专题:Stochastic processes and financial applications

This cluster of papers focuses on the theory and applications of option pricing models, including topics such as stochastic calculus, jump diffusion, volatility modeling, mean field games, term structure models, risk premia, Monte Carlo simulation, and market microstructure noise in the context of financial economics.
最新文献
On Distribution of the Stock Market Risk with a Maximum Drawdown of a Wiener Process

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Coupled forward-backward stochastic differential equations with jumps in random environments

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Diffolio: A Diffusion Model for Multivariate Probabilistic Financial Time-Series Forecasting and Portfolio Construction

preprint Full Text OpenAlex

McKean–Vlasov stochastic differential equations with oblique reflection on non-smooth time-dependent domains

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Risk premium and rough volatility

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A New Two-Dimensional Blood Flow Model and Its RKDG Approximation

preprint Full Text OpenAlex

RegimeFolio: A Regime Aware ML System for Sectoral Portfolio Optimization in Dynamic Markets

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Ruin problems with investments on a finite interval: PIDEs and their viscosity solutions

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Discrete Layered Entropy, Conditional Compression and a Tighter Strong Functional Representation Lemma

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Dynamic Portfolio Selection Under Quantile Maximization

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近5年高被引文献
Stochastic Approximation: A Dynamical Systems Viewpoint

book Full Text OpenAlex 867 FWCI20.3747963

Finance and Economics Discussion Series

paratext Full Text OpenAlex 612 FWCI0

Corrigendum: a preferred-habitat model of the term structure of interest rates (Econometrica, (2021), 89, 1, (77-112), 10.3982/ECTA17440)

article Full Text OpenAlex 331 FWCI90.77997415

A Comprehensive 2022 Look at the Empirical Performance of Equity Premium Prediction

article Full Text OpenAlex 227 FWCI96.90956109

Recent advances in reinforcement learning in finance

article Full Text OpenAlex 144 FWCI60.37923862

Open EFTs, IR effects & late-time resummations: systematic corrections in stochastic inflation

article Full Text OpenAlex 104 FWCI0

Quasi-single field inflation in the non-perturbative regime

article Full Text OpenAlex 97 FWCI0

A Probabilistic Approach to Classical Solutions of the Master Equation for Large Population Equilibria

article Full Text OpenAlex 92 FWCI9.64678727

Rogue waves based on the coupled nonlinear Schrödinger option pricing model with external potential

article Full Text OpenAlex 89 FWCI20.55392391

General criteria for the study of quasi-stationarity

article Full Text OpenAlex 88 FWCI18.15599483