Frontiers of Mathematical Finance

Title Publication Date Language Citations
A rough SABR formula2022/01/016
Convergence of deep fictitious play for stochastic differential games2022/01/016
Term rates, multicurve term structures and overnight rate benchmarks: A roll–over risk approach2023/01/014
Making no-arbitrage discounting-invariant: A new FTAP version beyond NFLVR and NUPBR2022/01/013
Quadratic variation, models, applications and lessons2022/01/013
Option pricing generators2023/01/012
Option pricing under a discrete-time Markov switching stochastic volatility with co-jump model2022/01/012
Semi-analytic pricing of double barrier options with time-dependent barriers and rebates at hit2022/01/012
Positive XVAs2022/01/012
Approximation with independent Variables2023/01/012
High dimensional Markovian trading of a single stock2022/01/012
Optimal stopping contract for Public Private Partnerships under moral hazard2022/01/012
A characterisation of cross-impact kernels2022/01/012
Optimal stopping via randomized neural networks2024/01/011
Acceptability maximization2022/01/011
Pricing autocallables under local-stochastic volatility2022/01/011
Data-driven nonparametric robust control under dependence uncertainty2023/01/011
Multilayer heat equations: Application to finance2022/01/011
Asset price bubbles: Invariance theorems2022/01/011
On asymptotically arbitrage-free approximations of the implied volatility2022/01/011
Generalized Cox model for default times2022/01/011
A stochastic gradient descent algorithm to maximize power utility of large credit portfolios under Marshall–Olkin dependence2023/01/01
Extreme measures in continuous time Conic Finance2024/01/01
Swing contract pricing: With and without neural networks2024/01/01
Geometric step options and Lévy models: Duality, PIDEs, and semi-analytical pricing2022/01/01
$ G $-expectation approach to stochastic ordering2022/01/01
Risk measures under model uncertainty: A Bayesian viewpoint2023/01/01
Backtestability and the ridge backtest2023/01/01
Distributed energy resources flexibility as volumetric options on electricity2023/01/01
Financial activity time2023/01/01