On-device research index

arXiv research

A locally-built, LLM-digested index of recent arXiv papers in quant finance, geometry/topology, and statistical ML — keyword search served straight from SQLite on this machine.

168,657 papers · 148 categories

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← all fields·4 papers on “valuation” in Quant Finance · 1 month

Renewing Reliability: Valuation and Credit Risk Adjustments for Renewable Power Purchase Agreementsq-fin.PR

Paper develops framework for valuing and assessing credit risk in renewable PPAs.

problem Renewable PPAs expose both parties to counterparty credit risk.

method Modelled joint dynamics of electricity prices and renewable output, incorporated default probabilities.

result Provides transparent metric for PPA valuation under counterparty risk.

Renewable Energy Power Purchase Agreements Credit Risk Valuation CVA

2026-07-06abs ↗pdf ↗

Beyond the Fixed Price: Valuation and Risk of Non-Standard Renewable PPAsq-fin.PR

Develops framework for valuing and assessing risk of renewable PPAs.

problem Valuation and risk assessment of non-standard renewable PPAs.

method Formalizes payoff structures, derives fair contract prices, proposes market risk-assessment methodology.

result Fair prices and risk profiles vary across technologies and contractual structures.

renewable PPAs valuation risk assessment fixed-price wind

2026-07-03abs ↗pdf ↗

Robust Hedging Valuation Adjustment under Liquidity--Demand Stressq-fin.RM

Develops a robust hedging valuation adjustment measure for dynamic hedging under liquidity-demand stress.

problem Dynamic hedging under liquidity-demand stress

method Define robust HVA as the worst-case expected loss over a relative-entropy neighborhood of the loss distribution generated by simulated rebalancing and maturity-unwind trades.

result Distinguishes fixed-radius convention from fixed benchmark-stress convention and shows wider no-trade bands lower rebalancing costs but raise hedge-error risk.

hedging valuation liquidity stress robustness

2026-06-25abs ↗pdf ↗

Robust Hedging Valuation Adjustment under Liquidity--Demand Stressq-fin.RM

Paper develops a robust HVA measure for dynamic hedging under liquidity stress.

problem Valuation of dynamic hedging under liquidity stress.

method Defines robust HVA as worst-case expected loss over a relative-entropy neighborhood of loss distributions for no-trade bands.

result Wider no-trade bands lower rebalancing costs but increase hedge-error risk.

Hedging Valuation Liquidity Stress Dynamic Hedging Relative Entropy

2026-06-25abs ↗pdf ↗