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46 papers in q-fin.PR · page 1
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ARIES-SEDEx extracts densities from noisy short-dated options
From Arbitrage Removal to Density Extraction: A Model-Free Framework for Short-Dated Options
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Monotone solver speeds up Black-Scholes implied volatility
Faster Monotone Implied Volatility Solver
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Deep hedges learn lower delta than Black-Scholes
What Does Deep Hedging Actually Learn? Delta Corrections, Regime Fragility, and Symbolic Distillation
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Zaibatsu firms capitalized wartime advantages in Japanese stocks
Wartime Controls, Political Connections, and the Pricing of Zaibatsu Rents in Japan, 1930-1943
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Rational formulas yield Bachelier implied volatility without iteration
Explicit Rational Formulae for Bachelier (Normal) Implied Volatility
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Deep learning prices path-dependent convertible bonds
A deep learning approach for pricing convertible bonds with path-dependent reset and call provisions
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Taxonomy defines seven variants of event perpetual futures
A Taxonomy of Event-Linked Perpetual Futures: Variant Designs Beyond the Single-Market Binary Case
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Eigenvalue method cuts Monte Carlo paths from 1M to 10
Fast Monte-Carlo
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Product Hunt signals predict Series A at 4.7x random baseline
PHBench: A Benchmark for Predicting Startup Series A Funding from Product Hunt Launch Signals
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Fast-vollib accelerates implied volatility via PyTorch JAX and CUDA backends
Fast-Vollib: A Fast Implied Volatility Library for Pythonwith PyTorch, JAX, and CUDA Fused-Kernel Backends
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LOV model auto-calibrates to European options with path flexibility
Pricing with Passion: The Local Occupied Volatility (LOV) Model
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Regime switching improves Chinese corporate bond curve fit
Corporate Bond Yield Curve Modeling: A Rating-Based Regime-Switching Generalized CIR Approach
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Cylindrical projections converge strongly to occupied diffusions
Cylindrical Projections of Occupied Diffusions
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Implied volatility solved explicitly via inverse Gaussian quantile
An Explicit Solution to Black-Scholes Implied Volatility
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Implied volatility equals inverse-Gaussian quantile of normalized price
An Explicit Solution to Black-Scholes Implied Volatility
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ML models forecast stock asymmetric betas better than linear ones
Machine Learning Forecasts of Asymmetric Betas Using Firm-Specific Information
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Small-rho expansion adds leverage to barrier pricing in clock volatility models
Extrema, Barrier Options, and Semi-Analytic Leverage Corrections in Stochastic-Clock Volatility Models
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Funding sensitivities fix liquidity forecasts by matching replication
Replication-Consistent Liquidity Forecasting for Derivatives -- Forward Funding Sensitivities and a Liquidity Valuation Adjustment for Settlement Lags
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QR reparametrization diagonalizes conditional Fisher matrix for NSS curves
Orthogonal reparametrization of the Nelson-Siegel-Svensson interest rate curve model: conditioning, diagnostics, and identifiability
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Larger feature spaces uncover sparser priced risks
The Virtue of Sparsity in Complexity
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CGMY ATM call prices expand as d1 t^{1/Y} plus d2 t plus higher terms
Higher-order ATM asymptotics for the CGMY model via the characteristic function
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LLMs for stock forecasts hit practical trading pitfalls
A Review of Large Language Models for Stock Price Forecasting from a Hedge-Fund Perspective
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Most corporate bond factors fail after bias correction
The Corporate Bond Factor Replication Crisis
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Bond market factor explains returns as well as multifactor models
Priced risk in corporate bonds
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Signature manifolds enable deterministic RL from single trajectories
Anticipatory Reinforcement Learning: From Generative Path-Laws to Distributional Value Functions
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Equity factors explain corporate bond premia after Treasury adjustment
The Co-Pricing Factor Zoo
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Rough Heston options data improves realized volatility forecasts
On options-driven realized volatility forecasting: Information gains via rough volatility model
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Noisy quantum neural networks approximate any function with error bounds
Quantitative Universal Approximation for Noisy Quantum Neural Networks
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Noisy quantum neural networks approximate functions with explicit error bounds
Quantitative Universal Approximation for Noisy Quantum Neural Networks
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Policy gradient scheme prices options under volatility uncertainty
Stochastic Policy Gradient Methods in the Uncertain Volatility Model
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Lévy models yield ATM call prices of order t to the 1/α times slowly varying factor
At-the-money short-time call-price asymptotics for new classes of exponential L\'evy models
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AI agents autonomously create signals for 3.11 Sharpe equity portfolios
Beyond Prompting: An Autonomous Framework for Systematic Factor Investing via Agentic AI
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Generalized Durbin estimator consistent under weakest exogeneity
Finite-Sample Properties of Model Specification Tests for Multivariate Dynamic Regression Models
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Hybrid neural solver speeds martingale transport 1597-fold
Multi-Period Martingale Optimal Transport: Classical Theory, Neural Acceleration, and Financial Applications
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Consensus bottleneck uncovers priced risk missed by factor models
Interpretable Deep Learning for Stock Returns: A Consensus-Bottleneck Asset Pricing Model
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Amortizing perpetual options match American options on dividend assets
Amortizing Perpetual Options
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Amortizing perpetual options valued as vanilla perpetual Americans
Amortizing Perpetual Options
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Likelihood ratios extend Differential ML to discontinuous payoffs
Differential ML with a Difference
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Raw ESG variables predict financial risk better than aggregated scores
Identifying Risk Variables From Raw ESG Data Using Its Hierarchical Structure
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Graph neural net beats ML baselines on CAT bond spreads
CATNet: A geometric deep learning approach for CAT bond spread prediction in the primary market
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Quantum walks generate target distributions via coin tuning
Quantum Walks-Based Adaptive Distribution Generation with Efficient CUDA-Q Acceleration
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Risk-indifference prices defined for American claims in continuous time
Risk-indifference Pricing of American-style Contingent Claims
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Neural nets generate risk-neutral densities to price options
Risk-Neutral Generative Networks
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LP wealth growth rate derived for geometric mean market makers
Growth rate of liquidity provider's wealth in G3Ms
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Sine series turns OU volatility simulation hundreds of times faster
Exact simulation scheme for the Ornstein-Uhlenbeck driven stochastic volatility model with the Karhunen-Lo\`eve expansions
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Characteristic-function inversion speeds Lévy OU simulation by 10x
Fast and General Simulation of L\'evy-driven Ornstein Uhlenbeck processes for Energy Derivatives
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Markov process plus occupation flow stays Markovian
Occupied Processes: Going with the Flow
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Nonlinear PDEs govern model-free implied volatility
A model-free backward and forward nonlinear PDEs for implied volatility
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Option price solves PIDE uniquely under Lévy electricity model
European Option Pricing of electricity under exponential functional of L\'evy processes with Price-Cap principle