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 competitive energy markets using stochastic impulse games.
Safe reinforcement learning tackles safety constraints with linear approximations.
Develops a new method for pricing GMWBs with jumps and stochastic interest rates.
Study optimal market making in Hawkes LOB market using impulse control and RL.
In this paper, we study a risk process modeled by a Brownian motion with drift (the diffusion approximation model). The insurance entity can purchase reinsurance to lower its risk and receive cash injections at discrete times to avoid ruin. Proportional reinsurance and excess-of-loss reinsurance are considered. The obj…
The present paper is devoted to the study of a bank salvage model with finite time horizon and subjected to stochastic impulse controls. In our model, the bank's default time is a completely inaccessible random quantity generating its own filtration, then reflecting the unpredictability of the event itself. In this fra…
This paper deals with numerical solutions to an impulse control problem arising from optimal portfolio liquidation with bid-ask spread and market price impact penalizing speedy execution trades. The corresponding dynamic programming (DP) equation is a quasi-variational inequality (QVI) with solvency constraint satisfie…
Study risk-sensitive reinforcement learning with entropic risk measures and generative models.
RAmmStein optimizes liquidity management in AMMs by learning to rebalance efficiently.