Results 161 to 170 of about 16,016 (265)

The Evolution of Interest‐Rate Models: From the Yield Curve to the Swaption Cube

Journal of Economic Surveys, EarlyView.
ABSTRACT Interest‐rate modelling is often taught as a catalogue of competing stochastic equations, obscuring why models were created and why modern sell‐side desks use several simultaneously. This survey reorganises the field around five layers of a pricing architecture: curve construction; arbitrage‐free dynamics; volatility‐smile representation ...
Xuan Feng, Salman Huseynov, Diomides Mavroyiannis   +2 more
wiley   +1 more source

Data-driven, ML-assisted approaches to problem well-posedness. [PDF]

PNAS Nexus
Bertalan T, Kevrekidis GA, Koronaki ED, Mishra S, Rebrova E, Kevrekidis IG.   +5 more
europepmc   +1 more source

Measure‐valued processes for energy markets

Mathematical Finance, Volume 35, Issue 2, Page 520-566, April 2025.
Abstract We introduce a framework that allows to employ (non‐negative) measure‐valued processes for energy market modeling, in particular for electricity and gas futures. Interpreting the process' spatial structure as time to maturity, we show how the Heath–Jarrow–Morton approach can be translated to this framework, thus guaranteeing arbitrage free ...
Christa Cuchiero, Luca Di Persio, Francesco Guida, Sara Svaluto‐Ferro   +3 more
wiley   +1 more source

Biological implications and therapeutic potential of phosphodiesterase inhibitors: A review. [PDF]

Medicine (Baltimore)
Alnazari M, Bakhsh A, Abdullah S, Al Qahtani S, Al Qahtani S, Borhan W, Rajih E, Alshehri AM.   +7 more
europepmc   +1 more source

Reinforcement Learning for Jump‐Diffusions, With Financial Applications

Mathematical Finance, EarlyView.
ABSTRACT We study continuous‐time reinforcement learning (RL) for stochastic control in which system dynamics are governed by jump‐diffusion processes. We formulate an entropy‐regularized exploratory control problem with stochastic policies to capture the exploration–exploitation balance essential for RL.
Xuefeng Gao, Lingfei Li, Xun Yu Zhou
wiley   +1 more source

Plasma Desmosine Is Elevated in Thoracoabdominal Aortic Aneurysms and Is Associated with Intramural Proteolytic Activity. [PDF]

Int J Mol Sci
Doukas P, Bassett C, Hruschka B, Kuzmanova E, Wessels I, Klump HJ, Schurgers LJ, Jacobs MJ, Uhl C, Gombert A, Huang JTJ.   +10 more
europepmc   +1 more source

Equilibrium Reward for Liquidity Providers in Automated Market Makers

Mathematical Finance, EarlyView.
ABSTRACT We find the equilibrium contract that an automated market maker (AMM) offers to their strategic liquidity providers (LPs) in order to maximize the order flow that gets processed by the venue. Our model is formulated as a leader–follower stochastic game, where the venue is the leader and a representative LP is the follower.
Alif Aqsha, Philippe Bergault, Leandro Sánchez‐Betancourt   +2 more
wiley   +1 more source

Radiative heat transfer and entropy generation in MHD Williamson hybrid nanofluid flow over a Darcy-Forchheimer medium with heat source. [PDF]

Discov Nano
Ur Rahman M, Haq F, Alsharidi AK, Aldoghan LA.   +3 more
europepmc   +1 more source

PDE

Plan for dissemination and exploitation incl.
openaire   +1 more source

Relative Arbitrage Opportunities With Interactions Among N Investors

Mathematical Finance, EarlyView.
ABSTRACT The relative arbitrage portfolio outperforms a benchmark portfolio over a given time‐horizon with probability one. With market price of risk processes depending on the market portfolio and investors, this paper analyzes the multi‐agent optimization of relative arbitrage opportunities in the coupled system of market and wealth dynamics.
Tomoyuki Ichiba, Nicole Tianjiao Yang
wiley   +1 more source