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, page 2
Differentiability and Convexity of the Solution Maps for Fully Non-linear Parabolic HJB Equations
We study the dependence on the terminal condition of solutions to a fully nonlinear parabolic Hamilton--Jacobi--Bellman (HJB) equation, when the terminal condition varies along a finite-dimensional…Optimal ratcheting dividend policies with resets
We study an optimal dividend policy problem under ratcheting and bankruptcy constraints.Optimal portfolio choice under green transition timing risk
We study an investor's optimal portfolio choice problem when they account for the impact of a possible future green transition, whose timing is uncertain.Jensen gaps and the decomposition principle
We provide axiomatic characterizations of Jensen-gap functionals, which have the form $ρ(X)=\mathbb{E}[f(X)]-f(\mathbb{E}[X])$ for some real-valued function $f$ called the generator.Duality of Shortfall Aversion
Shortfall aversion describes a form of consumption habit formation in which an individual's utility depends on consumption relative to the historical consumption peak.Risk Adequacy and Anti-Discrimination in Insurance Pricing: Classification, Aggregation, and Transfers
Insurance tariffs must reconcile risk-based pricing, portfolio coverage, and anti-discrimination requirements.Optimal collective investment under regulatory uncertainty
We study optimal collective investment subject to a Value-at-Risk (VaR)-type constraint that accounts for uncertainty about future regulatory requirements.On the continuity of conditional distributions and stratification for derivative pricing
Stratification can reduce the estimator variance in Monte Carlo simulations by partitioning the sample space according to a low-dimensional factor and sampling separately within the resulting…A Stationary Mean-Field Model for Carbon Market Stability Reserve
We formulate the design of a market stability reserve as a stationary mean-field singular control problem.Mimicking Volatilities under Marginal Constraints via $q_x$-Bass Martingales: A Parallel Computing Approach
We study the calibration of continuous-time martingale models to observed derivative prices via a dynamic martingale optimal transport problem that penalizes deviations from the volatility of a…Optimal Size in Market Making under State-Dependent Hawkes Process
We study market making with a parametric model of executed volume that accounts for quote placement and state-dependent order flow.Distributions or Quantiles? A Convex Variational Theory of Worst-Case Risk
Worst-case risk evaluation is central to finance and operations research, yet existing analytical results remain fragmented and largely confined to ambiguity sets with specific structures.Dynamics of the Liquidity Profile in Concentrated Liquidity Provision: An SPIDE Approach
We model the dynamics of the liquidity profile in Uniswap~V3 and other concentrated-liquidity automated market makers with a stochastic partial integro-differential equation (SPIDE).DSINC beyond Heston: the 3/2 and other non-affine stochastic-volatility models
This paper extends the damped-sinc (DSINC) method for American options beyond the affine Heston class to general one-factor stochastic-volatility models.A game-theoretic analysis of the market microstructure in decentralized exchanges with concentrated liquidity
We study strategic liquidity provision in decentralized exchanges with concentrated liquidity as a mean-field game.Probability-Weighting Functions for Normal Tempered-Stable Laws: Orthogonal Channels and Information-Theoretic Indices
A probability-weighting function (PWF) maps objective probabilities into decision weights.Bias correcting transaction cost models for characteristic function based estimators
Effective transaction cost is a necessary step for devising any competing financial trading strategy in the absence of quote data.Optimal Trading Filters and the Value of Predictive Signals
The value of a forecast depends on its accuracy, but also on its actionability.Dynamic portfolio selection under range value-at-risk with logarithmic returns
This paper studies continuous-time portfolio selection under Range Value-at-Risk (RVaR), with both portfolio performance and risk evaluated in terms of logarithmic returns.On the skew-curvature power law relationship in a stochastic volatility model with infinite variation Lévy jumps
The short-term blow up behaviour of the ATM-IV skew is commonly modelled by either a rough volatility process with small Hurst index or an infinite variation Lévy process in the log-price dynamics.