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.
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…
Paper develops models to forecast private equity fund cash flows.
Paper defines the payback period for nonconventional cash flows using axioms.
The paper fits cash management models to data using stochastic and linear programming.
Study optimizes insurance liability cash flows with regulatory capital requirements.
Study cash-flow forecasting for derivatives, aligning with replication strategy and addressing timing frictions.
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…
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…
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…
Optimizes loan recovery timing by forecasting cash flows.
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.
A new method prices time-to-event cash flows using survival analysis.
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…
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…
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…
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…
This paper offers a mathematical framework to manage inventory risk in FX cash markets.
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…
This paper presents an overview of information-based asset pricing. In this approach, an asset is defined by its cash-flow structure. The market is assumed to have access to "partial" information about future cash flows. Each cash flow is determined by a collection of independent market factors called X-factors. The ma…
Study reveals investor heterogeneity in Korean equity market cash flows.
The information-based asset-pricing framework of Brody, Hughston and Macrina (BHM) is extended to include a wider class of models for market information. In the BHM framework, each asset is associated with a collection of random cash flows. The price of the asset is the sum of the discounted conditional expectations of…
The aim of this paper is to define the market-consistent multi-period value of an insurance liability cash flow in discrete time subject to repeated capital requirements, and explore its properties. In line with current regulatory frameworks, the approach presented is based on a hypothetical transfer of the original li…
Clarifies interest rate cap rules for loans with unconventional cash flows.
Indices of acceptability are well suited to frame the axiomatic features of many performance measures, associated to terminal random cash flows.We extend this notion to classes of càdlàg processes modelling cash flows over a fixed investment horizon.We provide a representation result for bounded paths. We suggest an ac…
Analyzes valuation of derivative claims with asymmetric funding costs and WWR.
Develops risk measures on Lipschitz spaces for financial positions.
This study shows how monetary uncertainty affects stock market reactions to macroeconomic news.
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…
This paper investigates the large-time asymptotic behavior of the sensitivities of cash flows. In quantitative finance, the price of a cash flow is expressed in terms of a pricing operator of a Markov diffusion process. We study the extent to which the pricing operator is affected by small changes of the underlying Mar…
Ensemble method for fast portfolio valuation and risk management.
An investor is estimating net present value of a firm project and performs risk analysis. Usually it is created portfolio hierarchies and make comparison of variants of project based on these hierarchies. Then one finds that portfolio which corresponds to the particular needs of individual groups within the firm. We ha…
In financial markets, the information that traders have about an asset is reflected in its price. The arrival of new information then leads to price changes. The `information-based framework' of Brody, Hughston and Macrina (BHM) isolates the emergence of information, and examines its role as a driver of price dynamics.…
Investigates optimal withdrawal strategies in VA contracts with tax and ratchet mechanisms.
Optimal control problem for firm cash flow with dividend and capital injection strategies.
The paper finds a pervasive and severe bias in accounting semi-identity models.
At the initial stages of this research, the assumption was that the franchised businesses perhaps should not be affected much by recession as there are multiple cash pools available inherent to the franchised business model. However, after analyzing the available data, it indicated otherwise, the stock price performanc…
Study finds Indian mutual funds adjust cash holdings based on inflows, impacting stock purchases.
Optimal control of reserve assets for stablecoins to maintain peg stability.
Model investor risk preferences to adjust real option valuation.
In this work we are concerned with valuing optionalities associated to invest or to delay investment in a project when the available information provided to the manager comes from simulated data of cash flows under historical (or subjective) measure in a possibly incomplete market. Our approach is suitable also to inco…
Extends pricing theory for collateralized derivatives to include jumps and dividends.
We consider a finite horizon optimal stopping problem related to trade-off strategies between expected profit and cost cash-flows of an investment under uncertainty. The optimal problem is first formulated in terms of a system of Snell envelopes for the profit and cost yields which act as obstacles to each other. We th…
This paper introduces an information-based model for the pricing of storable commodities such as crude oil and natural gas. The model uses the concept of market information about future supply and demand as a basis for valuation. Physical ownership of a commodity is taken to provide a stream of convenience dividends eq…
Estimates boundaries for acceptable bilateral gamma risk in financial markets.
Develops a framework to analyze financial structures.
Study cash-subadditive risk measures without quasi-convexity.