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 contrastive MI estimator improves efficiency and tightness.
A new formula reveals symmetries between mean excess and ES functions.
This paper concerns the recursive utility maximization problem. We assume that the coefficients of the wealth equation and the recursive utility are concave. Then some interesting and important cases with nonlinear and nonsmooth coefficients satisfy our assumption. After given an equivalent backward formulation of our …
The study analyzes how machine learning classifiers' error rates decrease exponentially based on large deviations theory.
The purpose of this paper relies on the study of long term yield curves modeling. Inspired by the economic litterature, it provides a financial interpretation of the Ramsey rule that links discount rate and marginal utility of aggregate optimal consumption. For such a long maturity modelization, the possibility of adju…
Paper analyzes a new Hopf-Lax semigroup in metric spaces.
We characterize the behaviour of the Rough Heston model introduced by Jaisson\&Rosenbaum \cite{JR16} in the small-time, large-time and (i.e. ) limits. We show that the short-maturity smile scales in qualitatively the same way as a general rough stochastic volatility model (cf.\ \cite{FZ17}, \cite{FGP…