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.

168,695 papers · 148 categories

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4 results for “semistatic”

Limits of Semistatic Trading Strategiesq-fin.MF

Semistatic trading strategies can be taken to limits in discrete time.

problem Limits of semistatic trading strategies in discrete time.

method Analysis in full generality for a two-period model, and under a probabilistic condition for multi-period, multi-stock models.

result Pointwise limits of semistatic trading strategies are again semistatic strategies.

semistatic trading discrete time limits Schrödinger bridges integrability

2022-04-26abs ↗pdf ↗

Explicit Computations for Delayed Semistatic Hedgingq-fin.MF

Study on hedging with delayed strategies for exponential utility maximization.

problem Maximizing exponential utility in semistatic hedging.

method Explicit computations for delayed semistatic hedging.

result Developed methods for hedging with delayed strategies.

hedging semistatic delayed utility maximization exponential utility

2023-08-21abs ↗pdf ↗

Martingale Schrödinger Bridges and Optimal Semistatic Portfoliosq-fin.MF

Study optimal semistatic portfolios using martingale Schrödinger bridges.

problem Optimizing semistatic portfolios in a dynamic stock market.

method Minimizing entropy among calibrated martingale measures.

result Explicit solution for optimal semistatic portfolios exists.

martingale Schrödinger bridges optimal semistatic portfolios dynamic stock market exponential utility maximization non-closed semistatic strategies

2022-04-26abs ↗pdf ↗

Semistatic robust utility indifference valuation and robust integral functionalsmath.FA

Study optimizes option pricing with robust strategies, ensuring consistency with vanilla option prices.

problem Optimizing exotic option pricing with robust strategies.

method Introduces semistatic strategies and robust convex integral functionals on bounded continuous functions.

result Consistent indifference prices with observed vanilla option prices.

robust utility maximization semistatic strategies exotic options indifference prices vanilla options

2024-02-29abs ↗pdf ↗