Economics & Finance · Interdisciplinary & Society
Mathematical Finance
The newest papers in Mathematical Finance that ReadSearch has read, newest first. Each links to its own page, with its authors, date, where it was published and the original.
129 papers, from 7 September 2026 to 4 November 2026: 129 arXiv preprints.
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Newest papers
Necessary and sufficient conditions for the martingale property of stochastic exponentials driven by multi-dimensional diffusions
We give necessary and sufficient coefficient conditions for stochastic exponentials driven by multidimensional diffusions to be true martingales.A Rough Instantaneous Squared VIX Model for Term Structure and Option Pricing
The VIX term structure provides forward-looking measures of market uncertainty across horizons, while VIX options allow investors to hedge volatility risk.Safe Portfolio Learning from Untrusted Predictions: Signed Trust, Abstention, and Cross-Universe Polarity Failure
Portfolio use of machine predictions must often proceed while the predictions' economic direction, reliability, and timing remain untrusted, and while feedback from overlapping multi-period…Optimal Annuitization, Consumption, and Investment with Costly Capital Injections
We study a joint optimal decision of portfolio, consumption, and annuitization for a pension-plan manager who balances retirement consumption benefits against the cost of maintaining the solvency of…Finite-horizon Optimal Consumption and Investment with Costly Income Adjustment
We study optimal consumption and investment for an investor who receives labor income until a fixed retirement date, can raise the income rate irreversibly at a constant price per unit of income…Long-term yields of short-rate models as Feynman-Kac ground states: a variational quantum eigensolver with single-setting energy estimation on two NISQ platforms
We show that the long-term yield of a short-rate model is the ground-state energy of a Schrodinger operator obtained from the Feynman-Kac bond-pricing equation, so that it can be computed by a…Reduction of the integro-differential equation to an ordinary differential equation in ruin models with investment in a risky asset
We study ruin models with the surplus invested in a risky asset and Erlang-distributed claims: non-life insurance, annuity payments and the mixed model.Non-Convex Market Makers: Coherence without Convexity, Friction, and Parallel Composition
Cost-function market makers are always assumed convex, and convexity is not what makes them coherent.Non-asymptotic analysis of SGLD with discontinuous stochastic gradients: a new route to portfolio CVaR minimization
Conditional-Value-at-Risk (CVaR) optimization is a fundamental tool in portfolio selection, yet its nonsmooth loss structure poses a challenge for the existing theory of stochastic gradient methods…Consumption and Investment with Multiple Job-Switching Opportunities
We study finite-horizon optimal switching with affine rewards in a consumption-investment model with finitely many occupational regimes.An Introduction to Financial Derivatives: Open Lecture Notes
These lecture notes give a broad introduction to financial derivatives at the level of a Masters program in quantitative finance.Security and Derivative Pricing with Fast Regime Switches
A regime-switching model lets any parameter of a standard model take a different value in each state of a hidden Markov chain.Comparing tail forecasts: the number of exceedances is the sample size
When two forecasts of a tail, such as prediction intervals at high coverage, extreme quantiles or expected shortfall (ES), are compared by a consistent score, the score difference is known in…Exponential Convergence of the Lifted Gradient Flow of the Bass Functional
We establish multidimensional exponential convergence of the lifted Bass gradient flow in martingale optimal transport.Calibration of Passive Market Impact with a Queue-Sensitive Propagator Model
We develop a framework for calibrating passive market impact, defined as the price response to liquidity-providing limit orders, in contrast to the impact of liquidity-consuming market orders.Mean Field Games of Optimal Trading with an SPDE Model of the Limit Order Book
We develop a mean field game model for optimal trading in which the interaction among traders is mediated by the dynamics of the limit order book.A Deep Learning-Driven Operator Splitting Scheme for Free Boundary Problems: An Application to American Option Pricing in Incomplete Markets
This paper proposes a deep learning-driven operator splitting scheme for high-dimensional free-boundary problems, with American option pricing as a representative application.An Application of Geometric Riemannian Pricing Algorithm for Valuing Catastrophe Bonds in Incomplete Markets: Market-Consistent Financial Entropy and the Split of Frequency and Severity Risk Premia
This paper presents a framework for pricing catastrophe (CAT) bonds in incomplete markets through Riemannian geometric optimization of financial entropy.Optimal Order Placement under a State-Dependent Hawkes Process Limit Order Book model
We study optimal quote placement for a market maker facing order flow modeled by a state-dependent Hawkes process.Martingality in EFM Signature Volatility Models
We establish a martingality criterion for the Exponentially Fading Memory (EFM) signature volatility model, extending the recent result of Abi Jaber, Gassiat, and Sotnikov (2026).