On-device research index

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.

169,051 papers · 148 categories

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2 results for “Heston-Vasicek”

Options on CPPI with guaranteed minimum equity exposureq-fin.PM

Combines CPPI and option-based strategy to ensure equity exposure.

problem Cash-in risk and equity market participation in CPPI.

method Two-step strategy: CPPI with guaranteed minimum equity exposure.

result Shows effectiveness through numerical analysis of option prices.

CPPI Option-based Equity exposure Cash-in risk Heston-Vasicek

2019-02-18abs ↗pdf ↗

Time evaluation of portfolio for asymmetrically informed tradersq-fin.MF

Study optimal portfolios for traders with asymmetric information and delay.

problem Optimizing portfolios for traders with delayed insider information.

method Anticipating stochastic calculus and white noise approach.

result Optimal portfolios maximize expected logarithmic utility under various financial models.

portfolio optimization asymmetric information anticipating calculus financial models logarithmic utility

2024-10-21abs ↗pdf ↗