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 3
From Alpha to Execution: Trading Horizons, Regimes, and Schedules under Concave Impact and Hurst Scaling
Classical execution models assume linear impact, diffusive prices, and an exogenous horizon.A Pricing and Hedging Framework for Infinite-Dimensional Financial Markets
In this paper, we provide a comprehensive study of how the classical Black--Scholes-type market framework behaves in an infinite-dimensional setting.Loss-versus-rebalancing with external proportional transaction costs
We study liquidity provision in automated market makers when trading in the external market incurs proportional transaction costs.The end-of-month option in futures contracts and the Gittins index of holding the underlying
The end-of-month option allows the short in a futures contract to choose when to deliver during a window in which the delivery price is fixed.Fundamental Theorem of Discrete Asset Pricing
Motivated by discrete price quotes in continuous time, we seek a fundamental theorem based on no arbitrage rather than a condition on limiting trading opportunities.Long-Horizon Investment with Delayed Information in a Mean-Reverting Market
We study long-term investment in an Ornstein-Uhlenbeck diffusion model with exponential utility.How Much Screening Buys a Second? Speed, Selection, and the Maker's Spread
We study the spread a liquidity provider needs to break even against counterparties that can exploit a stale quote, and we place two defenses on a single scale: repricing sooner and screening…Feeling the generalised rough SABR boundary
We provide an in-depth analysis of a generalised rough version of the SABR volatility model, widely used in the financial industry.Extending the Oracle Approximating Shrinkage to General Distributions
The Oracle Approximating Shrinkage (OAS) estimator provides a closed-form, data-driven shrinkage intensity for regularizing sample covariance matrices toward a scaled identity target, but its…Interior smoothness and zero-variance geometry for finite-maturity Heston American puts
We study finite-maturity American puts in the Heston model without the Feller condition.Regime Detection in Latent Factor Models -- A Bayesian Decision-Theoretic Approach
Regime-switching multi-factor models are widely used in quantitative finance, but filtering does not by itself determine when an agent should act on inferred regime changes.$q_x$-Bass Martingales: Optimality, Existence and Convergence
We introduce the class of $q_x$-Bass martingales, extending the notion of $q$-Bass martingales.Portfolio Decarbonization under Incomplete Carbon and Transition Information
We study dynamic portfolio decarbonization under incomplete information about firms' carbon intensities and the underlying transition state.A GLE-LSV model with state-dependent leverage and colored noise
We study a local stochastic volatility (LSV) model in which the variance factor follows a generalized Langevin equation (GLE) with colored noise, and past returns act on variance through a memory…GROMM: Generative Risk-neutral Option Market Models
We present a statically and dynamically arbitrage-free European option market model with smooth interpolation between option prices, based on the SANOS framework, and prove that its dynamics admit a…Consumption adjustment with mean-reverting risk premia: A singular stochastic control approach
We study a two-sided singular stochastic control problem in which changes in consumption carry utility costs and the risk premium follows the mean-reverting Kim-Omberg model.Three options are roughly enough - Variance-optimal semi-static hedging in the rough Heston model
This paper studies semi-static variance-optimal hedging of variance swaps in the rough Heston model under a risk-neutral measure.Diffusive Market Impact: A Consistent Microfoundation
Structural price diffusivity explains many empirical regularities of market impact including the ``square-root law'' and its crossover to a linear regime for low trading rates…Restricted Entropic and Quadratic Hedging in the Small-Risk-Aversion Limit
In incomplete markets, contingent claims cannot in general be replicated exactly, and hedging must therefore be formulated as an optimization problem over admissible trading strategies.Robust distortion riskmetrics under Wasserstein ambiguity
Risk evaluation under distributional ambiguity is central to decision making in finance, economics, and operations research.