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 4
Optimal Investment to Reach a Financial Goal: A Stochastic Control Framework
We develop a framework for an investor who trades until she either reaches a financial goal or an exogenous deadline arrives.A Hawkes Microfoundation for Multitype Inverse Gaussian Subordinators
We provide an event-level Hawkes microfoundation for a multitype inverse-Gaussian stochastic clock.A Superprocess-based Approach to Rough CIR Processes and Feller Random Measures
Feller random measures generalize the Feller diffusion (the CIR process) by giving it memory.Latent Continuum of Regimes in Limit Order Book Dynamics
Market-regime models typically assume a finite set of discrete latent states.Model Risk Analysis for Entropic Hedging Strategies
Entropic risk optimisation is a general framework for pricing and hedging financial derivatives in incomplete markets that can be used to decompose P&L into market and model risk contributions.Retirement Planning with Minimum Guarantees for Both Beneficiaries and Fund Managers
This article studies a retirement planning problem from a new perspective in which a retiree delegates an initial lump sum to a professional fund manager.Buying at Support: The Entry Problem under Multi-Skew Brownian Motion
We study when to buy a share that will later be sold optimally, when the price follows a geometric multi-skew Brownian motion whose skew levels model support and resistance.The Right Wing of the SABR Smile with an Absorbing Boundary: Resolution of Conjectures of Henry-Labordère
We determine the leading logarithmic asymptotics of the fixed-maturity right tail of the SABR model with $β\in(0,1)$ and absorption at zero, for every correlation $ρ\in(-1,1)$.A Price-Based Framework for Stochastic Portfolio Theory
We develop a price-based framework for stochastic portfolio theory in which trading strategies are generated from nominal price weights and evaluated relative to a price-weighted benchmark.PreFER: Interactive Robo-Advisor with Scoring Mechanism
We propose an interactive robo-advising framework that learns personalized risk preferences from scores provided by clients.Cities of Signals: Compression, Separation, and the Geometry of Novelty
A cross-sectional signal is a forecast vector over $d$ assets at each date; demeaned and normalized, it is a point on a sphere.Negative Oil & Nickel Squeeze: A Feedback Model for Extreme Commodity Futures Prices
On April 20, 2020, the May front-month WTI oil futures contract, one day before its expiration date, opened near $\$17/$barrel and dropped far below zero in a single trading day, reaching an…Portfolio Choice under General Utility with Transaction Costs and Search Frictions
We study finite-horizon portfolio optimization with proportional transaction costs and trading opportunities arriving at the jump times of a Cox process.Certified Alpha Capacity: Statistical Arbitrage When Learning Takes Time
Statistical validation takes time, and alpha can decay before the evidence justifies deployment.Distribution-constrained maximum stopping of maximum type
We consider the distribution-constrained optimal stopping problem $\sup_{τ\sim μ} \mathbb E[B^*_τ]$, where $μ$ is a probability distribution on $\mathbb R_+$, and $(B^*_t)$ denotes the running…Densities for scalar-valued BSDEs via unique continuation and backward uniqueness
We give sufficient conditions ensuring that, at every fixed positive time, the scalar backward component of a Markovian forward-backward stochastic differential equation with multidimensional…Expected Utility Regret Rule: Minimax and Bayes Optimal Portfolio Choice
This study considers the problem of portfolio choice, where we recommend a portfolio to an investor to maximize the expected utility of their wealth.Multiperiod bond portfolio optimization with transaction costs using a Markov Decision process
Bank treasury portfolios must balance yield, liquidity, and interest-rate risk across bonds of different maturities.Finite-Horizon Reversible Investment under Multi-Factor Dynamics
We study a finite-horizon reversible investment problem in which a risk-neutral firm adjusts capacity at a proportional purchase cost and a lower salvage value under multi-factor geometric Brownian…A Spread-Gated Hawkes-Flocking Model for Best Bid and Ask Dynamics, with an Application to Limit Order Placement
We study the joint dynamics of the best bid and ask prices with a spread-gated Hawkes-flocking model.