3 papers
math.OC2026
Signature Methods for Optimal Market Making
Alberto Gennaro, Thibaut Mastrolia, Francesca Primavera
We propose a signature-based method to solve the optimal market-making problem under a mean-variance criterion. By exploiting signature linearization techniques, we reduce the mark…
math.PR2026
2BSDE with uncertain horizon and application to stochastic control in erratic environments
Alberto Gennaro, Thibaut Mastrolia
We investigate the existence and uniqueness of non-Markovian second-order backward stochastic differential equations with an uncertain terminal horizon and establish comparison pri…
q-fin.MF2026
Delegated portfolio management with random default
Alberto Gennaro, Thibaut Mastrolia
We are considering the problem of optimal portfolio delegation between an investor and a portfolio manager under a random default time. We focus on a novel variation of the Princip…