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.
Automated market-making for CBDCs and stable coins on blockchain.
We introduce a tractable multi-currency model with stochastic volatility and correlated stochastic interest rates that takes into account the smile in the FX market and the evolution of yield curves. The pricing of vanilla options on FX rates can be performed effciently through the FFT methodology thanks to the affinit…
A new approach for pricing FX options that uses a single model for all markets.
Develops a new model for multi-currency volatility using CBI-time-changed Lévy processes.
There is intense interest in understanding the stochastic and dynamical properties of the global Foreign Exchange (FX) market, whose daily transactions exceed one trillion US dollars. This is a formidable task since the FX market is characterized by a web of fluctuating exchange rates, with subtle inter-dependencies wh…
The MVMD model is extended to include shifted dynamics, improving cross currency volatility smile extrapolation.
Modeling CDS and FX devaluation effects for emerging markets.
We present a general derivation of the arbitrage-free pricing framework for multiple-currency collateralized products. We include the impact on option pricing of the policy adopted to fund in foreign currency, so that we are able to price contracts with cash flows and/or collateral accounts expressed in foreign currenc…
Paper proposes methods for pricing FX-linked Bermudan options using quantization.
If financial markets displayed the informational efficiency postulated in the efficient markets hypothesis (EMH), arbitrage operations would be self-extinguishing. The present paper considers arbitrage sequences in foreign exchange (FX) markets, in which trading platforms and information are fragmented. In Kozyakin et …
We introduce a novel multi-factor Heston-based stochastic volatility model, which is able to reproduce consistently typical multi-dimensional FX vanilla markets, while retaining the (semi)-analytical tractability typical of affine models and relying on a reasonable number of parameters. A successful joint calibration t…
This paper offers a mathematical framework to manage inventory risk in FX cash markets.
TDA improves FX clustering quality over traditional methods.
We analyze structure of the world foreign currency exchange (FX) market viewed as a network of interacting currencies. We analyze daily time series of FX data for a set of 63 currencies, including gold, silver and platinum. We group together all the exchange rates with a common base currency and study each group separa…
Paper examines pricing and hedging for cross-currency swaps referencing backward-looking rates.
Develops optimal trading strategy for illiquid currency pairs.
A time series model for the FX dynamics is presented which takes into account structural peculiarities of the market, namely its heterogeneity and an information flow from long to short time horizons. The model emerges from an analogy between FX dynamics and hydrodynamic turbulence. The heterogeneity of the market is m…
In a system containing a large number of interacting stochastic processes, there will typically be many non-zero correlation coefficients. This makes it difficult to either visualize the system's inter-dependencies, or identify its dominant elements. Such a situation arises in Foreign Exchange (FX) which is the world's…
Develops optimal currency hedging strategy for fund managers considering liquidity risk.
Develops a new model for cross-currency derivatives pricing.
Study option pricing in sideways markets and target zones.
Abstract framework for cross-currency interest rate contracts.
Develops formulas for pricing European quanto options in a local volatility FX-LIBOR model.
Option written on several foreign exchange rates (FXRs) depends on correlation between the rates. To evaluate the option, historical estimates for correlations can be used but usually they are not stable. More significantly, pricing of the option using these estimates is usually inconsistent to the traded vanilla contr…
For the purpose of elucidating the correlation among currencies, we analyze daily and high-resolution data of foreign exchange rates. There is strong correlation for pairs of currencies of geographically near countries. We show that there is a time delay of order less than a minute between two currency markets having a…
Model shows triangular arbitrage key to cross-currency correlations in forex markets.
We investigate topology and temporal evolution of the foreign currency exchange market viewed from a weighted network perspective. Based on exchange rates for a set of 46 currencies (including precious metals), we construct different representations of the FX network depending on a choice of the base currency. Our resu…
Modeling Bitcoin risk using blockchain graph analysis.
Paper examines two methods for FX market volatility modeling.
World currency network constitutes one of the most complex structures that is associated with the contemporary civilization. On a way towards quantifying its characteristics we study the cross correlations in changes of the daily foreign exchange rates within the basket of 60 currencies in the period December 1998 -- M…
Agent learns to trade currency pairs with improved risk management.
Study multi-currency markets with multiple interest rates and collateral.
AI predicts currency strength based on economic fundamentals, outperforming traditional methods.
Quantum computing aids in optimizing currency reserves for central banks.
Study compares models for pricing multi-strike quanto call options with SV, SC, and SER.
The cross-correlations between the exchange rate fluctuations of 74 currencies over the period 1995-2012 are analyzed in this paper. The eigenvalue distribution of the cross-correlation matrix exhibits a bulk which approximately matches the bounds predicted from random matrices constructed using mutually uncorrelated t…
This paper examines pricing and hedging strategies for cross-currency equity protection swaps.
New method detects currency contagion sources using causal inference.
We have discovered 12 independent new empirical scaling laws in foreign exchange data-series that hold for close to three orders of magnitude and across 13 currency exchange rates. Our statistical analysis crucially depends on an event-based approach that measures the relationship between different types of events. The…
In the forthcoming ISDA Standard Credit Support Annex (SCSA), the trades denominated in non-G5 currencies as well as those include multiple currencies are expected to be allocated to the USD silo, where the contracts are collateralized by USD cash, or a different currency with an appropriate interest rate overlay to ac…
New technique identifies lead-lag relationships in FX market during pandemic.
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…
This study updates a model for Mexican interest rate swaps post-crisis.
The paper explains FX option pricing in target zones with non-deterministic short rates.
This research uses empirical copulas to price quanto options, showing significant differences from traditional models.
Method to decompose portfolio performance into FX, interest rate, carry, and residual market risks.
Entropy measures financial drawdowns, volatility, and volatility regimes.
We study the long memory of order flow for each of three liquid currency pairs on a large electronic trading platform in the foreign exchange (FX) spot market. Due to the extremely high levels of market activity on the platform, and in contrast to existing empirical studies of other markets, our data enables us to perf…