定量金融

This paper presents a multi-period mixed-integer linear programming (MILP) framework for planning the transition from conventional to electric aircraft in regional aviation. The model jointly optimizes fleet acquisition, infrastructure…

Testing self-similarity in fractional processes from a single observed trajectory is difficult under long-range dependence, because the associated Kolmogorov--Smirnov (KS) statistic undergoes a phase transition when $H>1/2$. In this regime,…

The consideration of uncertainty is a central but frequently inadequately addressed component of risk management. A systematic treatment of uncertainty is essential for ensuring the quality and traceability of decision-making processes,…

A flexible forward (FF) is a customized FX hedging instrument that guarantees a fixed exchange rate while letting the holder choose the delivery date within a pre-agreed window. It is therefore an American-style option on timing, and its…

This paper compares a series of contemporary portfolio construction approaches by employing ten U.S. stocks (TSLA, WMT, BAC, GS, LLY, MRK, GOOG, META, AAPL and XOM) in a time frame from September 2023 to December 2025. The paper explores…

This paper develops a three-currency Heath-Jarrow-Morton framework in which corporate credit is treated as a separate economy, connected to the nominal and real economies through synthetic inflation and credit exchange rates. The framework…

This paper estimates the carry embedded in listed IBIT options and compares it with the carry embedded in matched CME bitcoin futures. Put-call parity recovers an implied forward on the ETF; BlackRock's daily holdings file maps each ETF…

FlashIV is a low-latency Black--Scholes implied-volatility solver for production use. It normalises each input to an out-of-the-money price and solves a tail-stable erfcx/log-price residual. The hot path combines a cheap Li/asymptotic seed…

Portfolio optimization in real-world financial markets is notoriously difficult due to non-stationarity, noisy data, and high transaction costs. Standard predict-then-optimize methods first forecast returns and then solve for weights,…

We present ThiopheneIV, a Black-Scholes implied-volatility solver with a monotone core and explicit production guards. The solver starts from the simple Choi-Huh-Su L3 lower-bound seed and applies three Euler-Chebyshev steps on a lower…

We study caplet stripping, the problem of recovering a caplet volatility term structure consistent with quoted cap volatilities. Many academic papers on the Libor market model assume caplet volatilities are readily available, whereas…

We introduce a simplicial and categorical formulation of Aharonov-Bohm (AB) type arbitrage in filtered market systems. Given a filtration modeled as a contravariant functor $F : \mathcal T^{op} \to \mathbf{Prob},$ we consider the associated…

This paper studies the pricing problem in which the underlying asset follows a non-Markovian stochastic volatility model. Classical partial differential equation methods face significant challenges in this context, as the option prices…

This study analyzes the financial resilience of agricultural and food production companies in Spain amid the Ukraine-Russia war using cluster analysis based on financial ratios. This research utilizes centered log-ratios to transform…

Compositional data are contemporarily defined as positive vectors, the ratios among whose elements are of interest to the researcher. Financial statement analysis by means of accounting ratios a.k.a. financial ratios fulfils this definition…

This study looks at the statistical properties and predictability using deep learning methods of the U.S. aggregate bond index in daily observations spanning 2018 to February 2026. We first establish that index levels are extremely…

This study develops an integrated stochastic modeling framework for pricing short and medium-maturity equity options and assessing interest-rate risk using the Heston (1993), Bates (1996), and CIR (1985) models. We calibrate the Heston…

This study develops a regime-aware portfolio allocation framework that integrates Markov switching models with Reinforcement Learning (RL) to dynamically allocate across equities (SPY), long-term Treasuries (TLT), and gold (GLD). Using…

This review summarizes the historical development of probability measures in asset pricing, from early mathematical finance and state price theory to risk-neutral valuation, martingale measures, forward measures, stochastic discount…

We extract four geometric observables -- Berry Phase Rate, Spectral Entropy, Reduced State Purity, and Hamiltonian Sensitivity -- from a learned spectral embedding of equity-index returns and evaluate them as regime-shift detectors against…