Economics & Finance · Interdisciplinary & Society
Pricing of Securities
The newest papers in Pricing of Securities that ReadSearch has read, newest first. Each links to its own page, with its authors, date, where it was published and the original.
30 papers, from 7 September 2026 to 5 November 2026: 30 arXiv preprints.
Get the few papers worth your time in Pricing of Securities every morning.
Follow Pricing of Securities and ReadSearch reads its new papers each day, then brings you the few worth reading, each with its key finding in a sentence.
Newest papers
Information-Theoretic Model for the Growth Optimal Portfolio of Stocks
Drawing on information-theoretic principles and empirical evidence, a proxy for the growth-optimal portfolio of stocks (the benchmark) is constructed and modeled.A Rough Instantaneous Squared VIX Model for Term Structure and Option Pricing
The VIX term structure provides forward-looking measures of market uncertainty across horizons, while VIX options allow investors to hedge volatility risk.Quantifying Repair Risk in Crypto Option Surfaces
Option desks adjust crypto option quotes into price surfaces that remain within bid-ask intervals and satisfy standard no-arbitrage restrictions across strikes before computing Greeks, hedge…An Introduction to Financial Derivatives: Open Lecture Notes
These lecture notes give a broad introduction to financial derivatives at the level of a Masters program in quantitative finance.Security and Derivative Pricing with Fast Regime Switches
A regime-switching model lets any parameter of a standard model take a different value in each state of a hidden Markov chain.Strong rate for one-dimensional driftless continuous strict local martingales
For one-dimensional strict local martingales of the form $\mathrm{d} X_t=σ(X_t) \mathrm{d} W_t$ starting from $X_{0}=x_{0}>0$, we prove the strong rate $\mathbb{E}\left[|X^h_N-X_T|\right] \lesssim…Negative Convexity in Pass-Through MBS: Mechanisms and Conditions
This paper investigates the mechanisms and conditions underlying negative convexity in pass-through mortgage-backed securities (MBSs) backed by fixed-rate mortgages.An Application of Geometric Riemannian Pricing Algorithm for Valuing Catastrophe Bonds in Incomplete Markets: Market-Consistent Financial Entropy and the Split of Frequency and Severity Risk Premia
This paper presents a framework for pricing catastrophe (CAT) bonds in incomplete markets through Riemannian geometric optimization of financial entropy.Does Ecosystem Activity Validate TVL?
Total value locked (TVL) is widely used to assess decentralized finance ecosystems.The Term Structure of Implied Fee Rates in Liquidity Pools
We develop a no-arbitrage framework to recover implied fee rates from option-implied information and quantify fee compensation for liquidity providers in automated market maker (AMM) pools.Optimal ratcheting dividend policies with resets
We study an optimal dividend policy problem under ratcheting and bankruptcy constraints.Multiple Stopping and Exercise Boundaries for American Put Options
This article studies a finite-horizon American put option with up to $m$ exercise rights under the risk-neutral Black--Scholes model, where consecutive exercises must be separated by a prescribed…Arithmetic Models for Commodity Futures, Vanilla, and Calendar Spread Options
We develop an arithmetic multi-factor stochastic volatility model for commodity futures and options.DSINC beyond Heston: the 3/2 and other non-affine stochastic-volatility models
This paper extends the damped-sinc (DSINC) method for American options beyond the affine Heston class to general one-factor stochastic-volatility models.SHADE: Shrinkage via Halted Alpha-stable Denoising for Heavy-Tailed Probabilistic Time Series Forecasting
Time-series observations are particularly susceptible to noise, and many real-world series have low signal-to-noise ratios (SNRs) together with heavy-tailed and time-varying disturbances.Basis-Only Funding Is Not Dividend Fair: Settlement Design in Crypto Equity Perpetuals
Crypto venues increasingly list perpetual futures on equities and other real-world assets (RWAs), which trade continuously yet reference dividend-paying stocks: a long equity perpetual marked to the…Market Efficiency in a Changing Asset Population: Mobility, Entry, and Survival over Cryptocurrency's Full History
Weak-form efficiency implies symmetry restrictions on the Markov chain governing movement across the cryptocurrency capitalisation distribution.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.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…