Category Archives: Applied Mathematical Finance

On the Skew and Curvature of the Implied and Local Volatilities

Posted on 9 October 2023 by

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Arbitrage-Free Neural-SDE Market Models

Posted on 28 September 2023 by

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Exchange Option Pricing Under Variance Gamma-Like Models

Posted on 28 August 2023 by

Volume 29, Issue 6, December 2022, Page 494-521
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Solvability of Differential Riccati Equations and Applications to Algorithmic Trading with Signals

Posted on 3 August 2023 by

Volume 29, Issue 6, December 2022, Page 457-493
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Policy Gradient Learning Methods for Stochastic Control with Exit Time and Applications to Share Repurchase Pricing

Posted on 2 August 2023 by

Volume 29, Issue 6, December 2022, Page 439-456
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