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.
The study uses historical revenue data to forecast music catalog cashflows and multipliers.
The study assesses music as an investment asset class using discounted cashflow models.
This paper provides intuition on the relationship of accrual and mark-to-market valuation for cash and forward interest rate trades. Discounted cashflow valuation is compared to spread-based valuation for forward trades, which explains the trader's view on valuation. This is followed by Taylor series approximation for …
The abstract reviews Markov models in life insurance surplus.
The paper addresses pricing interest rate derivatives in markets with volatility uncertainty.
Geometric Arbitrage Theory reformulates a generic asset model possibly allowing for arbitrage by packaging all assets and their forwards dynamics into a stochastic principal fibre bundle, with a connection whose parallel transport encodes discounting and portfolio rebalancing, and whose curvature measures, in this geom…
From SA-CCR to RSA-CCR: making SA-CCR self-consistent and appropriately risk-sensitive by cashflow decomposition in a 3-Factor Gaussian Market Model
We introduce a generic model for spouse's pensions. The generic model allows for the modeling of various types of spouse's pensions with payments commencing at the death of the insured. We derive abstract formulas for cashflows and liabilities corresponding to common types of spouse's pensions. We show how the standard…
This paper studies the problem of optimal investment in incomplete markets, robust with respect to stopping times. We work on a Brownian motion framework and the stopping times are adapted to the Brownian filtration. Robustness can only be achieved for logartihmic utility, otherwise a cashflow should be added to the in…
In this paper, we study the dual representation for generalized multiple stopping problems, hence the pricing problem of general multiple exercise options. We derive a dual representation which allows for cashflows which are subject to volume constraints modeled by integer valued adapted processes and refraction period…
Deep learning approximates Bermudan option exposures and future values.
Paper introduces non-linear discounting models for default compensation and climate valuation.
Proposes a new framework for discount models.
There is an observed basis between repo discounting, implied from market repo rates, and bond discounting, stripped from the market prices of the underlying bonds. Here, this basis is explained as a convexity effect arising from the decorrelation between the discount rates for derivatives and bonds. Using a Hull-White …
We consider the valuation of contingent claims with delayed dynamics in a Black&Scholes complete market model. We find a pricing formula that can be decomposed into terms reflecting the market values of the past and the present, showing how the valuation of future cashflows cannot abstract away from the contribution of…
The study uses reproducing kernels to model bond discount curves.
Study improves dividend discount model using VAR process.
Revises derivative pricing post financial crisis by defining a discount rate.
New RL approach handles non-exponential discounting for sequential decisions.
Framework for pricing waterfall structures using simulation and uncertainty modeling.
Paper develops a discounted algorithm for online convex optimization that adapts to unknown discount factors.
A new two-step LSMC method improves game option pricing accuracy.
We show that different rates should be used for borrowing and discount rates, and that the risk-free rate should be used for discounting when assessing and comparing the cost of energy accross diffferent producers and technologies, on the example of photovoltaics. Recent quantitative models using the same rate for borr…
Asset prices contain information about the probability distribution of future states and the stochastic discounting of those states as used by investors. To better understand the challenge in distinguishing investors' beliefs from risk-adjusted discounting, we use Perron-Frobenius Theory to isolate a positive martingal…
In this paper, we study the dividend strategies for a shareholder with non-constant discount rate in a diffusion risk model. We assume that the dividends can only be paid at a bounded rate and restrict ourselves to the Markov strategies. This is a time inconsistent control problem. The extended HJB equation is given an…
Model shows how discount rates affect intergenerational equity in climate mitigation.
UCBVI-γ algorithm minimizes regret in discounted MDPs.
Lower discount factors act as a regularizer in RL, improving performance.
Study analyzes how discounts affect train ticket purchases and rescheduling in Switzerland.
We demonstrate a limitation of discounted expected utility, a standard approach for representing the preference to risk when future cost is discounted. Specifically, we provide an example of the preference of a decision maker that appears to be rational but cannot be represented with any discounted expected utility. A …
Proves lower discount rates are needed for future losses.
Reinforcement learning (RL) typically defines a discount factor as part of the Markov Decision Process. The discount factor values future rewards by an exponential scheme that leads to theoretical convergence guarantees of the Bellman equation. However, evidence from psychology, economics and neuroscience suggests that…
We introduce a new approach to incorporate uncertainty into the decision to invest in a commodity reserve. The investment is an irreversible one-off capital expenditure, after which the investor receives a stream of cashflow from extracting the commodity and selling it on the spot market. The investor is exposed to pri…
This paper considers the problem of consumption and investment in a financial market within a continuous time stochastic economy. The investor exhibits a change in the discount rate. The investment opportunities are a stock and a riskless account. The market coefficients and discount factor switch according to a finite…
This paper shows how forward rate interpolations are equivalent to discount factor interpolations in yield curve construction.
The paper analyzes optimal dividend and capital injection strategies under time-inconsistent preferences.
For environmental problems such as global warming future costs must be balanced against present costs. This is traditionally done using an exponential function with a constant discount rate, which reduces the present value of future costs. The result is highly sensitive to the choice of discount rate and has generated …
In the "positive interest" models of Flesaker-Hughston, the nominal discount bond system is determined by a one-parameter family of positive martingales. In the present paper we extend this analysis to include a variety of distributions for the martingale family, parameterised by a function that determines the behaviou…
Study optimal stopping for group with diverse discount rates using an attitude function.
Proposes a new method for determining LGD discount rates based on cost of capital.
Empirical study on long-term discount rates using historical bond prices.
The valuation process that economic agents undergo for investments with uncertain payoff typically depends on their statistical views on possible future outcomes, their attitudes toward risk, and, of course, the payoff structure itself. Yields vary across different investment opportunities and their interrelations are …
We optimize discounts to maximize influence spread in social networks.
Study optimal portfolio strategies with time-varying discount rates.
We introduce the logistic model of consumption growth, which captures a negative feedback loop preventing an unlimited growth of consumption due to finite biophysical resources of our planet. This simple dynamic model allows for derivation of the expression describing the declining long-term tail of a social discount c…
New algorithm learns optimal policies with minimal memory and time.
In the spirit of [Surya07'], we develop an average problem approach to prove the optimality of threshold type strategies for optimal stopping of Lévy models with a continuous additive functional (CAF) discounting. Under spectrally negative models, we specialize this in terms of conditions on the reward function and ran…
Stochastic dividend discount models (Hurley and Johnson, 1994 and 1998, Yao, 1997) present expressions for the expected value of stock prices when future dividends evolve according to some random scheme. In this paper we try to offer a more precise view on this issue proposing a closed-form formula for the variance of …