Quantitative Finance
We develop a mixed control framework that combines absolutely continuous controls with impulse interventions subject to stochastic execution delays. The model extends current impulse control formulations by allowing (i) the controller to…
We study the role of contextual information in the online learning problem of brokerage between traders. In this sequential problem, at each time step, two traders arrive with secret valuations about an asset they wish to trade. The learner…
We consider a class of optimal portfolio choice problems in continuous time where the agent's transactions create both transient cross-impact driven by a matrix-valued Volterra propagator, as well as temporary price impact. We formulate…
Caratheodory's axiom of adiabatic inaccessibility states that, in any neighborhood of a thermodynamic state, certain states remain unreachable via adiabatic processes. Non-arbitrage mirrors this topological restriction in finance.…
Calibration to a surface of option prices requires specifying a suitably flexible martingale model for the discounted asset price under a risk-neutral measure. Assuming Brownian noise and mean-square integrability, we construct an…
Money-back guarantees (MBGs) are features of pooled retirement income products that address bequest concerns by ensuring the initial premium is returned through lifetime payments or, upon early death, as a death benefit to the estate. This…
Financial models do not merely analyse markets, but actively shape them. This effect, known as performativity, describes how financial theories and the subsequent actions based on them influence market processes, by creating self-fulfilling…
Continued interest in sustainable investing calls for an axiomatic approach to measures of risk and reward that focus not only on financial returns, but also on measures of environmental and social sustainability, i.e. environmental,…
We generalize classical results on the existence of optimal portfolios in discrete time frictionless market models to models with capital gains taxes. We consider the realistic but mathematically challenging rule that losses do not trigger…
We introduce LemonadeBench v0.5, a minimal benchmark for evaluating economic intuition, long-term planning, and decision-making under uncertainty in large language models (LLMs) through a simulated lemonade stand business. Models must…
In this paper we study the quality of model-free valuation approaches for financial derivatives by systematically evaluating the difference between model-free super-hedging strategies and the realized payoff of financial derivatives using…
SOFR derivatives market remains illiquid and incomplete so it is not amenable to classical risk-neutral term structure models which are based on the assumption of perfect liquidity and completeness. This paper develops a statistical SOFR…
Index insurance is often proposed to reduce protection gaps, especially for emerging risks. Unlike traditional insurance, it bases compensation on a measurable index, enabling faster payouts and lower claim management costs. This approach…
In this paper, we address the problem of providing insurance protection against heavy-tailed losses, for which the expected loss may not even be finite. The product we study is based on a combination of traditional insurance up to a given…
In this paper, we review modern approaches to building interpretable models of property markets using machine learning on the base of mass valuation of property in the Primorye region, Russia. There are numerous potential difficulties one…
Blockchain technology has revolutionized financial markets by enabling decentralized exchanges (DEXs) that operate without intermediaries. Uniswap V2, a leading DEX, facilitates the rapid creation and trading of new tokens, which offer high…
Focusing on gains & losses relative to a risk-free benchmark instead of terminal wealth, we consider an asset allocation problem to maximize time-consistently a mean-risk reward function with a general risk measure which is i)…
We study the dynamics of token launched on Pump.fun, a Solana-based launchpad platform, to identify the determinants of the token success. Pump.fun employs a bonding curve mechanism to bootstrap initial liquidity possibly leading to…
Formulaic alpha factor mining is a critical yet challenging task in quantitative investment, characterized by a vast search space and the need for domain-informed, interpretable signals. However, finding novel signals becomes increasingly…
The paper treats the financial market as a communication system, using four information-theoretic assumptions to derive an idealized model with only one parameter. State variables are scalar stationary diffusions. The model minimizes the…