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Mathematical Finance

Authors and titles for recent submissions

[ total of 7 entries: 1-7 ]
[ showing up to 25 entries per page: fewer | more ]

Fri, 23 Feb 2018

[1]  arXiv:1802.07741 [pdf, ps, other]
Title: A Unified Modeling Framework for Life and Non-Life Insurance
Subjects: Mathematical Finance (q-fin.MF)

Tue, 20 Feb 2018

[2]  arXiv:1802.06386 (cross-list from q-fin.PM) [pdf, other]
Title: How local in time is the no-arbitrage property under capital gains taxes ?
Authors: Christoph Kühn
Comments: 25 pages
Subjects: Portfolio Management (q-fin.PM); Probability (math.PR); Mathematical Finance (q-fin.MF)

Fri, 16 Feb 2018

[3]  arXiv:1802.05614 [pdf, ps, other]
Title: On the binomial approximation of the American put
Authors: Damien Lamberton (LAMA)
Subjects: Mathematical Finance (q-fin.MF); Probability (math.PR); Pricing of Securities (q-fin.PR)
[4]  arXiv:1802.05326 (cross-list from q-fin.ST) [pdf]
Title: Analysis of Financial Credit Risk Using Machine Learning
Authors: Jacky C.K. Chow
Comments: MBA Thesis, April 2017, Aston Business School, Aston University, United Kingdom
Subjects: Statistical Finance (q-fin.ST); Econometrics (econ.EM); Mathematical Finance (q-fin.MF)

Thu, 15 Feb 2018

[5]  arXiv:1802.04837 [pdf, other]
Title: Adapting the CVA model to Leland's framework
Comments: 20 pages, 17 figures
Subjects: Mathematical Finance (q-fin.MF); Analysis of PDEs (math.AP); Computational Finance (q-fin.CP); Pricing of Securities (q-fin.PR)

Wed, 14 Feb 2018

[6]  arXiv:1802.04778 [pdf, ps, other]
Title: The Quotient of Normal Random Variables And Application to Asset Price Fat Tails
Comments: 21 pages
Subjects: Mathematical Finance (q-fin.MF); Probability (math.PR); Statistics Theory (math.ST)
[7]  arXiv:1802.04774 [pdf, ps, other]
Title: Asset Price Volatility and Price Extrema
Comments: 26 pages
Subjects: Mathematical Finance (q-fin.MF); Probability (math.PR); Statistics Theory (math.ST)
[ total of 7 entries: 1-7 ]
[ showing up to 25 entries per page: fewer | more ]

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