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.
Model predicts cash accumulation for assets with unknown prices.
We consider a financial contract that delivers a single cash flow given by the terminal value of a cumulative gains process. The problem of modelling and pricing such an asset and associated derivatives is important, for example, in the determination of optimal insurance claims reserve policies, and in the pricing of r…
Study cash-subadditive risk measures without quasi-convexity.
Typically options with a path dependent payoff, such as Target Accumulation Redemption Note (TARN), are evaluated by a Monte Carlo method. This paper describes a finite difference scheme for pricing a TARN option. Key steps in the proposed scheme involve tracking of multiple one-dimensional finite difference solutions,…
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…
Investigates optimal withdrawal strategies in VA contracts with tax and ratchet mechanisms.
Paper presents new expansions for option pricing with cash dividends.
Expands Thiele equation for non-Markovian life insurance cash flows.
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…
New index for evaluating cash flow processes over a fixed horizon.
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…
CPDOs can't achieve a Cash-In event in finite tosses, mirroring Zeno's Paradox.
Research improves LGD approximation using XGBoost for cash-flow-limited data.
Study shows awareness of reflexivity improves LLMs' financial forecasting accuracy.
Develops a haircut model for non-cash collateral.
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…
The paper analyzes sensitivities of cash flows using PDEs and Hansen-Scheinkman decomposition.
A new method prices time-to-event cash flows using survival analysis.
The paper models ATM cash withdrawal chaos and forecasts using deep learning.
New method analyzes accumulation precision in deep learning networks.
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…
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.