Portfolio replication, or the construction of a tradable basket of assets to match the risk-return profile of a target benchmark, is fundamentally an ill-posed inverse problem. When restricted to a subset of available assets, classical variance-minimizing models often yield unstable, over-leveraged
Robust portfolio rules that reconstruct confidence sets after learning need not preserve the evaluator obtained by prior-by-prior Bayesian transport. In the Gaussian model, this discrepancy is summarized by natural-coordinate displacement: inherited transport preserves it whereas fresh reconstructio
We develop a global framework for joint S&P 500 (SPX)-VIX smile calibration across multiple maturities without the conditional-independence restriction induced by Markovian stitching. Exact local and global feasibility are equivalent: every globally feasible law has a block-preserving SPX-Markovizat
Modern portfolio management increasingly demands a balance between traditional risk-adjusted returns and strict Environmental, Social, and Governance (ESG) mandates. Current Reinforcement Learning (RL) approaches typically optimize for a single ESG provider, neglecting the significant divergence in
We study deep hedging in the context of dynamics risk measures, where sequential decisions are time-consistent. Whereas the literature in such context mainly considers low-dimensional problems with simple environment dynamics, we tackle the high-dimensional problem of basket option hedging; we show
Although market participants generally have access to a common information set, they make decisions based on forecasts formed over heterogeneous horizons. Because market impact depends on aggregate positions rather than trader identities, these decisions feed back into prices through their collectiv
Trade durations in high-frequency foreign exchange data exhibit increased occurrence near integer values. To address this empirical phenomenon, we propose the granularity-adjusted autoregressive conditional duration (GA-ACD) model. It is based on a novel two-component mixture distribution consisting
Transient impact models compose a nonlinearity with a memory kernel, and the order of composition determines the criterion for absence of price manipulation. We classify both orders. If an arbitrary instantaneous law $f$ acts on the trading rate before any nonzero integrable Volterra kernel, nonnega
Scaling laws in modern deep learning describe how held-out loss improves as model capacity, training data, and compute increase, often following power-law trends. We investigate whether analogous scaling regularities arise in actuarial ratemaking, where data are tabular, heterogeneous, and noisy, an
This paper develops a mechanism through which costly changes in the representations used for portfolio choice can contribute to persistent signed order flow. Heterogeneous switching thresholds and opportunity volatility generate heterogeneous residence times, and renewal aggregation maps their execu
Reputation is a fundamental mechanism through which markets sustain trust when service quality cannot be perfectly assessed ex ante, constituting a form of intertemporal economic capital by attracting future demand. Its effectiveness as a disciplinary mechanism depends not only on past interactions
Large Language Models (LLMs) increasingly use user context such as memory, profiles, and role prompts to personalize their responses. This personalization can affect evidence-based judgment: the same evidence may lead to different conclusions under different user contexts. Finance provides a high-st
This paper develops uniform inference and certified capacity decisions for an estimated financial stability boundary. Conditional risk, temporary cross-impact, and effective risk-bearing capacity are jointly estimated from dependent observations. Conventional pointwise inference is reliable at a sep
We study a parabolic obstacle partial integro-differential equation (PIDE) with a dynamically moving bilateral free boundary. This type of problem arises in the mathematical modeling of speculative asset bubbles with Lévy jump processes. We consider the existence of viscosity supersolutions within t
This paper develops a difference-in-differences framework for staggered policy adoption when units can be affected by other units’ adoption. For each treated cohort and event time, the framework separates the effect of own adoption, the spillover effect generated by other adopters, and the total eff
We conduct the first rigorous study of electricity price volatility for the full panel of electricity prices across three European generation zones. By interpreting the observed day-ahead prices as local averages of a latent price process governed by a stochastic partial differential equation, we de
Filtering problems with jumps in both the signal and the observation have been extensively studied, typically under the assumption that jump times are totally inaccessible. In many applications, however, jump times are known in advance (i.e., predictable), such as scheduled clinical visits, dividend
The geometric approach to financial markets with proportional transaction cost prescribes to imbed a specific model (of stock market, of currency market etc.), usually given in a parametric form, into a natural framework defined by the two random processes, S and K. The first one, d-dimensional, mod
This paper investigates optimal investment and pension policies in a Pay-As-You-Go (PAYG) system supplemented by a buffer fund used as an intergenerational risk-sharing mechanism. The social planner’s preference criterion is represented by non-zero volatility forward Constant Relative Risk Aversion
Put-call parity is exact as a terminal-payoff identity, yet its market enforcement is path-dependent and capital-using. This paper examines whether physical-measure drift is reflected in the carry gap, defined as the annualized wedge between option-implied and OIS-implied discounting, using SPX and