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 7
Arbitrage in Estimate Nothing: an example
We give a two-period counterexample to the absence of arbitrage for the posterior-weighted pricing rule in Estimate nothing by Duembgen and Rogers.Exact calibration of structural models via time-change
In this note, we propose a general structural approach to model a default time $τ$ as the first-passage time (FPT) of a (``firm-value'') process $S$ below a (``debt'') barrier $K$ that comply with a…Short-maturity skew stickiness ratio under local volatility
We prove that the skew stickiness ratio converges to two at short maturity under local volatility models.Variance-Optimal Hedging in the Rough Hawkes--Heston Model
We study variance-optimal stock hedging and the convergence of approximate strategies in the rough Hawkes--Heston model.Numeraire Invariance of Entropy-Projected Martingale Measures
Let \(P\) be a fixed physical law and let \(Q\) be an equivalent martingale measure selected from the martingale-measure set associated with a chosen numeraire.The Delta of a Variance Swap
We define the variance swap delta as the sensitivity of the price of variance to a change in underlying price.Geometric and Arithmetic Likelihood Aggregation for Diffusions with Heterogeneous Volatility
We study how to combine diffusion models that disagree about drift and covariance.Fixed Points for the $q$-Bass Martingale: Existence, Stability, and Convergence
We establish existence, uniqueness, stability, and convergence results for one-dimensional $q$-Bass martingales, characterized as the martingales with prescribed initial and terminal marginals whose…Regimes in the Order Flow
Financial markets alternate between periods of relative stability and instability, with structural breaks marking the transitions between these regimes.