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.
Characterizes super-replication prices in a financial market model.
The paper studies convergence rates of Tsallis entropic regularization in optimal transport.
We prove the superhedging duality for a discrete-time financial market with proportional transaction costs under model uncertainty. Frictions are modeled through solvency cones as in the original model of [Kabanov, Y., Hedging and liquidation under transaction costs in currency markets. Fin. Stoch., 3(2):237-248, 1999]…
This paper studies stability of the exponential utility maximization when there are small variations on agent's utility function. Two settings are considered. First, in a general semimartingale model where random endowments are present, a sequence of utilities defined on R converges to the exponential utility. Under a …
Extends martingale Schrödinger bridge to arbitrary dimensions and characterizes it.
We unify and establish equivalence between the pathwise and the quasi-sure approaches to robust modelling of financial markets in discrete time. In particular, we prove a Fundamental Theorem of Asset Pricing and a Superhedging Theorem, which encompass the formulations of [Bouchard, B., & Nutz, M. (2015). Arbitrage and …
Paper establishes robust no-arbitrage conditions under projective determinacy.
We investigate pricing-hedging duality for American options in discrete time financial models where some assets are traded dynamically and others, e.g. a family of European options, only statically. In the first part of the paper we consider an abstract setting, which includes the classical case with a fixed reference …
Study proves existence, uniqueness, and positivity of solutions to a complex volatility model.
Study high-frequency trading game with price impact, finding unique equilibrium.