversibility
Duality in a Problem of Static Partial Hedging under Convex Constraints
Recover Dynamic Utility from Observable Process: Application to the Economic Equilibrium
Dynamic Portfolio Execution and Information Relaxations
A Feedback Model for the Financialization of Commodity Markets
A General Valuation Framework for SABR and Stochastic Local Volatility Models
Insiders and Their Free Lunches: The Role of Short Positions
Reduced Basis Methods for Pricing Options with the Black-Scholes and Heston Models
Affine LIBOR Models with Multiple Curves: Theory, Examples and Calibration
Fully-Dynamic Risk-Indifference Pricing and No-Good-Deal Bounds
A Sparse Learning Approach to Relative-Volatility-Managed Portfolio Selection
Robust Numerical Calibration for Implied Volatility Expansion Models
Utility Maximization When Shorting American Options
Large Deviations for a Mean Field Model of Systemic Risk
Shortfall Risk Minimization in Discrete Time Financial Market Models
Algorithmic Trading with Model Uncertainty
A Flexible Galerkin Scheme for Option Pricing in Lévy Models
Extensions of Dupire Formula: Stochastic Interest Rates and Stochastic Local Volatility
The Randomized Heston Model
Sub- and Supersolution Approach to Accuracy Analysis of Portfolio Optimization Asymptotics in Multiscale Stochastic Factor Markets
Stochastic Switching Games and Duopolistic Competition in Emissions Markets
Rank-Dependent Utility and Risk Taking in Complete Markets
Pricing Bermudan Options Using Regression Trees/Random Forests
A Random-Supply Mean Field Game Price Model
The Impact of Proportional Transaction Costs on Systematically Generated Portfolios
The VIX Future in Bergomi Models: Fast Approximation Formulas and Joint Calibration with S&P 500 Skew
Continuous-Time Markowitz's Model with Transaction Costs
Brokers and Informed Traders: Dealing with Toxic Flow and Extracting Trading Signals
Merton Problem with Taxes: Characterization, Computation, and Approximation
Nonasymptotic Estimation of Risk Measures Using Stochastic Gradient Langevin Dynamics
Gradient-Enhanced Sparse Hermite Polynomial Expansions for Pricing and Hedging High-Dimensional American Options
Spectral Decomposition of Option Prices in Fast Mean-Reverting Stochastic Volatility Models
Trading Fractional Brownian Motion
On Smile Properties of Volatility Derivatives: Understanding the VIX Skew
Optimal Execution in a General One-Sided Limit-Order Book
Dynamic Conic Finance via Backward Stochastic Difference Equations
Perpetual American Standard and Lookback Options with Event Risk and Asymmetric Information
A Variational Approach to Contracting under Imperfect Observations
Arbitrage and Hedging in Model-Independent Markets with Frictions
Stability of the Indirect Utility Process
Principal Eigenportfolios for U.S. Equities
A Fast Mean-Reverting Correction to Heston's Stochastic Volatility Model
Resolution of Degeneracy in Merton's Portfolio Problem
Model-Free Portfolio Theory and Its Functional Master Formula
Utility Maximization Trading Two Futures with Transaction Costs
Explicit Computations for Delayed Semistatic Hedging
Optimal Investment with High-Watermark Fee in a Multidimensional Jump Diffusion Model
A Risk-Sharing Framework of Bilateral Contracts
Optimal Market Making with Persistent Order Flow
Optimal Exercise of Swing Contracts in Energy Markets: An Integral Constrained Stochastic Optimal Control Problem
Option Pricing in Multivariate Stochastic Volatility Models of OU Type
Maximization of Recursive Utilities: A Dynamic Maximum Principle Approach
Pricing High-Dimensional Bermudan Options with Hierarchical Tensor Formats
Large Deviation Principle for Stochastic Differential Equations Driven by Stochastic Integrals
Optimal Convergence Rate of the Binomial Tree Scheme for American Options with Jump Diffusion and Their Free Boundaries
Discrete Time Term Structure Theory and Consistent Recalibration Models
Signature Methods in Stochastic Portfolio Theory
Modeling the Forward Surface of Mortality
Multivariate Shortfall Risk Allocation and Systemic Risk
On the Difference Between the Volatility Swap Strike and the Zero Vanna Implied Volatility
Efficient Simulation and Calibration of General HJM Models by Splitting Schemes
A Structural Jump Threshold Framework for Credit Risk
Mean-Quadratic Variation Portfolio Optimization: A Desirable Alternative to Time-Consistent Mean-Variance Optimization?
Continuity Correction for Barrier Options in Jump-Diffusion Models
Suffocating Fire Sales
Optimal Consumption and Sale Strategies for a Risk Averse Agent
Systemic Risk in Interbanking Networks
Optimal Execution with Rough Path Signatures
An Approximation Scheme for Solution to the Optimal Investment Problem in Incomplete Markets
Hedging Under an Expected Loss Constraint with Small Transaction Costs
Order Book Queue Hawkes Markovian Modeling
Processes of Class Sigma, Last Passage Times, and Drawdowns
A Machine Learning Approach to Adaptive Robust Utility Maximization and Hedging
Optimal Trade Execution in an Order Book Model with Stochastic Liquidity Parameters
Optimal Loss Reporting in Continuous Time with Full Insurance
Collective Free Lunch and the FTAP
Optimal Investment with Time-Varying Stochastic Endowments
Volatility Options in Rough Volatility Models
Short Communication: On the Weak Convergence Rate in the Discretization of Rough Volatility Models
Discrete Bidding Strategies for a Random Incoming Order
Ergodicity and Diffusivity of Markovian Order Book Models: A General Framework
On Balanced Growth Path Solutions of a Knowledge Diffusion and Growth Model
Gaussian Volterra Processes as Models of Electricity Markets
Capital Growth and Survival Strategies in a Market with Endogenous Prices
Short-Time Expansions for Call Options on Leveraged ETFs Under Exponential Lévy Models with Local Volatility
A Mathematical Framework for Modeling Order Book Dynamics
Callable Convertible Bonds Under Liquidity Constraints and Hybrid Priorities
Arbitrage Opportunities in Misspecified Stochastic Volatility Models
Dynamic Contracting: Accidents Lead to Nonlinear Contracts
A Neural Network Approach to High-Dimensional Optimal Switching Problems with Jumps in Energy Markets
The Small-Maturity Smile for Exponential Lévy Models
Optimal Dual Martingales, Their Analysis, and Application to New Algorithms for Bermudan Products
Pricing Arithmetic Asian Options Under Lévy Models by Backward Induction in the Dual Space
Robust Hedging of Double Touch Barrier Options
Optimal Split of Orders Across Liquidity Pools: A Stochastic Algorithm Approach
A Theoretical Analysis of Guyon's Toy Volatility Model
Simulation of Implied Volatility Surfaces via Tangent Lévy Models
Well-Posedness and Stability Analysis of Two Classes of Generalized Stochastic Volatility Models
The Best Gain-Loss Ratio is a Poor Performance Measure
Separability Versus Robustness of Orlicz Spaces: Financial and Economic Perspectives
Short-Maturity Asymptotics for a Fast Mean-Reverting Heston Stochastic Volatility Model
Order Book Resilience, Price Manipulation, and the Positive Portfolio Problem
Risk-Minimization for Life Insurance Liabilities
Short Communication: Monte Carlo Expected Wealth and Risk Measure Trade-Off Portfolio Optimization
Short Communication: Clearing Prices under Margin Calls and the Short Squeeze
Weak Insider Trading and Behavioral Finance
Long-Time Behavior of a Hawkes Process-Based Limit Order Book
When to Cross the Spread? Trading in Two-Sided Limit Order Books
Optimal Portfolio Liquidation with Limit Orders
Hedging Forward Positions: Basis Risk Versus Liquidity Costs
Realization Utility with Path-Dependent Reference Points
Efficient Option Pricing by Frame Duality with the Fast Fourier Transform
Threshold-Type Policies for Real Options Using Regime-Switching Models
Optimal Trading with Stochastic Liquidity and Volatility
Model-Free Analysis of Dynamic Trading Strategies
Weak Error Rates for Numerical Schemes of Nonsingular Stochastic Volterra Equations with Application to Stochastic Volatility Models
Short Communication: Deep Fundamental Factor Models
A Closed-Form Execution Strategy to Target Volume Weighted Average Price
Optimal Investment with Nonconcave Utilities in Discrete-Time Markets
Optimal Portfolios of Mean-Reverting Instruments
Time-Inconsistency with Rough Volatility
Transaction Costs, Shadow Prices, and Duality in Discrete Time
Systemic Risk in Networks with a Central Node
Large Deviation Principle for Volterra Type Fractional Stochastic Volatility Models
The Impact of Jump Distributions on the Implied Volatility of Variance
Liquidity Suppliers and High Frequency Trading
A Dual Algorithm for Stochastic Control Problems: Applications to Uncertain Volatility Models and CVA
On Robust Fundamental Theorems of Asset Pricing in Discrete Time
Deep Curve-Dependent PDEs for Affine Rough Volatility
Long-Term Optimal Investment with a Generalized Drawdown Constraint
The Relaxed Investor with Partial Information
Dual Valuation and Hedging of Bermudan Options
Short Communication: Caplet Pricing in Affine Models for Alternative Risk-Free Rates
Conditional Systemic Risk Measures
Short Communication: Utility Indifference Pricing with High Risk Aversion and Small Linear Price Impact
Pricing Bermudan Options via Multilevel Approximation Methods
Randomized Optimal Stopping Algorithms and Their Convergence Analysis
Risk-Dependent Centrality in Economic and Financial Networks
Short Communication: Utility-Based Acceptability Indices
Contagion in Financial Systems: A Bayesian Network Approach
Dynamic Portfolio Optimization with Looping Contagion Risk
Numerical Approximation of a Cash-Constrained Firm Value with Investment Opportunities
Convergence of an Euler Scheme for a Hybrid Stochastic-Local Volatility Model with Stochastic Rates in Foreign Exchange Markets
Inventory Management for High-Frequency Trading with Imperfect Competition
Utility Maximization Under Trading Constraints with Discontinuous Utility
Optimal Dividends Under Model Uncertainty
A Subgame Perfect Equilibrium Reinforcement Learning Approach to Time-Inconsistent Problems
May Microcredit Lead to Inclusion?
Optimal Investment and Consumption under a Habit-Formation Constraint
Buy Low, Sell High: A High Frequency Trading Perspective
High-Frequency Limit of Nash Equilibria in a Market Impact Game with Transient Price Impact
Exact and Efficient Simulation of Correlated Defaults
Linking Vanillas and VIX Options: A Constrained Martingale Optimal Transport Problem
Market Making with Exogenous Competition
Optimal Liquidation of an Asset under Drift Uncertainty
Multicausal Transport: Barycenters and Dynamic Matching
Short Communication: A Note on Robust Risk-Sharing with Convex Risk Measures
The Multivariate Kyle Model: More is Different
Portfolio Selection in Contests
Short Communication: Is a Sophisticated Agent Always a Wise One?
Robust Utility Maximization without Model Compactness
Monte Carlo Variance Reduction by Conditioning for Pricing with Underlying a Continuous-Time Finite State Markov Process
Variational Analysis for Options with Stochastic Volatility and Multiple Factors
Closed-Form Asymptotics and Numerical Approximations of 1D Parabolic Equations with Applications to Option Pricing
Default Clustering in Large Pools: Large Deviations
Short Communication: An Axiomatization of $\Lambda$-Quantiles
Convergence of the Backward Deep BSDE Method with Applications to Optimal Stopping Problems
Towards a Computationally Tractable Maximum Entropy Principle for Nonstationary Financial Time Series
Path-Dependence of Leveraged ETF Returns
Real Options Problem with Nonsmooth Obstacle
Good Deal Bounds Induced by Shortfall Risk
Signature-Based Models: Theory and Calibration
Managing Risk with Short-Term Futures Contracts
Market Models with Optimal Arbitrage
Jump-Diffusion Risk-Sensitive Asset Management I: Diffusion Factor Model
Valuation and Hedging of Contracts with Funding Costs and Collateralization
Credit Risk Propagation in Structural-Form Models
On the Distribution of Terminal Wealth under Dynamic Mean-Variance Optimal Investment Strategies
Erratum: The Robust Superreplication Problem: A Dynamic Approach
Black's Inverse Investment Problem and Forward Criteria with Consumption
Conditional Sampling for Barrier Option Pricing under the LT Method
ESO Valuation with Job Termination Risk and Jumps in Stock Price
A Reduced Basis for Option Pricing
Asymptotic Glosten-Milgrom Equilibrium
Metamodel of a Large Credit Risk Portfolio in the Gaussian Copula Model
Portfolio Choice under Space-Time Monotone Performance Criteria
Why Are Quadratic Normal Volatility Models Analytically Tractable?
Cross Currency Valuation and Hedging in the Multiple Curve Framework
Recombining Tree Approximations for Optimal Stopping for Diffusions
Existence and Uniqueness of Viscosity Solutions of an Integro-differential Equation Arising in Option Pricing
Duality for Set-Valued Measures of Risk
Stability in a Model of Interbank Lending
Short Communication: Dynamics of Symmetric SSVI Smiles and Implied Volatility Bubbles
Deep-Learning Solution to Portfolio Selection with Serially Dependent Returns
Functional Portfolio Optimization in Stochastic Portfolio Theory
Term Structure Models Driven by Wiener Processes and Poisson Measures: Existence and Positivity
Long-Time Large Deviations for the Multiasset Wishart Stochastic Volatility Model and Option Pricing
Deep xVA Solver: A Neural Network-Based Counterparty Credit Risk Management Framework
Sequential Design and Spatial Modeling for Portfolio Tail Risk Measurement
Mortgage Contracts and Underwater Default
How to Detect an Asset Bubble
Asymptotic Analysis of Forward Performance Processes in Incomplete Markets and Their Ill-Posed HJB Equations
Value Adjustments and Dynamic Hedging of Reinsurance Counterparty Risk
Sensitivity of Multiperiod Optimization Problems with Respect to the Adapted Wasserstein Distance
Informational Efficiency with Trading Constraints: A Characterization
Multidimensional Kyle-Back Model with a Risk Averse Informed Trader
The Parareal Algorithm for American Options
On the Heston Model with Stochastic Interest Rates
Strong Convergence to the Mean Field Limit of a Finite Agent Equilibrium
Short Communication: Optimal Insurance to Maximize Exponential Utility When Premium Is Computed by a Convex Functional
Obligations with Physical Delivery in a Multilayered Financial Network
Uncertain Volatility Models with Stochastic Bounds
VWAP Execution and Guaranteed VWAP
American Options by Malliavin Calculus and Nonparametric Variance and Bias Reduction Methods
Optimal Consumption Under a Habit-Formation Constraint: The Deterministic Case
Cubature Method for Stochastic Volterra Integral Equations
Trend Following Trading under a Regime Switching Model
Robust Forward Investment and Consumption under Drift and Volatility Uncertainties: A Randomization Approach
Optimal Ratcheting of Dividends in a Brownian Risk Model
Asymptotic Approximations to Deterministic and Stochastic Volatility Models
Asymptotic Approximation of Optimal Portfolio for Small Time Horizons
A Multi-agent Targeted Trading Equilibrium with Transaction Costs
Asymptotic Analysis for Optimal Investment in Finite Time with Transaction Costs
Sensitivity of the Eisenberg-Noe Clearing Vector to Individual Interbank Liabilities
Finite Mixture Approximation of CARMA(p, q) Models
Measures of Systemic Risk
Cumulative Prospect Theory with Generalized Hyperbolic Skewed t Distribution
Arbitrage-Free Implied Volatility Surface Generation with Variational Autoencoders
Adaptive Optimal Market Making Strategies with Inventory Liquidation Cost
European Options in a Nonlinear Incomplete Market Model with Default
Extreme-Strike Comparisons and Structural Bounds for SPX and VIX Options
Correlators of Polynomial Processes
Pricing Principle via Tsallis Relative Entropy in Incomplete Markets
Inverting Analytic Characteristic Functions and Financial Applications
Efficient Computation of Various Valuation Adjustments Under Local Lévy Models
One Axiom to Rule Them All: A Minimalist Axiomatization of Quantiles
American Options with Discontinuous Two-Level Caps
Optimal Investment with Transient Price Impact
Mild to Classical Solutions for XVA Equations under Stochastic Volatility
Weak Error Rates of Numerical Schemes for Rough Volatility
Short Communication: Are Shortfall Systemic Risk Measures One Dimensional?
Exact Solutions and Approximations for Optimal Investment Strategies and Indifference Prices
Optimal Consumption with Loss Aversion and Reference to Past Spending Maximum
Dual Pricing of American Options by Wiener Chaos Expansion
Optimal Reinsurance Arrangement Under Heterogeneous Beliefs: A Unified Method with Piecewise Modification
Solving Parametric Fractional Differential Equations Arising from the Rough Heston Model Using Quasi-Linearization and Spectral Collocation
Propagation of a Carbon Price in a Credit Portfolio through Macroeconomic Factors
Short Communication: Inversion of Convex Ordering: Local Volatility Does Not Maximize the Price of VIX Futures
Theory of Cryptocurrency Interest Rates
Estimation of Systemic Shortfall Risk Measure Using Stochastic Algorithms
Price Dynamics in a Markovian Limit Order Market
Multiperiod Mean Conditional Value at Risk Asset Allocation: Is It Advantageous to Be Time Consistent?
A Fourier Transform Method for Spread Option Pricing
A High-Order Numerical Method for BSPDEs with Applications to Mathematical Finance
On Bid and Ask Side-Specific Tick Sizes
Short Communication: A Primer on Perpetuals
Optimal Reinsurance to Minimize the Probability of Drawdown under the Mean-Variance Premium Principle: Asymptotic Analysis
Asymptotic Formulas with Error Estimates for Call Pricing Functions and the Implied Volatility at Extreme Strikes
Analysis of Markov Chain Approximation for Diffusion Models with Nonsmooth Coefficients
Representation of Homothetic Forward Performance Processes in Stochastic Factor Models via Ergodic and Infinite Horizon BSDE
Explicit Option Pricing with Additive Processes
Short Communication: Existence of Markov Equilibrium Control in Discrete Time
Portfolio Benchmarking Under Drawdown Constraint and Stochastic Sharpe Ratio
Duality and General Equilibrium Theory Under Knightian Uncertainty
A Mean-Variance Approach to Capital Investment Optimization
Correction to Black-Scholes Formula Due to Fractional Stochastic Volatility
The Small-Time Smile and Term Structure of Implied Volatility under the Heston Model
Retirement Decision with Addictive Habit Persistence in a Jump Diffusion Market
A Semi-Markovian Modeling of Limit Order Markets
Accurate Semi-Lagrangian Time Stepping for Stochastic Optimal Control Problems with Application to the Valuation of Natural Gas Storage
Robust Consumption-Investment with Return Ambiguity: A Dual Approach with Volatility Ambiguity
Optimal Allocation of a Futures Portfolio Utilizing Numerical Market Phase Detection
Pricing Variance Swaps on Time-Changed Markov Processes
Deep Signature Algorithm for Multidimensional Path-Dependent Options
Executive Stock Option Exercise with Full and Partial Information on a Drift Change Point
Interbank Clearing in Financial Networks with Multiple Maturities
Principal-Agent Problem with Common Agency Without Communication
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ConFract, un système pour contractualiser des composants logiciels hiérarchiques
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