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.
Optimal execution strategy for merger & acquisition contracts with price impact.
In this note we describe the application of existing smart contract technologies with the aim to construct a new digital representation of a financial derivative contract. We compare several existing DLT based technologies. We provide a detailed description of two separate prototypes which are able to be executed on a …
Optimal reinsurance contracts for multiple dependent risks are derived without specific dependency assumptions.
In this paper we discuss the asymptotic behaviour of random contractions , where , with distribution function , is a positive random variable independent of . Random contractions appear naturally in insurance and finance. Our principal contribution is the derivation of the tail asymptotics of $X…
Study loan contracts in DLPs using derivatives pricing and neural networks.
We introduce a two-agent problem which is inspired by price asymmetry arising from funding difference. When two parties have different funding rates, the two parties deduce different fair prices for derivative contracts even under the same pricing methodology and parameters. Thus, the two parties should enter the deriv…
We study -divergence contraction and its privacy implications.
Computable contracts simplify financial transactions and reduce legal costs.
This study compares microscopic and macroscopic models for commodity index derivatives pricing.
Optimal contracts are found for agents with quadratic effort costs.
We investigate the framework of privacy amplification by iteration, recently proposed by Feldman et al., from an information-theoretic lens. We demonstrate that differential privacy guarantees of iterative mappings can be determined by a direct application of contraction coefficients derived from strong data processing…
Model prices commodity futures and index options.
Paper proposes auction method for smart derivatives to avoid disputes.
Model clarifies network effects on CVA, revealing significant differences in derivative contract values.
This paper gives a description of the full space of Bridgeland stability conditions on the bounded derived category of a contraction algebra associated to a 3-fold flop. The main result is that the stability manifold is the universal cover of a naturally associated hyperplane arrangement, which is known to be simplicia…
Proposes a regularization approach to model German power derivative market, identifying significant risk spillovers.
Derives pricing formulas for perpetual futures contracts.
In this paper, we combine modern portfolio theory and option pricing theory so that a trader who takes a position in a European option contract and the underlying assets can construct an optimal portfolio such that at the moment of the contract's maturity the contract is perfectly hedged. We derive both the optimal hol…
Optimal contracts help principals delegate data collection in decentralized ML.
The paper explores perpetual contracts in a financial market without arbitrage.
Study finds discrepancies in open interest reporting for Bitcoin perpetual swaps.
We prove a version of First Fundamental Theorem of Asset Pricing under transaction costs for discrete-time markets with dividend-paying securities. Specifically, we show that the no-arbitrage condition under the efficient friction assumption is equivalent to the existence of a risk-neutral measure. We derive dual repre…
This paper studies a valuation framework for financial contracts subject to reference and counterparty default risks with collateralization requirement. We propose a fixed point approach to analyze the mark-to-market contract value with counterparty risk provision, and show that it is a unique bounded and continuous fi…
This paper investigates Pareto optimal (PO, for short) insurance contracts in a behavioral finance framework, in which the insured evaluates contracts by the rank-dependent utility (RDU) theory and the insurer by the expected value premium principle. The incentive compatibility constraint is taken into account, so the …
In this paper, the author considers the numerical computation of CVA for large systems by Mote Carlo methods. He introduces two types of stochastic mesh methods for the computations of CVA. In the first method, stochastic mesh method is used to obtain the future value of the derivative contracts. In the second method, …
Study compares Indian derivatives markets and finds NSE outperforming BSE.
The paper prices weather contracts using a complex temperature model.
The paper analyzes optimal investment strategies for life insurance contracts using mean-variance optimization.
Study uses put-call parity to estimate cost of funding in equity derivatives markets.
On a Riemannian or a semi-Riemannian manifold, the metric determines invariants like the Levi-Civita connection and the Riemann curvature. If the metric becomes degenerate (as in singular semi-Riemannian geometry), these constructions no longer work, because they are based on the inverse of the metric, and on related o…
AMM finds optimal contract for LPs to maximize order flow.
Bayesian method with Gaussian process priors achieves optimal convergence rates for regression function and its derivatives.
New model assesses risks of staking and borrowing in smart contracts.
We consider the problem of designing a derivatives exchange aiming at addressing clients needs in terms of listed options and providing suitable liquidity. We proceed into two steps. First we use a quantization method to select the options that should be displayed by the exchange. Then, using a principal-agent approach…
Following the recent literature on make take fees policies, we consider an exchange wishing to set a suitable contract with several market makers in order to improve trading quality on its platform. To do so, we use a principal-agent approach, where the agents (the market makers) optimise their quotes in a Nash equilib…
Study on nonsmooth contractive SA with constant stepsize and Q-learning.
Study optimal reinsurance contracts to prevent moral hazard under non-concave premium principles.
Financial contracts with options that allow the holder to extend the contract maturity by paying an additional fixed amount found many applications in finance. Closed-form solutions for the price of these options have appeared in the literature for the case when the contract underlying asset follows a geometric Brownia…
We analyze conditional optimization problems arising in discrete time Principal-Agent problems of delegated portfolio optimization with linear contracts. Applying tools from Conditional Analysis we show that some results known in the literature for very specific instances of the problem carry over to translation invari…
The paper addresses pricing interest rate derivatives in markets with volatility uncertainty.
Optimizes capital structure for life insurance companies with surplus participation.
This paper examines the quantitative finance aspects of AMMs in decentralized finance.
Variable annuities (VA) are popular insurance products. VAs provides the insured with a guaranteed accumulation rate on their premium at maturity. In addition, the insured may receive extra benefit if returns of underlying funds are high enough. Here we consider a special case of VA with high-water mark feature and Gua…
This paper introduces a method to improve GNN stability and robustness.
Study on symmetric automorphisms of RAAGs, proving finiteness properties and contractibility.
We analyze the counterparty risk embedded in CDS contracts, in presence of a bilateral margin agreement. First, we investigate the pricing of collateralized counterparty risk and we derive the bilateral Credit Valuation Adjustment (CVA), unilateral Credit Valuation Adjustment (UCVA) and Debt Valuation Adjustment (DVA).…
We develop a new method to price SOFR futures contracts considering convexity, skew, and smile.
In this paper we study a model-based approach to calculating approximately optimal policies in Markovian Decision Processes. In particular, we derive novel bounds on the loss of using a policy derived from a factored linear model, a class of models which generalize numerous previous models out of those that come with s…