Likelihood-Ratio Pricing, Capital Lock-In, and Prefunded Restarts in Parimutuel Prediction Markets

Forecasting the Term Structure of Crude Oil Futures Prices Under Mean-Reverting Dynamics and Deep Learning Models

The research indicates that combining mean-reversion theory with scientific machine learning (SciML) yields a robust, theoretically sound methodology for forecasting commodity prices.

Lie Symmetry Methods for Time-Fractional Option Pricing: Similarity Reductions, Mittag–Leffler Propagators, and Rough-Volatility Diagnostics

We formulate a dimensionally consistent time-fractional Black–Scholes model through inverse-stable subordination. A product pricing measure fixes the clock law and operational numeraire, while clock risk remains unspanned. The physical memory intensity is κα=t01-α\documentclass[12pt]{minimal} \usepackage{amsmath} \usep...

Robust Bayesian exceedance screening for count data

Rare-event screening in count data often concerns latent upper-tail risk rather than large observed counts alone. We develop a robust Bayesian procedure whose parameter-conditional tail functional is θi(ϑ)=Prϑ(Yirep>τi∣xi)\documentclass[12pt]{minimal} \usepackage{amsmath} \usepackage{wasysym} \usepackage{amsfonts} \use...

Ergodic robust maximisation of asymptotic growth with stochastic factor processes

We consider a robust asymptotic growth problem under model uncertainty in the presence of stochastic factors. We fix two inputs representing the instantaneous covariance for the asset price process X\documentclass[12pt]{minimal} \usepackage{amsmath} \usepackage{wasysym} \usepackage{amsfonts} \usepackage{amssymb} \usepa...

Cross-numeraire relative pricing of ethereum: data authority, market frictions, and static arbitrage bounds

Using Gate.io hourly spot-order-book archives from January 2022 through June 2023, this paper reconstructs a long-horizon five-second panel for comparing the direct Ether/Tether (ETH/USDT) quote with the synthetic Ether/Bitcoin (ETH/BTC) \documentclass[12pt]{minimal} \usepackage{amsmath} \usepackage{wasysym} \usepackag...

A Matrix-Free Comparison Method for Convergence-Rate Bounds in Renewal Processes with Dependent Inter-Renewal Times