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arXiv research

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.

168,657 papers · 148 categories

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0111 · Jan 201919922001200920172026
4 results for “ESTR”
No Fear of Discounting How to Manage the Transition from EONIA to ESTRq-fin.PR

Paper details how to smoothly transition from EONIA to ESTR without significant financial impact.

problem Transition from EONIA to ESTR impacts financial instruments, especially OTC derivatives.
method Detailed analysis of how clean discounting approach based on ESTR affects pricing of OIS, IRS, and XVAs.
result The transition to EONIA-free pricing framework is safe and consistent, ensuring complete elimination of EONIA.
Financial Benchmarks ReformEONIAESTROISIRS
2025-03-09abs ↗pdf ↗
Bilinear Bandits with Low-rank Structurecs.LG

We introduce the bilinear bandit problem with low-rank structure in which an action takes the form of a pair of arms from two different entity types, and the reward is a bilinear function of the known feature vectors of the arms. The unknown in the problem is a d1d_1 by d2d_2 matrix Θ∗\mathbfΘ^* that defines the reward…

2019-01-08abs ↗pdf ↗
The Mean Field Market Model Revisitedq-fin.MF

Alternative perspective on mean-field LIBOR market model, maintaining practicality and applicability.

problem Maintaining practicality and applicability of mean-field LIBOR market model.
method Embedding mean-field model in a classical setup, controlling term rate variances over large time horizons.
result Framework can be directly applied to model term rates from SOFR, ESTR, or other nearly risk-free overnight rates.
mean-field modelLIBORpracticabilityterm ratesSOFR
2023-12-06abs ↗pdf ↗