A locally-built, LLM-digested index of recent arXiv papers in quant finance, geometry/topology, and statistical ML — keyword search served straight from SQLite on this machine.
Study on measure-valued CARMA processes in Banach spaces.
The paper approximates CARMA models for option pricing.
Introduces a new Hawkes model with CARMA(p,q) intensity to better model dependence structures.
New model prices options with complex market data structures.
We present a new model for the electricity spot price dynamics, which is able to capture seasonality, low-frequency dynamics and the extreme spikes in the market. Instead of the usual purely deterministic trend we introduce a non-stationary independent increments process for the low-frequency dynamics, and model the la…
Financial derivatives based on road travel times for hedging and pricing.