2 papers
math.OC2026
Optimal dividend and capital injection under self-exciting claims
Paulin Aubert, Etienne Chevalier, Vathana Ly Vath
In this paper, we study an optimal dividend and capital-injection problem in a Cramér--Lundberg model where claim arrivals follow a Hawkes process, capturing clustering effects of…
q-fin.TR2026
Option market making with hedging-induced market impact
Paulin Aubert, Etienne Chevalier, Vathana Ly Vath
This paper develops a model for option market making in which the hedging activity of the market maker generates price impact on the underlying asset. The option order flow is mode…