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 hybrid physics-ML model predicts FO water flux with high accuracy and uncertainty quantification.
New method for dynamic valuation in markets with random endowments.
This paper shows how forward rate interpolations are equivalent to discount factor interpolations in yield curve construction.
Paper explores volatility swaps in rough volatility models.
Develops a new class of forward performance processes for investment pools.
We prove here a general closed-form expansion formula for forward-start options and the forward implied volatility smile in a large class of models, including the Heston stochastic volatility and time-changed exponential Lévy models. This expansion applies to both small and large maturities and is based solely on the p…
This paper studies robust forward investment and consumption preferences within a zero-volatility context. Different from previous works, we consider an incomplete financial market model due to general investment portfolio constraints. We provide a new PDE characterization and a novel semi-explicit saddle-point constru…
We describe a model for evolving commodity forward prices that incorporates three important dynamics which appear in many commodity markets: mean reversion in spot prices and the resulting Samuelson effect on volatility term structure, decorrelation of moves in different points on the forward curve, and implied volatil…
Demographic projections of future mortality rates involve a high level of uncertainty and require stochastic mortality models. The current paper investigates forward mortality models driven by a (possibly infinite dimensional) Wiener process and a compensated Poisson random measure. A major innovation of the paper is t…
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…
The paper analyzes investment and consumption strategies under uncertain market conditions.
Generic model for commodity derivatives pricing.
We propose a multi-factor polynomial framework to model and hedge long-term electricity contracts with delivery period. This framework has several advantages: the computation of forwards, risk premium and correlation between different forwards are fully explicit, and the model can be calibrated to observed electricity …
This paper deals with forward performances of HARA type. Precisely, for a market model in which stock price processes are modeled by a locally bounded -dimensional semimartingale, we elaborate a complete and explicit characterization for this type of forward utilities. Furthermore, the optimal portfolios for each of…
Study of portfolio management under relative performance concerns using mean field games.
The idea of forward rates stems from interest rate theory. It has natural connotations to transition rates in multi-state models. The generalization from the forward mortality rate in a survival model to multi-state models is non-trivial and several definitions have been proposed. We establish a theoretical framework f…
In the LIBOR market model, forward interest rates are log-normal under their respective forward measures. This note shows that their distributions under the other forward measures of the tenor structure have approximately log-normal tails.
Forward-prediction models enhance physical reasoning, but only for specific tasks.
A new method computes gradients without backpropagation.
Study pricing options on forward contracts using infinite-dimensional affine models.
Diamonds help compute volatility models efficiently.
China uses two Renminbi markets to hedge cross-border risks, leading to a price discrepancy.
A new model captures forward curve dynamics with stochastic volatility.
Two-dimensional transition rates improve life insurance reserve calculations.
Study on predictable forward processes in trading without frequent evaluations.
Forward-Euler fails for simulating Wasserstein gradient flows with KL divergence.
The goal of this note is to prove a compact embedding result for spaces of forward rate curves. As a consequence of this result, we show that any forward rate evolution can be approximated by a sequence of finite dimensional processes in the larger state space.
This paper proves existence of the long bond, long forward measure and long-term factorization of the stochastic discount factor (SDF) of Alvarez and Jermann (2005) and Hansen and Scheinkman (2009) in Heath-Jarrow-Morton (HJM) models in the function space framework of Filipovic (2001). A sufficient condition on the wei…
We propose and investigate two model classes for forward power price dynamics, based on continuous branching processes with immigration, and on Hawkes processes with exponential kernel, respectively. The models proposed exhibit jumps clustering features. Models of this kind have been already proposed for the spot price…
Maximum principle proves positivity of forward rates in stochastic models.
Forward gradients improve neural network training without backpropagation issues.
We study the forward price dynamics in commodity markets realized as a process with values in a Hilbert space of absolutely continuous functions defined by Filipović. The forward dynamics are defined as the mild solution of a certain stochastic partial differential equation driven by an infinite dimensional Lévy proces…
Model interest rates and energy futures with regime-switching dynamics.
Enhances swaption modeling with rough stochastic volatility.
This paper explores the nonconvexity of push-forward constraints in machine learning.
The paper analyzes performance criteria for competing fund managers in Ito-diffusion markets.
In this paper we investigate the asymptotics of forward-start options and the forward implied volatility smile in the Heston model as the maturity approaches zero. We prove that the forward smile for out-of-the-money options explodes and compute a closed-form high-order expansion detailing the rate of the explosion. Fu…
The paper extends NUP representations to factor graphs for better estimation.
We derive a forward equation for arbitrage-free barrier option prices, in terms of Markovian projections of the stochastic volatility process, in continuous semi-martingale models. This provides a Dupire-type formula for the coefficient derived by Brunick and Shreve for their mimicking diffusion and can be interpreted …
Machine learning speeds up GPR simulations.
Study variance-optimal hedging of forward curve derivatives under stochastic volatility.
KINet learns object interactions without supervision for robotic pushing.
Forward hedging reshapes incentive provision in firms.
We introduce the concept of forward rank-dependent performance processes, extending the original notion to forward criteria that incorporate probability distortions. A fundamental challenge is how to reconcile the time-consistent nature of forward performance criteria with the time-inconsistency stemming from probabili…
In a recent formulation of a quantum field theory of forward rates, the volatility of the forward rates was taken to be deterministic. The field theory of the forward rates is generalized to the case of stochastic volatility. Two cases are analyzed, firstly when volatility is taken to be a function of the forward rates…
Principal Component Analysis (PCA) is the most common nonparametric method for estimating the volatility structure of Gaussian interest rate models. One major difficulty in the estimation of these models is the fact that forward rate curves are not directly observable from the market so that non-trivial observational e…
We derive a forward partial integro-differential equation for prices of call options in a model where the dynamics of the underlying asset under the pricing measure is described by a -possibly discontinuous- semimartingale. A uniqueness theorem is given for the solutions of this equation. This result generalizes Dupire…
A framework for computing holonomy groups of hybrid systems to achieve forward motion.