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arXiv research

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.

168,742 papers · 148 categories

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1122 · Jul 202519922001200920172026
3 results for “Chan-Karolyi-Longstaff-Sanders”
An Accurate Discretized Approach to Parameter Estimation in the CKLS Model via the CIR Frameworkstat.AP

The paper improves parameter estimation for interest rate models using the CIR and CKLS frameworks.

problem Improving parameter estimation for interest rate models.
method Employing Euler-Maruyama discretization to transform SDEs into linear regression problems.
result Established strong consistency and asymptotic normality of estimators for drift and volatility parameters.
parameter estimationinterest rate modelsCox-Ingersoll-RossChan-Karolyi-Longstaff-SandersEuler-Maruyama discretization
2025-07-14abs ↗pdf ↗
Dynamic Mean-Variance Asset Allocation in General Incomplete Markets A Nonlocal BSDE-based Feedback Control Approachq-fin.MF

Study dynamic asset allocation in incomplete markets using game theory and nonlocal BSDEs.

problem Dynamic mean-variance asset allocation in general incomplete markets with non-exponential discounting.
method Game-theoretic approach, decomposition into myopic and hedging strategies, nonlocal BSDEs, fixed-point theorem.
result Well-posedness of solutions to BSDEs, existence of equilibrium control policy.
dynamic asset allocationincomplete marketsgame theorynonlocal BSDEsmean-variance
2024-12-24abs ↗pdf ↗
Analysing Models for Volatility Clustering with Subordinated Processes: VGSA and Beyondstat.AP

This paper extends subordinated models to include stochastic time changes, improving financial modeling.

problem Improving financial models to better capture market features like jump clustering and volatility persistence.
method Subordinated processes with Levy and stochastic arrival mechanisms.
result Strong consistency and asymptotic normality results for VG and VGSA processes under various stochastic arrival models.
subordinated processesstochastic time changesfinancial modelingjump clusteringvolatility persistence
2025-07-23abs ↗pdf ↗