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.
Study cash-subadditive risk measures without quasi-convexity.
The paper fits cash management models to data using stochastic and linear programming.
We propose a top-down model for cash CLO. This model can consistently price cash CLO tranches both within the same deal and across different deals. Meaningful risk measures for cash CLO tranches can also be defined and computed. This method is self-consistent, easy to implement and computationally efficient. It has the…
In this paper we aim to find a measure for the diversity of cash flows between agents in an economy. We argue that cash flows can be linked to probabilities of finding a currency unit in a given cash flow. We then use the information entropy as a natural measure of diversity. This leads to a hirarchical inequality meas…
A new class of risk measures called cash sub-additive risk measures is introduced to assess the risk of future financial, nonfinancial and insurance positions. The debated cash additive axiom is relaxed into the cash sub additive axiom to preserve the original difference between the numeraire of the current reserve amo…
A modular cash-overlay rule for allocating between a fixed growth-defensive risky sleeve and interest-bearing cash.
ADMM solves constrained CASH problems by breaking them into smaller, manageable pieces.
Paper defines the payback period for nonconventional cash flows using axioms.
Paper develops models to forecast private equity fund cash flows.
Study examines cash conversion cycle in manufacturing firms, finding negative relationships with profitability and size.
Cash management is concerned with optimizing the short-term funding requirements of a company. To this end, different optimization strategies have been proposed to minimize costs using daily cash flow forecasts as the main input to the models. However, the effect of the accuracy of such forecasts on cash management pol…
The basic financial purpose of corporation is creation of its value. Liquidity management should also contribute to realization of this fundamental aim. Many of the current asset management models that are found in financial management literature assume book profit maximization as the basic financial purpose. These boo…
Selecting the best policy to keep the balance between what a company holds in cash and what is placed in alternative investments is by no means straightforward. We here introduce PyCaMa, a Python module for multiobjective cash management based on linear programming that allows to derive optimal policies for cash manage…
Cash managers make daily decisions based on predicted monetary inflows from debtors and outflows to creditors. Usual assumptions on the statistical properties of daily net cash flow include normality, absence of correlation and stationarity. We provide a comprehensive study based on a real-world cash flow data set from…
Auto-CASH uses Deep Q-Network to automatically select machine learning algorithms.
Model cash management under ambiguity using maxmin preferences and diffusion.
A new framework tackles CASH problem with alternating optimization and Rising Bandits.
We present an approach to market-consistent multi-period valuation of insurance liability cash flows based on a two-stage valuation procedure. First, a portfolio of traded financial instrument aimed at replicating the liability cash flow is fixed. Then the residual cash flow is managed by repeated one-period replicatio…
The study finds cash productivity predicts stock performance in a specific subset of firms.
Study optimizes insurance liability cash flows with regulatory capital requirements.
Study cash-flow forecasting for derivatives, aligning with replication strategy and addressing timing frictions.
We discuss risk measures representing the minimum amount of capital a financial institution needs to raise and invest in a pre-specified eligible asset to ensure it is adequately capitalized. Most of the literature has focused on cash-additive risk measures, for which the eligible asset is a risk-free bond, on the grou…
Paper presents new expansions for option pricing with cash dividends.
Investigates optimal withdrawal strategies in VA contracts with tax and ratchet mechanisms.
The main goal of this paper is to investigate under which conditions cash-subadditive convex dynamic risk measures are time-consistent. Proceeding as in Detlefsen and Scandolo \cite{detlef-scandolo} and inspired by their result, we give a dual representation of dynamic cash-subadditive convex risk measures (that can al…
In this article, a sensitivity analysis of long-term cash flows with respect to perturbations in the underlying process is presented. For this purpose, we employ the martingale extraction through which a pricing operator is transformed into what is easier to address. The method of Fournie et al. will be combined with t…
Elastic Cash adjusts money supply to stabilize interest rates.
This paper offers a mathematical framework to manage inventory risk in FX cash markets.
Optimizes loan recovery timing by forecasting cash flows.
Optimizes cash management in ATM networks to reduce costs and increase revenue.
In a market of deterministic cash flows, given as an additive, symmetric relation of exchangeability on the finite signed Borel measures on the non-negative real time axis, it is shown that the only arbitrage-free price functional that fulfills some additional mild requirements is the integral of the unit zero-coupon b…
Research improves LGD approximation using XGBoost for cash-flow-limited data.
We study a coin-tossing model used by a ratings agency to justify the sale of constant proportion debt obligations (CPDOs), and prove that it was impossible for CPDOs to achieve in a finite lifetime the Cash-In event of doubling its capital. In the best-case scenario of a two-headed coin, we show that the goal of attai…
Observation of the workings of productive organizations shows that the characteristics of a trade, backed by nature given to a technological environment, determine the productive combination implemented by the decision maker, and the structure of the operating cycle which is related. The choice of the production functi…
A new method prices time-to-event cash flows using survival analysis.
The paper models ATM cash withdrawal chaos and forecasts using deep learning.
This paper closely examines theoretical and practical aspects of the widely used discounted cash flows (DCF) valuation method. It assesses its potentials as well as several weaknesses. A special emphasize is being put on the valuation of companies using the DCF method. The paper finds that the discounted cash flow meth…
This paper presents a numerical model to solve the problem of cash accumulation strategies for products with an unknown future price, like assets. Stock prices are modeled by a discretized Wiener Process, and by the means of ordinary integrals this Wiener Process will be exactly matched at a preset terminal time. Three…
Research quantifies financial exclusion risks in UK, focusing on cash infrastructure and socio-economic factors.
The present paper provides the basis for a novel financial asset pricing model that could avoid the shortcomings of, or even completely replace the traditional DCF model. The model is based on Brownian motion logic and expected future cash flow values. It can be very useful for Islamic Finance.
A new framework for asset price dynamics is introduced in which the concept of noisy information about future cash flows is used to derive the price processes. In this framework an asset is defined by its cash-flow structure. Each cash flow is modelled by a random variable that can be expressed as a function of a colle…
The paper explores how innovative financing solutions boost Moroccan businesses' performance.
Life insurance cash flows become reserve dependent when contract conditions are modified during the contract term on condition that actuarial equivalence is maintained. As a result, insurance cash flows and prospective reserves depend on each other in a circular way, and it is a non-trivial problem to solve that circul…
Establishes relationships between prudence and stability properties of risk functionals.
We study the risk assessment of uncertain cash flows in terms of dynamic convex risk measures for processes as introduced in Cheridito, Delbaen, and Kupper (2006). These risk measures take into account not only the amounts but also the timing of a cash flow. We discuss their robust representation in terms of suitably p…
Study finds Indian mutual funds adjust cash holdings based on inflows, impacting stock purchases.
In this article, we combine replication pricing with expectation pricing for derivative trades that are partially collateralized by cash. The derivatives are replicated by underlying assets and cash, using repurchasing agreement (repo) and margining, which incur funding costs. We derive a partial differential equation …
Paper proposes methods to reduce financial contagion by targeted cash injections.