We study scaled trinomial models converging to the Black–Scholes model, and analyze exponential certainty-equivalent prices for path-dependent European options. As the number of trading dates $n$ tends to infinity and the risk aversion is scaled as $nl$ for a fixed constant $l>0$, we derive a nontr
We investigate stability properties of weak supermartingale optimal transport (WSOT) problems on $\mathbb{R}$. For probability measures $μ,ν\in\mathcal{P}r$ satisfying $μ\leq{cd} ν$ (equivalently, $Π_S(μ,ν)\neq\emptyset$), we consider supermartingale couplings $π=μ(d x)π_x(d y)$ and the weak trans
Accurately predicting stock repurchases is crucial for quantitative investment and risk management, yet traditional static models fail to capture the complex temporal dependencies of corporate financial conditions. This paper proposes a dynamic early warning system integrating economic theory with d
Accurately characterizing the implied volatility curves is a central challenge in option pricing and risk management. The classical SABR model by Hagan et al. has been widely adopted in practice due to its well-defined stochastic volatility structure and its tractable closed-form approximation for B
In the context of containment of default contagion in financial networks, we here study a regulator that allocates pre-shock capital or liquidity buffers across banks connected by interbank liabilities and common external asset exposures. The regulator chooses a nonnegative buffer vector under a lin
This paper revisits and extends the 2013 development by Rockafellar and Uryasev of the Risk Quadrangle (RQ) as a unified scheme for integrating risk management, optimization, and statistical estimation. The RQ features four stochastics-oriented functionals – risk, deviation, regret, and error, alon
This paper introduces \emph{biased mean regression}, estimating the \emph{biased mean}, i.e., $\mathbb{E}[Y] + x$, where $x \in \mathbb{R}$. The approach addresses a fundamental statistical problem that covers numerous applications. For instance, it can be used to estimate factors driving portfolio
This article proposes a new class of risk-sharing rules by exploring the relationship between capital allocation and risk sharing. While the former is concerned with ex-ante allocating capitals to different lines of business within a corporation based on the relationship among the individual risks,
We present a strictly monotone, provably convergent two-dimensional (2D) integration method for multi-period mean-conditional value-at-risk (mean-CVaR) reward-risk stochastic control in models whose one-step increment law is specified via a closed-form characteristic function (CF). When the transiti
For independent multi-outcome events under multiplicative parlay pricing, we give a short exact proof of the optimal Kelly strategy using the implicit-cash viewpoint. The proof is entirely eventwise. One first solves each event in isolation. The full simultaneous optimizer over the entire menu of si
Transfer-based anti-money laundering (AML) systems monitor token flows through transaction-graph abstractions, implicitly assuming that economically meaningful value migration is sufficiently encoded in transfer-layer connectivity. In this paper, we demonstrate that this assumption, the bedrock of c
In this paper, we develop a general rough volatility model for commodities that provides an automatic calibration of the initial term structure of the futures prices and an appropriate treatment of the Samuelson effect. After the theoretical analysis of this general model, we focus on the rBergomi a
We propose a semi-structured discrete-time multi-state model to analyse mortgage delinquency transitions. This model combines an easy-to-understand structured additive predictor, which includes linear effects and smooth functions of time and covariates, with a flexible neural network component that
This paper introduces a new extension of the Conditional Autoregressive Value at Risk (CAViaR) model aimed at improving tail risk forecasting across assets. The proposed component-based model, CAViaR with Spillover Effects (CAViaR-SE), decomposes the conditional Value at Risk into a proper-risk comp
This paper considers an insurer with two collaborating business lines that faces three critical decisions: (1) dividend payout, (2) reinsurance coverage, and (3) capital injection between the lines, in the presence of model uncertainty. The insurer considers the reference model to be an approximatio
Stochastic resetting has attracted significant attention in recent years due to its wide-ranging applications across physics, biology, and search processes. In most existing studies, however, resetting events are governed by an external timer and remain decoupled from the system’s intrinsic dynamics
We develop a semi-static framework for the variance-optimal hedging of multi-asset derivatives exposed to correlation and covariance risk. The approach combines continuous-time dynamic trading in the underlying assets with a static portfolio of auxiliary contingent claims. Using a multivariate Galtc
This paper examines how trade policy uncertainty influences the correlation between U.S. stock indices and short-term government bonds. The objective is to assess whether policy-related shocks, especially those linked to trade tensions, alter the traditional stock-T bill relationship and its implica
Using standard financial ratios as variables in statistical analyses has been related to several serious problems, such as extreme outliers, asymmetry, non-normality, and non-linearity. The compositional-data methodology has been successfully applied to solve these problems and has always yielded su
We introduce a practical, interactive simulator of the limit order book for large-tick assets, designed to produce realistic execution, costs, and P&L. The book state is projected onto a tractable representation based on spread and volume imbalance, enabling robust estimation from market data. Event