The paper examines clearing payments in financial networks to prevent cascaded defaults.
problem Cascaded defaults in financial networks under the proportionality rule.
method Analysis of clearing model under pro-rated payments, derivation of necessary and sufficient conditions for clearing payments, convex optimization problems for computation.
result Clearing payments can be computed by solving convex optimization problems, reducing overall system loss by lifting the proportionality rule.
A new model calculates optimal clearing payments in dynamic financial networks.
problem Determining fair clearing payments in networks with potential defaults.
method Extends Eisenberg-Noe model to multiple time periods, solving linear programs for optimal payments.
result Proves the model satisfies the priority of debt claims requirement and finds unique optimal payments.
Paper models financial system with illiquid assets and proves liquidation strategy existence.
problem Financial system with illiquid assets during crises.
method Generalized model of financial system, proof of liquidation strategy existence, algorithm for computing maximal payments.
result Proof of sufficient conditions for existence of equilibrium liquidation strategy.
Paper proposes a decentralized payment clearing system using blockchain and optimal bidding strategies.
problem Default contagion in a network of smart contracts cleared through blockchain.
method Constructs a decentralized clearing mechanism using blockchain and optimal bidding strategies.
result Proves existence and uniqueness of equilibrium clearing condition for terminal net worths.
Improved hardness results for clearing payments in financial networks with CDSs.
problem Determining clearing payments in financial networks with CDSs after financial shocks.
method Analyzing computational complexity of clearing problems, showing PPAD-hardness and FIXP-completeness improvements.
result PPAD-hardness of clearing problem significantly improved to ε ≈ 0.101.
A new method for clearing liability networks using sheaves on directed hypergraphs.
problem Clearing in liability networks using a novel mathematical approach.
method Associate a liability sheaf on a directed hypergraph to a liability network, identifying clearing configurations as global sections of this sheaf.
result Clearing configurations are precisely the global sections of the sheaf, and the sheaf construction is functorial under change of coefficient category.
Paper introduces balanced payment systems to improve liquidity and risk management.
problem Managing liquidity in payment systems and economy is a persistent challenge.
method Introduces interbank balancing method to private payment systems and others.
result Demonstrates effects of balancing on a small example and constructs a balanced subsystem.
Optimal control solves multi-period liability clearing problems.
problem Clearing liabilities among entities over multiple periods.
method Formulated as a convex optimal control problem, solved using convex costs and constraints.
result Solves the problem of clearing liabilities among entities over multiple periods.
Study how contingent payments affect financial network stability.
problem Impact of contingent payments on systemic risk in financial networks.
method Developed static and dynamic models of financial contagion to analyze the effects of contingent payments on wealth distribution and network stability.
result Dynamic framework provides a solution to problems not defined in the static framework.
Stablecoins offer efficient settlement but externalize costs and risks.
problem Comparing stablecoins to card networks in retail payments.
method Unified analytical framework (CLEAR) across five dimensions.
result Stablecoins are advantageous in closed-loop and high-friction contexts but structurally disadvantaged as open-loop instruments.
Paper models financial contagion with fire sales and borrowing.
problem Financial contagion and systemic risk in interconnected financial networks.
method Modeling financial contagion in a network with fire sales and borrowing, considering both uncollateralized and collateralized loans.
result Existence and uniqueness of clearing solutions (payments, liquidations, and borrowing) are provided under certain conditions, and these solutions are Nash equilibria.
This paper models financial contagion with endogenously determined market liquidity.
problem Financial contagion and its impact on market liquidity during price drops.
method Developed a joint clearing system for interbank payments, asset prices, and market liquidity, with endogenous market capacity.
result Endogenous market liquidity significantly affects system risk during financial contagion.
Paper models financial contagion via leverage requirements and fire sales.
problem Financial contagion through leverage requirements and fire sales.
method Network model with multiple illiquid assets, proving equilibrium existence.
result Calibrated models show systemic risk varies with leverage requirements.
Debt swaps improve financial networks by optimizing clearing payments and stability.
problem Improving financial network stability and efficiency through debt swaps.
method Analyzing computational complexity of debt swaps, focusing on semi-positive swaps and v-improving swaps.
result Polynomial length of sequences of semi-positive v-improving swaps for ranking-based clearing, but NP-hard for arbitrary v-improving swaps.
Paper finds efficient algorithms for computing fixed points in financial networks.
problem Computing fixed points in complex financial networks with potential defaults.
method Tarski's theorem and polynomial-time algorithms for minimal and maximal fixed points.
result Efficient algorithms for computing minimal and maximal fixed points in financial networks.
Study claims trading to rescue banks in distress.
problem Rescue a bank in distress using claims trading.
method Formalize claims trading in financial networks, study decision and optimization problems, provide efficient algorithms for creditor-positive trades.
result No trade can strictly improve both banks' assets; provide efficient algorithms for creditor-positive trades.
A new method streamlines digital payment programming using smart contracts.
problem High costs and security challenges in programming smart contracts for digital payments.
method Transforming digital currencies into token streams and using configurable templates to generate specialized smart contracts.
result Reduces payment programming costs and enhances security, self-enforcement, adaptability, and controllability.
Game theory applied to financial networks, focusing on debt repayment strategies.
problem Understanding financial stability in interconnected systems.
method Modeling financial systems as networks, analyzing utility-maximizing strategies under priority-proportional payments.
result Existence and uniqueness of payment profiles are not guaranteed, even under fixed strategies.
This paper considers the optimal dividend payment problem in piecewise-deterministic compound Poisson risk models. The objective is to maximize the expected discounted dividend payout up to the time of ruin. We provide a comparative study in this general framework of both restricted and unrestricted payment schemes, wh…
Research examines motivations and factors influencing retailers' payment method choices.
problem Understanding motivations and factors affecting retailers' payment method choices.
method Qualitative and quantitative analysis of various factors including regulatory constraints, merchant service providers, and demographic variables.
result Lower interchange fees and regulatory constraints make card payment adoption financially feasible for merchants.
Paper proposes methods to reduce financial contagion by targeted cash injections.
problem Financial contagion through interconnected networks.
method Dynamic model of payments with external control term for corrective cash injections.
result Targeted cash injections can significantly reduce default propagation.
Model for discrete dividend payments in continuous time models.
problem Modeling infrequent dividend payments in continuous models.
method Optimal control problem with periodic conditions, numerical algorithm.
result Loss from infrequent dividend payments varies from 1% to 24%.
Analyzes compound interest with constant payments and interest rate.
problem Examines the properties of compound interest balance and payment functions.
method Analyzes the outstanding balance and payment functions for constant payments and interest rate.
result The outstanding balance function is not generally concave in the interest rate.
Paper introduces PHI to identify structurally distinct payment patterns in UK municipal procurement.
problem Vulnerability of public procurement to error, fraud, and corruption in high-volume transactions.
method Introduces Payment Heterogeneity Index (PHI) using Gaussian Mixture Model (GMM) and non-parametric statistics.
result Identifies a significant cohort with structurally distinct payment patterns, improving procurement oversight.
Study optimal dividend payout strategy for insurance companies with hidden economic states.
problem Maximizing dividend payments in an insurance company with uncertain economic conditions.
method Hidden Markov switching model, filtering theory, optimal value function.
result Analytic characterization of optimal dividend payout strategy.
Payments data and machine learning improve nowcasting accuracy for macroeconomic indicators.
problem Lagged indicators in linear models are insufficient during crisis periods.
method Non-traditional payments data, nonlinear machine learning, and tailored cross-validation.
result Improved macroeconomic nowcasting accuracy up to 40% during crises.
Blockchain helps secure payments between AI agents.
problem Ensuring secure payments between untrusted AI agents.
method Systematized four-stage lifecycle for A2A payments on blockchain.
result Challenges remain in weak intent binding, misuse, and limited accountability.
Optimal student loan repayment strategies vary based on loan size.
problem Finding the most cost-effective repayment strategy for federal student loans.
method Analyzing the impact of different repayment strategies on total cost for varying loan sizes.
result Optimal repayment strategies depend on the loan balance, with different approaches for small, large, and intermediate balances.
Blockchain tech explored for data malls, provenance, and keyless payments.
problem No specific problem stated; focuses on technology applications.
method Discussion of blockchain applications in data malls, provenance, and keyless payments.
result Exploration of blockchain's potential in non-cryptocurrency areas.
Agent-to-agent finance aims to manage payments and trust for AI agents.
problem Managing financial interactions between autonomous AI agents.
method Develops agent-to-agent finance concept and explores blockchain solutions.
result Agent-to-agent finance can address coordination frictions in financial markets.
Study risk-minimizing insurance investments with taxes and expenses.
problem Determining optimal insurance investments in the presence of taxes and expenses.
method Introduced tax- and expense-modified risk-minimization, derived strategies, linked to decompositions, and established equivalence to artificial market approach.
result Equivalence to artificial market approach and consistency with classic risk-minimization.
This paper explores blockchains and distributed ledgers, their applications, and historical prototypes.
problem Exploring the potential applications of blockchains and distributed ledgers in finance.
method Comparison of public and private ledgers, historical prototypes, and potential applications.
result Monetary circuits are natural applications for blockchains.
The paper analyzes multivariate payments in multi-state life insurance using Markovian state processes.
problem Analyzing joint effects of life annuities and death benefits in a multi-state framework.
method Introduces multivariate present value of future payments, derives differential equations and moment generating functions, and focuses on pair-wise covariances.
result Derives Hattendorff type results for pair-wise covariances in a disability model.
AI task delegation faces incentive collapse with unbounded payments as AI accuracy rises.
problem Incentive collapse in AI-assisted task delegation schemes.
method General impossibility result and sentinel-auditing payment mechanism.
result Sentinel-auditing mechanism enforces positive human effort at finite cost, independent of AI accuracy.
The study reveals fundamental limits of fraud detection in card payment networks.
problem Fraud detection in card payment networks is challenging due to structural information impairments.
method Formalized card authorization as a sequential decision problem with delayed feedback, derived minimax regret lower bound.
result Improving issuer reporting quality or reducing censorship can yield larger reductions in the regret floor than increasing model complexity.
Mobile payment incentives optimized using merchant transaction networks.
problem Optimizing marketing campaigns with limited budgets.
method Graph representation learning on transaction networks.
result Effective modeling of merchant sensitivity to incentives.
Model financial contagion in a multi-layered network with obligations in illiquid assets.
problem Model financial contagion in a multi-layered network with obligations in illiquid assets.
method Developed a multi-layered financial network model with fire sales, utility maximization, and tâtonnement process.
result Existence and uniqueness of equilibrium portfolio holdings and market prices in a multi-layered financial system.
Formula calculates bond prices between payments.
problem No new bond pricing formula available.
method Closed-form formula derivation.
result Formula accurately calculates bond prices.
We develop an axiomatic theory of balance functions (future value functions) in the theory of interest that is derived from financial considerations and which applies to general regulated payment streams, including continuous payment streams. Balance functions exist and are unique up to an initial choice of deposit and…
Study on incentivizing truthfulness in federated learning with heterogeneous data.
problem Manipulated updates in federated learning due to data heterogeneity.
method Formulated a game-theoretic approach to prevent clients from misreporting their gradient updates.
result Developed a payment rule that provably disincentivizes sending modified updates in federated learning.
New option type preserves fungibility by amortizing payments over time.
problem Traditional installment options destroy fungibility and lapse when payments stop.
method Introduces amortizing perpetual options (AmPOs) with an implicit payment scheme.
result Valuation of AmPOs reduces to vanilla perpetual American options.
Optimal dividend strategy for insurance with premium dependent on surplus.
problem Maximizing dividends until ruin with penalty for shortfall.
method Stochastic control problem, Hamilton-Jacobi-Bellman equation, Gerber-Shiu functions.
result Single dividend-band strategy identified as optimal under certain conditions.
Study of Estonian economy's payment network structure.
problem Understanding the economic structure of Estonia through payment data.
method Topological analysis of a large-scale payment network.
result The network exhibits scale-free properties and is vulnerable to targeted attacks.
Optimal dividend strategy with reinsurance for insurance companies.
problem Maximizing utility of dividend payments for insurers with risk control.
method Solving Hamilton-Jacobi-Bellman equation for CRRA utility.
result Identified optimal dividend and reinsurance strategies.
Paper examines constraints on cryptocurrency networks to improve liquidity and capital costs.
problem Improving liquidity in cryptocurrency networks with limited capital deposits.
method Introduces constraints to bound loss in default scenarios and simplifies network structure.
result Achieves optimal tradeoff between liquidity and capital costs in payment networks.
Optimal dividends for a two-branch insurance company modelled by stochastic processes.
problem Maximizing dividends for an insurance company with two branches under ruin constraints.
method Solving a stochastic control problem using Hamilton-Jacobi-Bellman equations.
result The optimal strategy and value function are found.
This paper concerns an optimal dividend distribution problem for an insurance company whose risk process evolves as a spectrally negative Lévy process (in the absence of dividend payments). The management of the company is assumed to control timing and size of dividend payments. The objective is to maximize the sum of …
Optimizes tax payments for insurance companies using Lévy risk processes.
problem Maximizing expected accumulated discounted tax payments with a modified objective function.
method Loss-carry-forward tax system applied to spectrally negative Lévy processes until general draw-down time.
result Optimal tax return function and strategy derived.