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 5
Dyson-Schwinger Effective-Action Methods for Rough Volatility: A Correlation-Response Architecture for Calibration, Exotics and Risk
We develop a non-perturbative framework for stochastic-volatility option pricing built on the two-particle-irreducible (2PI) effective action and the Dyson-Schwinger gap equations of quantum field…A Generalized Langevin Model of Latent Liquidity and Concave Price Impact
We model market impact as the response to submitted order flow net of counterflow from latent traders, activated when price displacements from the level that would prevail without the order exceed…Global Structure and Local Specifications in Sublinear Valuation
This work studies the relationships among sublinear valuation rules, uncertainty structures, and local specifications in a time-homogeneous Markovian framework with killing.Short-term barrier option price expansion
We derive a short-maturity expansion for up-and-out put barrier option prices under continuous stochastic volatility when the strike and the barrier approach the spot at the diffusive scale.Optimal Liquidation with Support and Resistance Levels under Multi-Skew Brownian Motion
We solve the perpetual liquidation problem for a geometric multi-skew Brownian motion carrying local-time pushes upward at a support level and downward at a resistance level, a model of technical…Transpose-odd operator chirality in co-moving multiplicative processes: exact tail-level structure and a detectability obstruction
We ask whether transposition changes the stationary heavy tail of the co-moving recursion $\mathbf x_{t+1}=Q_tBQ_t^\top\mathbf x_t+Q_t\boldsymbolη_t$ in $d=3$.Introducing the CZAR Loss: A Tailored Objective Function for Financial Log-Return Predictions
In quantitative finance, standard regression losses are misaligned with the economics of return prediction.When Hedging Changes the Payoff: Option Replication with Price Impact and Execution Costs
Hedging a derivative by trading the underlying asset changes the payoff that the hedging intended to replicate.Basket implied volatility skew and stickiness
We study the short-maturity implied volatility and the skew stickiness ratio for baskets of assets with continuous, possibly rough, stochastic volatility.Oracle-Parametrized Constant Function Market Makers: From Price Feeds to Pricing Rules
This paper introduces oracle-parametrized automated market makers (OP-AMMs), i.e., automated market makers whose quoted price depends jointly on the pool reserves and an external oracle price.Magic strikes for variance and gamma contracts, and other attainable claims
Building on the forest expansion of Alòs, Gatheral and Radoičić and on the explicit Bergomi-Guyon smile expansion derived by Bourgey and Gatheral (2026), we derive fixed-point approximations, in…Optimal Reinsurance-Dividend Strategy with Fixed Transaction Costs in a Regime-Switching Brownian Risk Model: A Viscosity Solution to the Impulse Control Problem
We consider a problem of optimal proportional reinsurance-dividend distribution under a Brownian risk model, where both the drift and volatility coefficients are subject to endogenous…On the asymptotic shape of quantile surfaces
This article is concerned with the asymptotic shape of quantile surfaces, defined as the set of quantiles at a given level $α$ generated by a controlled one-dimensional distribution.Algorithmic trading and stochastic integration
We study simple predictable processes whose coefficients are represented by neural networks.Affine Pricing Models from Group Quantization and Holonomy
The analytic tractability of affine pricing models is usually expressed through two complementary formulations: a coordinate-space pricing operator and an exponential-affine transform representation…Stability of Change-of-Numéraire Reweighting: An Exact Wasserstein Boundary
Reweighting a probability law by a positive numéraire and pushing forward the payoff-to-numéraire ratio yields the change-of-numéraire reweighting: the swap-rate law under the annuity measure, the…Market Completeness and Optional Projections under Restricted Information
In a finite discrete-time market, trading decisions may be predictable with respect to a filtration that does not adapt asset prices.Modeling interest rate swap volatility with GARCH processes
We examine the conditional volatility dynamics of the USD 1Yx10Y forward swap rate using GARCH(1,1), GJR-GARCH(1,1), and a two-regime Markov-switching GARCH (MSGARCH) model.Optimal Investment and Consumption in Financial Markets with Integrated Variance Clocks
We study the infinite-horizon optimal investment and consumption problem in a general class of continuous financial markets, where uncertainty is driven by a continuous non-decreasing stochastic…Liquidity Provision and Rebate Design in Option Markets
We provide a model for the nested optimisation problem of market making and rebate design problems in option markets and find optimal strategies.