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.
Paper introduces new actuarial-consistent valuations for insurance liabilities.
Financial models are studied where each asset may potentially lose value relative to any other. Conditioning on non-devaluation, each asset can serve as proper numéraire and classical valuation rules can be formulated. It is shown when and how these local valuation rules can be aggregated to obtain global arbitrage-fre…
This paper addresses credit valuation adjustment with a new closeout convention.
New framework values football players based on in-game interactions.
The paper addresses XVA valuation under market crises using a renewal process.
An extension of the idea of state tameness is presented in a dynamic framework. The proposed model for financial markets is rich enough to provide analytical tools that are mostly obtained in models that arise as the solution of SDEs with deterministic coefficients. In the presented model the augmentation by a shadow s…
Market valuation duration is 175 years, but drops to 46 years during crises.
The study highlights the importance of Wrong-Way Risk in FVA calculations during financial market turmoil.
This paper applies quantum theory to cost accounting, focusing on WIP valuation.
Enhanced Gordon growth model for valuing financial products.
The efficiency of a modern economy depends on what we call the Value-Tracking Hypothesis: that market prices of key assets broadly track some underlying value. This can be expected if a sufficient weight of market participants are valuation-based traders, buying and selling an asset when its price is, respectively, bel…
Study compares model-free valuation to actual financial outcomes, finds it slightly conservative.
We introduce a general model for the balance-sheet consistent valuation of interbank claims within an interconnected financial system. Our model represents an extension of clearing models of interdependent liabilities to account for the presence of uncertainty on banks' external assets. At the same time, it also provid…
Study compares ZBDT model to BDT for financial derivatives valuation.
Develops framework for valuing and assessing risk of renewable PPAs.
Much research in systemic risk is focused on default contagion. While this demands an understanding of valuation, fewer articles specifically deal with the existence, the uniqueness, and the computation of equilibrium prices in structural models of interconnected financial systems. However, beyond contagion research, t…
Quantum algorithms speed up financial portfolio valuation.
The study improves stock market valuation using volatility and earnings data.
Enhances financial market valuation and trading algorithms using distributional value functions.
DBOT uses AI to automate long-term stock valuation.
Fast ML framework for derivative valuation from volatility surfaces.
Business cycles affect startup valuations, both directly and indirectly.
ANNs solve financial option valuation problems without numerical methods.
Enhances valuation of variable annuities with stochastic interest rate models.
Study finds financial constraints explain zero-leverage firms.
Enhances systemic risk analysis by incorporating debt valuation factors.
The research presented in this work is motivated by some recent papers regarding hedging and valuation of financial securities subject to funding costs, collateralization and counterparty credit risk. Our goal is to provide a sound theoretical underpinning for some results presented in these papers by developing a unif…
Models to price long term loans in the securities lending business are developed. These longer horizon deals can be viewed as contracts with optionality embedded in them. This insight leads to the usage of established methods from derivatives theory to price such contracts. Numerical simulations are used to demonstrate…
New method reduces CVA-VaR computation complexity.
Paper evaluates whether AI is a bubble or a productivity revolution.
In this paper we present formulas for the valuation of debt and equity of firms in a financial network under comonotonic endowments. We demonstrate that the comonotonic setting provides a lower bound and Jensen's inequality provides an upper bound to the price of debt under Eisenberg-Noe financial networks with bankrup…
CCVA adjusts for climate change impacts on financial valuation.
This paper focuses on the valuation and hedging of gas storage facilities, using a spot-based valuation framework coupled with a financial hedging strategy implemented with futures contracts. The first novelty consist in proposing a model that unifies the dynamics of the futures curve and the spot price, which accounts…
In this paper, within the framework of uncertainty theory, the valuation of equity warrants is investigated. Different from the methods of probability theory, the equity warrants pricing problem is solved by using the method of uncertain calculus. Based on the assumption that the firm price follows an uncertain differe…
Model clarifies network effects on CVA, revealing significant differences in derivative contract values.
We derive valuations of a portfolio of financial instruments from a securities lending perspective, under different assumptions, and show a weighting scheme that converges to the true valuation. We illustrate conditions under which our alternative weighting scheme converges faster to the true valuation when compared to…
Financial institutions have massive computations to carry out overnight which are very demanding in terms of the consumed CPU. The challenge is to price many different products on a cluster-like architecture. We have used the Premia software to valuate the financial derivatives. In this work, we explain how Premia can …
We propose a numerical recipe for risk evaluation defined by a backward stochastic differential equation. Using dual representation of the risk measure, we convert the risk valuation to a stochastic control problem where the control is a certain Radon-Nikodym derivative process. By exploring the maximum principle, we s…
In the aftermath of the 2007 global financial crisis, banks started reflecting into derivative pricing the cost of capital and collateral funding through XVA metrics. Here XVA is a catch-all acronym whereby X is replaced by a letter such as C for credit, D for debt, F for funding, K for capital and so on, and VA stands…
Valuation and parity formulas for both European-style and American-style exchange options are presented in a general financial model allowing for jumps, possibility of default and "bubbles" in asset prices. The formulas are given via expectations of auxiliary probabilities using the change-of-numeraire technique. Exten…
Study shows cryptocurrency market impact on DeFi returns stronger than other drivers.
The paper models and prices cyber insurance risks, distinguishing idiosyncratic, systematic, and systemic risks.
The paper develops a valuation framework for GLWB-LTC contracts with Levy dynamics and stochastic interest rates.
Following the approach of standard filtering theory, we analyse investor-valuation of firms, when these are modelled as geometric-Brownian state processes that are privately and partially observed, at random (Poisson) times, by agents. Tasked with disclosing forecast values, agents are able purposefully to withhold the…
The paper values and hedges EPS products with jumps and default risks.
Framework for realistic insurance liability valuation.
Insurance companies often include very long-term guarantees in participating life insurance products, which can turn out to be very valuable. Under a guaranteed annuity options (G.A.O), the insurer guarantees to convert a policyholder's accumulated funds to a life annuity at a fixed rated when the policy matures. Both …
In a Markovian stochastic volatility model, we consider financial agents whose investment criteria are modelled by forward exponential performance processes. The problem of contingent claim indifference valuation is first addressed and a number of properties are proved and discussed. Special attention is given to the c…