2 papers
q-fin.MF2025
Fixed-Income Pricing and the Replication of Liabilities
Damir Filipović
This paper develops a model-free framework for static fixed-income pricing and the replication of liability cash flows. The absence of static arbitrage across a universe of fixed-i…
stat.ML2025
Error Propagation in Dynamic Programming: From Stochastic Control to Option Pricing
Andrea Della Vecchia, Damir Filipović
This paper investigates theoretical and methodological foundations for stochastic optimal control (SOC) in discrete time. We start formulating the control problem in a general dyna…