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.
Market makers optimize trading with a new implicit scheme for complex inequalities.
Investor aims to meet financial goals with deadlines and target amounts, considering stock trading costs.
We prove that the perpetual American put option price of level dependent volatility model with compound Poisson jumps is convex and is the classical solution of its associated quasi-variational inequality, that it is except at the stopping boundary and that it is everywhere (i.e. the smooth pasting conditio…
New method for handling multi-dimensional singular controls with jump costs in mean-field problems.
We consider an optimal stochastic impulse control problem over an infinite time horizon motivated by a model of irreversible investment choices with fixed adjustment costs. By employing techniques of viscosity solutions and relying on semiconvexity arguments, we prove that the value function is a classical solution to …
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…
In this paper, we accomplish two objectives: First, we provide a new mathematical characterization of the value function for impulse control problems with implementation delay and present a direct solution method that differs from its counterparts that use quasi-variational inequalities. Our method is direct, in the se…
This paper is a continuation of Ishitani and Kato (2015), in which we derived a continuous-time value function corresponding to an optimal execution problem with uncertain market impact as the limit of a discrete-time value function. Here, we investigate some properties of the derived value function. In particular, we …
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…
In this paper we propose and analyze a class of -player stochastic games that include finite fuel stochastic games as a special case. We first derive sufficient conditions for the Nash equilibrium (NE) in the form of a verification theorem. The associated Quasi-Variational-Inequalities include an essential game comp…
This work is motivated by numerical solutions to Hamilton-Jacobi-Bellman quasi-variational inequalities (HJBQVIs) associated with combined stochastic and impulse control problems. In particular, we consider (i) direct control, (ii) penalized, and (iii) semi-Lagrangian discretization schemes applied to the HJBQVI proble…
This work takes up the challenges of utility maximization problem when the market is indivisible and the transaction costs are included. First there is a so-called solvency region given by the minimum margin requirement in the problem formulation. Then the associated utility maximization is formulated as an optimal swi…
This paper is concerned with a pairs trading rule. The idea is to monitor two historically correlated securities. When divergence is underway, i.e., one stock moves up while the other moves down, a pairs trade is entered which consists of a pair to short the outperforming stock and to long the underperforming one. Such…
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…
This paper considers the optimal dividend payment problem in piecewise-deterministic compound Poisson risk models. The objective is to maximize the expected discounted dividend payout up to the time of ruin. We provide a comparative study in this general framework of both restricted and unrestricted payment schemes, wh…
In the present paper, we study the optimal execution problem under stochastic price recovery based on limit order book dynamics. We model price recovery after execution of a large order by accelerating the arrival of the refilling order, which is defined as a Cox process whose intensity increases by the degree of the m…
Paper finds optimal selling rule for pairs trading with stock constraints.
New tontine model with transaction costs for retirees.
The paper bridges stochastic control and deep hedging for European call options with transaction costs.
Study competitive energy markets using stochastic impulse games.
We consider a finite-horizon market-making problem faced by a dark pool that executes incoming buy and sell orders. The arrival flow of such orders is assumed to be random and, for each transaction, the dark pool earns a per-share commission no greater than the half bid-ask spread. Throughout the entire period, the mai…
Develops a new method for pricing GMWBs with jumps and stochastic interest rates.
We develop a new market-making model, from the ground up, which is tailored towards high-frequency trading under a limit order book (LOB), based on the well-known classification of order types in market microstructure. Our flexible framework allows arbitrary order volume, price jump, and bid-ask spread distributions as…
Optimal trading strategies for pairs trading have been studied by models that try to find either optimal shares of stocks by assuming no transaction costs or optimal timing of trading fixed numbers of shares of stocks with transaction costs. To find optimal strategies which determine optimally both trade times and numb…
Optimal trading strategy between CEXs and DEXs with priority fees and stochastic delays.
Study optimal market making in Hawkes LOB market using impulse control and RL.
Optimizes liquidity withdrawal timing for AMM LPs to balance fees and impermanent loss.
We propose a framework to study optimal trading policies in a one-tick pro-rata limit order book, as typically arises in short-term interest rate futures contracts. The high-frequency trader has the choice to trade via market orders or limit orders, which are represented respectively by impulse controls and regular con…
Developed a monotone numerical method for MV portfolio optimization under jump-diffusion models.
RAmmStein optimizes liquidity management in AMMs by learning to rebalance efficiently.
Market makers optimize bid/ask quotes under hidden Markov chain uncertainty.
We propose a framework for studying optimal market making policies in a limit order book (LOB). The bid-ask spread of the LOB is modelled by a Markov chain with finite values, multiple of the tick size, and subordinated by the Poisson process of the tick-time clock. We consider a small agent who continuously submits li…
The isoperimetric inequality and related inequalities are explored.
New proof of Willmore inequality using geometric divergence inequality.
Lorentz-Finsler geometry reveals new and old inequalities.
The paper derives new inequalities on manifolds and applies them to convex hypersurfaces.
The paper proves inequalities on Finsler manifolds under Ricci curvature bounds.
New inequality on sphere generalizes circle inequality.
Paper proves anisotropic Minkowski inequality and related inequalities.
Explains geometric inequalities for minimal hypersurfaces.
The paper finds new inequalities for convex polygons.
The study improves Bochner inequality on Finsler manifolds to derive important inequalities.
The paper proves various inequalities on gradient shrinking Ricci solitons.
Sharp inequality found on three-balls for fourth order Sobolev traces.
Sharp inequalities for star bodies in 2D space.
The paper develops inequalities for log-concave functions and related surface areas.
Study on functional inequalities on simple edge spaces.
Proves inequalities on curved spaces with positive curvature.