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.
A new model uses a Levy-driven process to value credit index swaptions.
We present a new model for credit index derivatives, in the top-down approach. This model has a dynamic loss intensity process with volatility and jumps and can include counterparty risk. It handles CDS, CDO tranches, Nth-to-default and index swaptions. Using properties of affine models, we derive closed formulas for t…
We develop and test a fast and accurate semi-analytical formula for single-name default swaptions in the context of a shifted square root jump diffusion (SSRJD) default intensity model. The model can be calibrated to the CDS term structure and a few default swaptions, to price and hedge other credit derivatives consist…
Optimizes credit index option hedging with reinforcement learning.
We address the so-called calibration problem which consists of fitting in a tractable way a given model to a specified term structure like, e.g., yield or default probability curves. Time-homogeneous jump-diffusions like Vasicek or Cox-Ingersoll-Ross (possibly coupled with compounded Poisson jumps, JCIR), are tractable…
Paper proposes a framework for precise daily default risk prediction of Chinese credit bonds.
Develops a three-currency HJM framework for Brazilian credit markets, finding significant credit spread differences between indexed segments.
A new model prices Bermudan swaptions without calibration.
New SL algorithms improve Bermudan Swaption pricing efficiency.
We study American swaptions in the linear-rational (LR) term structure model introduced in [5]. The American swaption pricing problem boils down to an optimal stopping problem that is analytically tractable. It reduces to a free-boundary problem that we tackle by the local time-space calculus of [7]. We characterize th…
Over the last decade, dividends have become a standalone asset class instead of a mere side product of an equity investment. We introduce a framework based on polynomial jump-diffusions to jointly price the term structures of dividends and interest rates. Prices for dividend futures, bonds, and the dividend paying stoc…
The atomic swap protocol allows for the exchange of cryptocurrencies on different blockchains without the need to trust a third-party. However, market participants who desire to hold derivative assets such as options or futures would also benefit from trustless exchange. In this paper I propose the atomic swaption, whi…
A new challenge to quantitative finance after the recent financial crisis is the study of credit valuation adjustment (CVA), which requires modeling of the future values of a portfolio. In this paper, following recent work in [Weinan E(2017), Han(2017)], we apply deep learning to attack this problem. The future values …
We introduce a new method to calculate the credit exposure of European and path-dependent options. The proposed method is able to calculate accurate expected exposure and potential future exposure profiles under the risk-neutral and the real-world measure. Key advantage of is that it delivers an accuracy comparable to …
Study finds implicit government guarantee improves municipal investment bond ratings.
Tensor Neural Networks improve pricing accuracy for interest rate derivatives.
Credit scoring plays a vital role in the field of consumer finance. Survival analysis provides an advanced solution to the credit-scoring problem by quantifying the probability of survival time. In order to deal with highly heterogeneous industrial data collected in Chinese market of consumer finance, we propose a nonp…
Paper uses RL for dynamic swaption hedging, outperforming traditional methods.
Pricing Bermudan swaptions with few exercise dates using analytic methods.
Enhances swaption modeling with rough stochastic volatility.
Paper presents a fast algorithm for pricing Bermudan swaptions under the two-factor Hull-White model.
We derive measure change formulae required to price midcurve swaptions in the forward swap annuity measure with stochastic annuities' ratios. We construct the corresponding linear and exponential terminal swap rate pricing models and show how they capture the midcurve swaption correlation skew.
Proposes a method to fill in missing swaption volatility data using variational autoencoders.
AXI assesses bank funding costs transparently, improving loan pricing and reducing financial risk.
The paper uses deep learning to efficiently price Bermudan swaptions.
Closed form formulas for swaption prices in HJM model are derived. These formulas are used for nonparametric fit of deterministic forward volatility. It is demonstrated that this formula and non-parametric fit works very well and can be used to identify arbitrage opportunities
The Hull-White one factor model is used to price interest rate options. The parameters of the model are often calibrated to simple liquid instruments, in particular European swaptions. It is therefore very important to have very efficient pricing formula for simple instruments. Such a formula is proposed here for Europ…
Unified framework connects credit risk metrics with information theory.
Proposes a new model for negative interest rates that fits market data closely.
Optimal credit and consumption strategies in a switching market with default contagion.
In this work we consider three problems of the standard market approach to pricing of credit index options: the definition of the index spread is not valid in general, the usually considered payoff leads to a pricing which is not always defined, and the candidate numeraire one would use to define a pricing measure is n…
The Libor market model is a mainstay term structure model of interest rates for derivatives pricing, especially for Bermudan swaptions, and other exotic Libor callable derivatives. For numerical implementation the pricing of derivatives with Libor market models is mainly carried out with Monte Carlo simulation. The PDE…
Paper proposes a deep hedging method for Bermudan swaptions to manage residual profit and loss.
Improved LV model for interest rate swaptions and caplets.
We derive semi-analytic approximation formulae for bond and swaption prices in a Black-Karasiński interest rate model. Approximations are obtained using a novel technique based on the Karhunen-Loève expansion. Formulas are easily computable and prove to be very accurate in numerical tests. This makes them useful for nu…
In this article, we apply the forward variance modeling approach by L.Bergomi to the co-terminal swap market model. We build an interest rate model for which all the market price changes of hedging instruments, interest rate swaps and European swaptions, are interpreted as the state variable variations, and no diffusio…
Study finds no significant impact of US sovereign credit rating downgrade on equity market.
Paper evaluates different models for predicting credit default swap volatility.
Some research institutions demand researchers to distribute the incomes they earn from publishing papers to their researchers and/or co-authors. In this study, we deal with the Impact Factor-based ranking journal as a criteria for the correct distribution of these incomes. We also include the Authorship Credit factor f…
In this short note, using our geometric method introduced in a previous paper \cite{phl} and initiated by \cite{ave}, we derive an asymptotic swaption implied volatility at the first-order for a general stochastic volatility Libor Market Model. This formula is useful to quickly calibrate a model to a full swaption matr…
We propose an elementary model to price European physical delivery swaptions in multicurve setting with a simple exact closed formula. The proposed model is very parsimonious: it is a three-parameter multicurve extension of the two-parameter Hull-White (1990) model. The model allows also to obtain simple formulas for a…
We construct models for the pricing and risk management of inflation-linked derivatives. The models are rational in the sense that linear payoffs written on the consumer price index have prices that are rational functions of the state variables. The nominal pricing kernel is constructed in a multiplicative manner that …
Efficiently calibrates SABR/LIBOR models to real market caplets and swaptions data.
We study a Markov-Functional (MF) interest-rate model with Uncertain Volatility Displaced Diffusion (UVDD) digital mapping, which is consistent with the volatility-smile phenomenon observed in the option market. We first check the impact of pricing Bermudan swaptions by the model. Next, we also investigate the future s…
Aiming at quantifying and evaluating the regional commercial environment along with the level of economic development among cities in mainland China, the concept of China City Commercial Environment Credit Index(CEI) was first introduced and established in 2010. In this manuscript, a historical review and detailed intr…
Study compares CDS databases and finds discrepancies due to various factors.
Study compares statistical properties and power of divergence measures for credit risk monitoring.
The study introduces a high-dimensional tail index model for viral post analysis.