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 6
Local Weak Limits for Equilibrium and Risk in Economic Networks
We study equilibrium and risk evaluation in large sparse economic networks with heterogeneous responses, shocks, and bilateral exposures.Active Portfolio Management in Concentrated Equity Markets
The equal-weighted portfolio is a passive, rule-based strategy that has historically been difficult to outperform, delivering higher returns than the capitalization-weighted "market" benchmark…Surface-Driven Stochastic Volatility for Commodity Options: Identification of Stochastic Vol-of-Vol and Leverage from Smile Dynamics
Commodity option surfaces contain information beyond the at-the-money volatility level.Affine Volterra covariance processes and application to commodity markets
We study affine stochastic Volterra equations on the cone of symmetric positive semidefinite matrices.On Control of Drawdown: Robust Invariance and Optimality
Mitigating \emph{drawdown}, the decline in wealth from its running peak, presents a canonical problem in path-dependent risk control.Extremal Mean-Variance Functionals over Wasserstein Balls: Applications to Risk Sharing
We characterize the worst- and best-case values of a mean-variance functional over a 2-Wasserstein ball.Stochastic Mortality Model with Fractional Lévy Dynamics
A substantial body of empirical evidence suggests that stochastic mortality models ignoring long range dependence tend to underestimate life expectancy, which may lead to profound implications for…Nested Clustered Optimization Is One End of a Schur Bridge, and the Interior Is Sometimes Provably Better
Nested clustered optimization allocates within each cluster from the cluster's own covariance block and then across the resulting cluster portfolios.Equilibrium prices under hidden Markov fundamentals
We study a representative-agent Epstein-Zin economy with geometric dividends and a hidden finite-state Markov drift.Quadratic and $p$-th variation of random signed Takagi--Landsberg bridges
We study random signed Takagi--Landsberg bridges with independent Rademacher Faber--Schauder coefficients.Regularity of a Multidimensional Principal-Agent Problem with Separable Effort Costs
This paper studies the regularity of the value function arising from a multidimensional continuous-time principal-agent model with separable, nonquadratic effort costs.Quadratic G-BSDEs for bond pricing with endogenous short-rate feedback
We study robust bond valuation with endogenous short-rate feedback under volatility uncertainty.Optimal entry and exit for variance swaps: closed-form rules for the perpetual contract
Variance swaps are a convenient instrument for trading vega and convexity, and a listed contract now trades on Cboe.SAiFE-gym: Model-based Environments for Automated Market Making with Concentrated Liquidity
We present SAiFE_gym, a Python module that provides a collection of simulation environments for studying trading problems in Constant Product Markets (CPMs) with Concentrated Liquidity (CL).Demystifying the Bergomi-Guyon expansion
Alòs, Gatheral and Radoičić derived the Bergomi-Guyon expansion of the implied variance smile from the forest expansion of the cumulant generating function.The skew Brownian motion should not be used as a risk-neutral returns process: a well-posed skew-normal alternative
Return models for risk-neutral financial valuation based on skew Brownian motions (SBMs) have been introduced about twenty years ago, and have recently enjoying growing popularity.Strategic Index Reconstitution: Differential Games, Closed-Loop Equilibria and Mean-Field Dynamics
We study strategic trading around index reconstitution in a continuous-time, multiasset game with transient cross-asset price impact and heterogeneous beliefs about future index membership.Gaussian Normalized Coordinates and Risk-Neutral CDF Deformations
Normalized implied-volatility coordinates reveal no-arbitrage structure that is less transparent in strike space.Event-Time Order-Flow Memory, Operational-Time Impact, and Subordinated Market Observables
We consider two canonical market-microstructure regularities: the long-memory of trade signs and the square-root law of meta-order impact.Yet another asymptotic formula for implied volatility
We derive a first-order representation of Black-Scholes implied variance in a continuous local martingale model.