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.
Examines insurance market development and similarity post-2004 EU enlargement.
Discussion of ``2004 IMS Medallion Lecture: Local Rademacher complexities and oracle inequalities in risk minimization'' by V. Koltchinskii [arXiv:0708.0083]
Discussion of ``2004 IMS Medallion Lecture: Local Rademacher complexities and oracle inequalities in risk minimization'' by V. Koltchinskii [arXiv:0708.0083]
Discussion of ``2004 IMS Medallion Lecture: Local Rademacher complexities and oracle inequalities in risk minimization'' by V. Koltchinskii [arXiv:0708.0083]
Discussion of ``2004 IMS Medallion Lecture: Local Rademacher complexities and oracle inequalities in risk minimization'' by V. Koltchinskii [arXiv:0708.0083]
Discussion of "2004 IMS Medallion Lecture: Local Rademacher complexities and oracle inequalities in risk minimization" by V. Koltchinskii [arXiv:0708.0083]
The aim of this paper is to compare statistical properties of stock price indices in periods of booms with those in periods of stagnations. We use the daily data of the four stock price indices in the major stock markets in the world: (i) the Nikkei 225 index (Nikkei 225) from January 4, 1975 to August 18, 2004, of (ii…
In discrete time markets with proportional transaction costs, Schachermayer (2004) shows that robust no-arbitrage is equivalent to the existence of a strictly consistent price system. In this paper, we introduce the concept of prospective strict no-arbitrage that is a variant of the strict no-arbitrage property from Ka…
Bayesian approach confirms no return predictability for 1926-2004 data, weak evidence for 1953-2021.
This is a survey paper on the space of symplectic structures on closed 4-manifolds, for the Proceedings ICCM 2004
In this note we make several observations concerning symplectic fillings. In particular we show that a (strongly or weakly) semi-fillable contact structure is fillable and any filling embeds as a symplectic domain in a closed symplectic manifold. We also relate properties of the open book decomposition of a contact man…
We apply fixed-point techniques to compute the coefficient ring of semifree geometric circle-equivariant complex cobordism with isolated fixed points, recovering a 2004 result of Sinha through 19th-century methods.
In this work we derive an approximated no-arbitrage market valuation formula for Constant Maturity Credit Default Swaps (CMCDS). We move from the CDS options market model in Brigo (2004), and derive a formula for CMCDS that is the analogous of the formula for constant maturity swaps in the default free swap market unde…
This paper is a contribution to the Proceedings of the Workshop Complexity, Metastability and Nonextensivity held in Erice 20-26 July 2004, to be published by World Scientific. We propose a generalization to Merton's model for evaluating credit spreads. In his original work, a company's assets were assumed to follow a …
Simulating fluid flow in geological formations requires mesh generation, lithology mapping to the cells, and computing geometric properties such as normal vectors and volume of cells. The purpose of this research work is to compute and process the geometrical information required for performing numerical simulations in…
Cubature methods, a powerful alternative to Monte Carlo due to Kusuoka~[Adv.~Math.~Econ.~6, 69--83, 2004] and Lyons--Victoir~[Proc.~R.~Soc.\\Lond.~Ser.~A 460, 169--198, 2004], involve the solution to numerous auxiliary ordinary differential equations. With focus on the Ninomiya-Victoir algorithm~[Appl.~Math.~Fin.~15, 1…
In his recent investigation of a super Teichmüller space, Sachse (2007), based on work of Molotkov (1984), has proposed a theory of Banach supermanifolds using the `functor of points' approach of Bernstein and Schwarz. We prove that the the category of Berezin-Kostant-Leites supermanifolds is equivalent to the category…
In this note we re-examine the analysis of the paper "On the martingale property of stochastic exponentials" by B. Wong and C.C. Heyde, Journal of Applied Probability, 41(3):654-664, 2004. Some counterexamples are presented and alternative formulations are discussed.
The purpose of this article is to provide, with the help of a fluctuation identity, a generic link between a number of known identities for the first passage time and overshoot above/below a fixed level of a Levy process and the solution of Gerber and Shiu [Astin Bull. 24 (1994) 195-220], Boyarchenko and Levendorskii […
Barrieu, Rouault, and Yor [J. Appl. Probab. 41 (2004)] determined asymptotics for the logarithm of the distribution function of the Hartman-Watson distribution. We determine the asymptotics of the density. This refinement can be applied to the pricing of Asian options in the Black-Scholes model.
Suppose is a train track on a surface . Let be the set of isotopy classes of simple closed curves carried by . Masur and Minsky [2004] prove is quasi-convex inside the curve complex . We prove the complement, , is quasi-convex.
Almost integral TQFTs were introduced by Gilmer [Duke Math. J. 125 (2004) 389--413]. The aim of this paper is to modify the TQFT of the category of extended 3-cobordisms given by Turaev (in his book: Quantum invariants of knots and 3-manifolds) to obtain an almost integral TQFT.
Historical (Stressed-) Value-at-Risk ((S)VAR), and Expected Shortfall (ES), are widely used risk measures in regulatory capital and Initial Margin, i.e. funding, computations. However, whilst the definitions of VAR and ES are unambiguous, they depend on input distributions that are data-cleaning- and Data-Model-depende…
These are expanded notes of a course given in Grenoble in june 2004. After a brief description of the harmonic map proof of Margulis' superrigidity and arithmeticity theorems, it is shown how the method might generalize to fundamental groups of simplicial complexes whose links have large enough nonlinear spectral gaps,…
We consider a general discrete-time financial market with proportional transaction costs as in [Kabanov, Stricker and Rásonyi Finance and Stochastics 7 (2003) 403--411] and [Schachermayer Math. Finance 14 (2004) 19--48]. In addition to the usual investment in financial assets, we assume that the agents can invest part …
This paper computes the obstruction to the existence of equivariant extensions of basic gerbes over non-simply connected compact simple Lie groups. By modifying a (finite dimensional) construction of Gawȩdzki-Reis [J. Geom. Phys. 50(1):28-55, 2004], we exhibit basic equivariant bundle gerbes over non-simply connected c…
This is a survey paper on several aspects of differential geometry for the last 30 years, especially in those areas related to non-linear analysis. It grew from a talk I gave on the occasion of seventieth anniversary of Chinese Mathematical Society. I dedicate the lecture to the memory of my teacher S.S. Chern who had …
Recently Carr and Wu (2004, 2005) and also Huang and Wu (2004) show that most stochastic processes used in traditional option pricing models can be cast as special cases of time-changed Lévy processes. In particular these are models which can be tailored to exhibit correlated jumps in both the log price of assets and t…
This is an expansion on my talk at the Geometry and Topology conference at McMaster University, May 2004. We outline a program to relate the Heegaard Floer homologies of Ozsvath-Szabo, and Seiberg-Witten-Floer homologies as defined by Kronheimer-Mrowka. The center-piece of this program is the construction of an interme…
These are lecture notes from the Clay Mathematics Institute summer school ``Floer Homology, Gauge Theory, and Low Dimensional Topology'' Alfred Renyi Institute; www.claymath.org/programs/summer_school/2004/. The main goal of these notes is to sketch a proof of Giroux correspondence between open book decompositions of t…
Sharp Sobolev inequalities proved on manifolds with non-negative Ricci curvature.
We observe that the determinant of the representation provides a little restriction for the structure of the graded quotients introduced in both [Algebr. Geom. Topol. 1 (2001) 39-55] and [J. Knot Theory Ramifications 13 (2004) 297-306] that any one of them does not contain the trivial 1-dimensional…
We find the optimal investment strategy for an individual who seeks to minimize one of four objectives: (1) the probability that his wealth reaches a specified ruin level {\it before} death, (2) the probability that his wealth reaches that level {\it at} death, (3) the expectation of how low his wealth drops below a sp…
This paper is based on a talk presented by the first author at the Short Program on Riemannian Geometry that took place at the Centre de Recherche Mathématiques, Université de Montréal, during the period June 28-July 16, 2004. It is a report on our joint work with János Kollár concerning the existence of an abundance o…
Carr and Wu (2004), henceforth CW, developed a framework that encompasses almost all of the continuous-time models proposed in the option pricing literature. Their framework hinges on the stopping time property of the time changes. By analyzing the measurability of the time changes with respect to the underlying filtra…
We investigate hierarchical structures of the European countries by using debt as a percentage of Gross Domestic Product (GDP) of the countries as they change over a certain period of time. We obtain the topological properties among the countries based on debt as a percentage of GDP of European countries over the perio…
We discuss the no-arbitrage conditions in a general framework for discrete-time models of financial markets with proportional transaction costs and general information structure. We extend the results of Kabanov and al. (2002), Kabanov and al. (2003) and Schachermayer (2004) to the case where bid-ask spreads are not kn…
In this work we develop a tractable structural model with analytical default probabilities depending on a random default barrier and possibly random volatility ideally associated with a scenario based underlying firm debt. We show how to calibrate this model using a chosen number of reference Credit Default Swap (CDS) …
This article contains the lecture notes for the short course ``Introduction to Econophysics,'' delivered at the II Brazilian School on Statistical Mechanics, held in Sao Carlos, Brazil, in February 2004. The main goal of the present notes is twofold: i) to provide a brief introduction to the problem of pricing financia…
The two main theorems of this paper provide a characterization of hyperbolic affine iterated function systems defined on Rm. Atsushi Kameyama (Distances on Topological Self-Similar Sets, Proceedings of Symposia in Pure Mathematics, Volume 72.1, 2004) asked the following fundamental question: given a topological self-si…
In this paper, we studied the dynamics of the log-return distribution of the Korean Composition Stock Price Index (KOSPI) from 1992 to 2004. Based on the microscopic spin model, we found that while the index during the late 1990s showed a power-law distribution, the distribution in the early 2000s was exponential. This…
We show that the multi-class support vector machine (MSVM) proposed by Lee et. al. (2004), can be viewed as a MAP estimation procedure under an appropriate probabilistic interpretation of the classifier. We also show that this interpretation can be extended to a hierarchical Bayesian architecture and to a fully-Bayesia…
An emended and improved version of the present paper has been archived in math-ph/0505057, and a preliminary account of its content has been published in Phys.Rev.Lett. 92, 60601, (2004). Moreover, in order to prove the relevance of topology for phase transition phenomena in a broad domain of physically interesting cas…
We analyze 27 house price indexes of Las Vegas from Jun. 1983 to Mar. 2005, corresponding to 27 different zip codes. These analyses confirm the existence of a real-estate bubble, defined as a price acceleration faster than exponential, which is found however to be confined to a rather limited time interval in the recen…
Introduces relative stability conditions on triangulated categories.
These are notes from lectures given at the Clay Institute Summer School on "Floer homology, gauge theory and low-dimensional topology" (Budapest, 2004). The first part describes as background some of the geometry of symplectic fibre bundles and their monodromy. The second part, overviewing joint work with Paul Seidel, …
In his Inventiones paper, Ziller (Invent. Math: 1-22, 1977) computed the integral homology as a graded abelian group of the free loop space of compact, globally symmetric spaces of rank 1. Chas and Sullivan (String Topology, 1999)showed that the homology of the free loop space of a compact closed orientable manifold ca…
Revisits elastic string model to explain interest rate correlations.