Deep learning CAT bond valuationq-fin.PR
Deep learning speeds CAT bond valuation.
problem Valuation of Catastrophe bonds.
method Deep neural networks trained to price CAT bonds.
result Trained model provides fast and accurate pricing.
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48 results for “CAT bonds”
Paper uses machine learning to uncover nonlinear dynamics in CAT bond pricing.
problem Traditional linear models miss nonlinear relationships in CAT bond pricing.
method Advanced machine learning techniques applied to CAT bond transaction records.
result Machine learning enhances CAT bond pricing accuracy and reveals complex risk interactions.
Unified Bayesian framework for CAT bond pricing.
problem Uncertainty in catastrophe occurrences and interest rates in CAT bond markets.
method Bayesian framework based on uncertainty quantification of catastrophes and interest rates.
result Unified asset pricing approach with informative expected risk premia.
CATNet: A geometric deep learning approach for CAT bond spread prediction in the primary marketq-fin.PR
CATNet predicts CAT bond spreads using graph-based deep learning.
problem Complex, relational data in CAT bonds not well captured by traditional models.
method CATNet applies R-GCN to CAT bond primary market as a graph.
result CATNet outperforms Random Forest and XGBoost benchmarks.
The study uses machine learning to predict CAT bond coupons based on climate data.
problem Predicting CAT bond coupons using climate data.
method Combining climate indicators with machine learning models (random forest, gradient boosting, etc.).
result Extremely randomized trees achieved the lowest RMSE in predicting CAT bond coupons.
This paper uses advanced math to price special insurance bonds.
problem Pricing zero-coupon CAT bonds with complex trigger events.
method Develops two models using enlargement of filtration theory.
result Derives closed-form prices for zero-coupon CAT bonds.
The study models and values CAT bonds across multiple regions.
problem Valuation of CAT bonds with dependencies across different regions.
method Developed models for independent, proportional, and arbitrary two-dimensional distribution cases of catastrophe losses in different areas. Applied normal approximation and Wang's transform for pricing.
result Illustrated differences in scenarios and performance of the approximation on real data.
Developing a climate-aware pricing framework for XL reinsurance and CAT bonds under non-stationary catastrophe risk.
problem Pricing excess-of-loss (XL) reinsurance and catastrophe (CAT) bonds under climate uncertainty.
method Modeling catastrophe arrivals as a Cox process with a temperature-dependent stochastic intensity and aggregate losses following a compound Cox structure.
result Climate dependence materially changes the loss-generation mechanism and affects the valuation of catastrophe-linked contracts.
Catastrophe risk is a major threat faced by individuals, companies, and entire economies. Catastrophe (CAT) bonds have emerged as a method to offset this risk and a corresponding literature has developed that attempts to provide a market-consistent pricing methodology for these and other long-dated, insurance-type cont…
Percolation study in non-hyperbolic groups proves non-uniqueness phase.
problem Percolation in acylindrically hyperbolic groups.
method Analyzing Bernoulli bond percolation on Cayley graphs of groups.
result Non-uniqueness phase in percolation on Cayley graphs of acylindrically hyperbolic groups.
Study of bonded knots and braids with new algebraic models.
problem Classifying and understanding physical or chemical bonds in knots and braids.
method Developed new algebraic models (bonded knots, braids, braidoids) and invariants.
result New algebraic structures and invariants for bonded knots and braids.
Developed algebraic theory of bonded braids, proving Markov theorem.
problem Studied bonded knots and their algebraic properties.
method Introduced bonded braid monoid, proved Alexander and Markov theorems.
result Every bonded knot is the closure of a bonded braid, and equivalent knots have related braid representatives.
Study of geometric actions on CAT(0) spaces and their limits.
problem Understanding limits of geometric actions on CAT(0) spaces.
method Analysis of convergence and splitting/collapsing phenomena in CAT(0) lattices and orbispaces.
result Proof of compactness theorem for CAT(0) homology orbifolds.
CAT(0) spaces with small volume growth are homeomorphic to Euclidean space.
problem Characterizing CAT(0) spaces with specific volume growth properties.
method Analyzing asymptotic topological regularity and volume growth.
result CAT(0) spaces with small volume growth are homeomorphic to Euclidean space.
Locally finite complexes with polyhedral metrics are arborescent.
problem Characterizing locally finite complexes with metrics.
method Proving arborescence for complexes with polyhedral metrics.
result Locally finite complexes with polyhedral metrics are arborescent.
On CAT() surfacesmath.MG
This paper proves properties of CAT(κ) surfaces with bounded curvature.
problem Properties of CAT(κ) surfaces with bounded curvature.
method Proof of bounded curvature, approximation by smooth surfaces.
result CAT(κ) surfaces have bounded curvature.
New CAT(0) groups show superexponential subgroup Dehn functions.
problem Understanding subgroups of CAT(0) groups with superexponential Dehn functions.
method Construction of specific 4- and 6-dimensional CAT(0) groups.
result Found subgroups with Dehn functions and .
Priced risk in corporate bondsq-fin.PR
Study finds it hard to establish common factor pricing in corporate bonds.
problem Difficulty in establishing common factor pricing in corporate bonds.
method Portfolio- and bond-level analyses using multifactor models.
result Common factor pricing in corporate bonds is not significantly explanatory.
In the present paper we show that the Binomial-tree approach for pricing, hedging, and risk assessment of Convertible bonds in the framework of the Tsiveriotis-Fernandes model has serious drawbacks. Key words: Convertible bonds, Binomial tree, Tsiveriotis-Fernandes model, Convertible bond pricing, Convertible bond Gree…
CAT(0) study of curve complements and families.
problem Understanding CAT(0) behavior of curve complements and families.
method Investigation of fundamental groups of plane curve complements and universal families.
result Fundamental groups of certain families are not CAT(0).
Braid group proof shows 7-strand is CAT(0).
problem Proving the 7-strand braid group is CAT(0).
method Elaborating on Haettel, Kielak, and Schwer's argument.
result The 7-strand braid group is proven to be CAT(0).
Model shows government incentives boost green bond investment.
problem Increasing green investments through government incentives.
method Optimal incentives indexed on bond prices and covariation, applied to a portfolio of bonds.
result Method outperforms current tax-incentives systems in green investments.
On splitting theorems for CAT(0) spaces and compact geodesic spaces of non-positive curvaturemath.GR
In this paper, we show some splitting theorems for CAT(0) spaces on which a product group acts geometrically and we obtain a splitting theorem for compact geodesic spaces of non-positive curvature. A CAT(0) group is said to be {\it rigid}, if determines the boundary up to homeomorphisms of a CAT(0) space on whi…
Model proteins with bonds using Kauffman bracket skein module.
problem Modeling proteins with bonds for structural analysis.
method Extend Kauffman bracket polynomial to bonded knots.
result Infinite generation and torsion-freeness of the bonded skein module.
Asymptotically CAT(0) metrics and Z-structures for HHGs, proving Farrell-Jones Conjecture.
problem Proving Farrell-Jones Conjecture for HHGs.
method Asymptotically CAT(0) metrics and Z-structures construction.
result Many HHGs satisfy Farrell-Jones Conjecture.
Toyoda proved 5-point CAT(0) spaces; this paper offers a new proof.
problem Describing 5-point subspaces in CAT(0) length spaces.
method Provides an alternative proof of Toyoda's theorem.
result Offers a new proof of Toyoda's theorem.
This article presents valuation of Treasury Bonds (T-Bonds) on Macedonian Stock Exchange (MSE) and empirical test of duration, modified duration and convexity of the T-bonds at MSE in order to determine sensitivity of bonds prices on interest rate changes. The main goal of this study is to determine how standard valuat…
We show that groups satisfying Kazhdan's property (T) have no unbounded actions on finite dimensional CAT(0) cube complexes, and deduce that there is a locally CAT(-1) Riemannian manifold which is not homotopy equivalent to any finite dimensional, locally CAT(0) cube complex.
On Bond Portfolio Managementmath.OC
This paper describes a new method of bond portfolio optimization based on stochastic string models of correlation structure in bond returns. The paper shows how to approximate correlation function of bond returns, compute the optimal portfolio allocation using Wiener-Hopf factorization, and check whether a collection o…
Affine cactus groups are CAT(0) and hyperbolic.
problem Characterizing geometric properties of affine cactus groups.
method Analyzing CAT(0) and hyperbolic properties through group theory.
result Affine cactus groups of degree three are hyperbolic.
Study mapping class groups on CAT(0) cube complexes.
problem Asymptotically rigid mapping class groups of infinitely-punctured surfaces.
method Introduced CAT(0) cube complexes and determined their properties.
result Determined CAT(0) properties of cube complexes.
Study finds implicit government guarantee improves municipal investment bond ratings.
problem Questioning the objectivity of municipal investment bond ratings due to implicit government guarantee.
method Text mining of policy documents and PMC index model for implicit guarantee strength calculation.
result Implicit government guarantee boosts municipal investment bond ratings, especially in less developed regions.
Classifies uncolored bonded knots with up to 7 singularity points.
problem Classifying uncolored bonded knots with up to 7 singularity points.
method Generation of planar graphs, conversion into bonded knot diagrams, use of Yamada polynomial, and brute-force Reidemeister moves.
result Systematic classification of uncolored bonded knots with singularity number at most seven.
In this paper, we investigate finitely generated groups of isometries of CAT(0) spaces containing some central hyperbolic isometry, and study CAT(0) groups. We show that every CAT(0) group has the semi-direct product structure $Γ=(\cdots(((Γ'\rtimes\langleδ_{n}\rangle)\rtimes\langleδ_{n-1}\rangle)\rtimes\langleδ_{n…
Groups on CAT(0) cube complexes grow exponentially uniformly.
problem Uniform exponential growth of groups acting on CAT(0) cube complexes.
method Study groups acting without global fixed points on CAT(0) square complexes.
result Groups with uniform exponential growth or stabilize Euclidean subcomplexes.
Geodesics spiral around compact subsets in CAT(0) spaces.
problem Understanding geodesic spiraling in CAT(0) spaces.
method Logarithm law-type result for geodesics in quotients of rank one CAT(0) spaces.
result Proved logarithm law for geodesic spiraling in certain CAT(0) spaces.
CAT(0) spaces quasi-isometric to Euclidean spaces are homeomorphic to R^n.
problem Characterizing CAT(0) spaces quasi-isometric to Euclidean spaces.
method Analyzing properties of CAT(0) spaces and using quasi-isometry.
result CAT(0) spaces quasi-isometric to R^n are not necessarily homeomorphic to it.
We examine volume pinching problems of CAT(1) spaces. We characterize a class of compact geodesically complete CAT(1) spaces of small specific volume. We prove a sphere theorem for compact CAT(1) homology manifolds of small volume. We also formulate a criterion of manifold recognition for homology manifolds on volume g…
We show that the class of CAT(0) spaces is closed under suitable conformal changes. In particular, any CAT(0) space admits a large variety of non-trivial deformations.
Paper proposes a framework for precise daily default risk prediction of Chinese credit bonds.
problem Inadequate and inaccurate bond information disclosure creates risk of default for investors.
method Framework includes summarizing factors impacting defaults, constructing a risk index system, and using ConvLSTM neural network for prediction.
result The model provides more responsive and accurate daily default risk predictions than authoritative ratings.
We show that the martingale component in the long-term factorization of the stochastic discount factor due to Alvarez and Jermann (2005) and Hansen and Scheinkman (2009) is highly volatile, produces a downward-sloping term structure of bond Sharpe ratios, and implies that the long bond is far from growth optimality. In…
In this paper, we study CAT(0) spaces with non-locally connected boundary. We give some condition of a CAT(0) space whose boundary is not locally connected.
A simpler proof shows -metric completion is CAT(0).
problem Completing Riemannian metrics space.
method Easier proof of existing result by Brian Clarke.
result Completion of Riemannian metrics is CAT(0).
In this paper, we study the capacity dimension of the boundary of spaces. We first compare the two metrics on the boundary of a hyperbolic space, i.e., the visual metric and the conical metric, and prove that they give the same capacity dimension of the boundary. Then we study the capacity dimension o…
Collapsibility is a combinatorial strengthening of contractibility. We relate this property to metric geometry by proving the collapsibility of any complex that is CAT(0) with a metric for which all vertex stars are convex. This strengthens and generalizes a result by Crowley. Further consequences of our work are: (1) …
Paper analyzes pricing model for bonds with early redemption.
problem Analyzing pricing of bonds with early redemption features.
method Structural approach for mathematical modeling of bond prices.
result Existence and uniqueness of default and early redemption boundaries proved.
CAT toolkit combines hybrid and E2E approaches for efficient speech recognition.
problem Improving speech recognition efficiency and latency.
method CTC-CRF based framework with contextualized soft forgetting.
result CAT achieves state-of-the-art results with simpler training and streaming ASR.
In this paper, we present a new open source toolkit for automatic speech recognition (ASR), named CAT (CRF-based ASR Toolkit). A key feature of CAT is discriminative training in the framework of conditional random field (CRF), particularly with connectionist temporal classification (CTC) inspired state topology. CAT co…