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.
Study agnostic feature-based dynamic pricing models with linear policies and noisy valuations.
Study convolution of invariant valuations on Lie groups.
A new pricing strategy learns customer valuations without noise distribution knowledge.
Proposes a tuning-free dynamic pricing method for linear valuation models.
Optimal pricing strategy for unknown valuation models with noisy feedback.
In this paper, we endow the space of continuous translation invariant valuation on convex sets generated by mixed volumes coupled with a suitable Radon measure on tuples of convex bodies with two appropriate norms. This enables us to construct a continuous extension of the convolution operator on smooth valuations to n…
The classification of continuous, translation invariant Minkowski valuations which are contravariant (or covariant) with respect to the complex special linear group is established in a 2-dimensional complex vector space. Every such valuation is given by the sum of a valuation of degree of homogeneity 1 and 3. In dimens…
Let denote the identity connected component of the real orthogonal group with signature . We give a complete description of the spaces of continuous and generalized translation- and -invariant valuations, generalizing Hadwiger's classification of Euclidean isometry-invari…
Study proposes a new model for joint survival annuity valuation.
We analyze the valuation partial differential equation for European contingent claims in a general framework of stochastic volatility models where the diffusion coefficients may grow faster than linearly and degenerate on the boundaries of the state space. We allow for various types of model behavior: the volatility pr…
Improved algorithms for dynamic pricing under different valuation models.
Recent theoretical results establish that time-consistent valuations (i.e. pricing operators) can be created by backward iteration of one-period valuations. In this paper we investigate the continuous-time limits of well-known actuarial premium principles when such backward iteration procedures are applied. We show tha…
We develop an arbitrage-free framework for consistent valuation of derivative trades with collateralization, counterparty credit gap risk, and funding costs, following the approach first proposed by Pallavicini and co-authors in 2011. Based on the risk-neutral pricing principle, we derive a general pricing equation whe…
The paper examines how NFT valuations correlate with market data and social trends.
Paper introduces non-linear discounting models for default compensation and climate valuation.
A new method to value IPOed companies.
Hadwiger's Theorem states that Euclidean-invariant convex-continuous valuations of definable sets are linear combinations of intrinsic volumes. We lift this result from sets to data distributions over sets, specifically, to definable real-valued functions on n-dimensional Euclidean space. This generalizes intrinsic vol…
Wrong-way risk in counterparty and funding exposures is most dramatic in the situations of systemic crises and tails events. A consistent model of wrong-way risk (WWR) is developed here with the probability-weighted addition of tail events to the calculation of credit valuation and funding valuation adjustments (CVA an…
The study improves stock market valuation using volatility and earnings data.
The space of Minkowski valuations on an m-dimensional complex vector space which are continuous, translation invariant and contravariant under the complex special linear group is explicitly described. Each valuation with these properties is shown to satisfy geometric inequalities of Brunn-Minkowski, Aleksandrov-Fenchel…
Existence of smooth valuations on subspaces is shown for certain conditions.
Paper improves KNN-Shapley for privacy-friendly data valuation.
Analyzes valuation of derivative claims with asymmetric funding costs and WWR.
A celebrated theorem of Hadwiger states that the Euler-Poincaré characteristic is the the unique invariant and continuous valuation on the distributive lattice of compact polyhedra in R^n that assigns value one to each convex non-empty such polyhedron. This paper provides an analogue of Hadwiger's result for finitely p…
Various valuation adjustments, or XVAs, can be written in terms of non-linear PIDEs equivalent to FBSDEs. In this paper we develop a Fourier-based method for solving FBSDEs in order to efficiently and accurately price Bermudan derivatives, including options and swaptions, with XVA under the flexible dynamics of a local…
We present a dialogue on Funding Costs and Counterparty Credit Risk modeling, inclusive of collateral, wrong way risk, gap risk and possible Central Clearing implementation through CCPs. This framework is important following the fact that derivatives valuation and risk analysis has moved from exotic derivatives managed…
Paper simplifies default process modeling and credit valuation.
This paper considers exponential utility indifference pricing for a multidimensional non-traded assets model, and provides two linear approximations for the utility indifference price. The key tool is a probabilistic representation for the utility indifference price by the solution of a functional differential equation…
The research presented in this work is motivated by recent papers by Brigo et al. (2011), Burgard and Kjaer (2009), Crépey (2012), Fujii and Takahashi (2010), Piterbarg (2010) and Pallavicini et al. (2012). Our goal is to provide a sound theoretical underpinning for some results presented in these papers by developing …
Study evaluates valuation models for UK companies using case studies.
Unified methods for hedging impermanent loss in decentralized exchanges.
Paper recovers uncertainty from dynamic valuation rules.
Valuation adjustments are nowadays a common practice to include credit and liquidity effects in option pricing. Funding costs arising from collateral procedures, hedging strategies and taxes are added to option prices to take into account the production cost of financial contracts so that a profitability analysis can b…
Study minimax regret in bilateral trade with heavy-tailed valuations.
Business cycles affect startup valuations, both directly and indirectly.
Generalizing Weyl's tube formula and building on Chern's work, Alesker reinterpreted the Lipschitz-Killing curvature integrals as a family of valuations (finitely-additive measures with good analytic properties), attached canonically to any Riemannian manifold, which is universal with respect to isometric embeddings. I…
A complete classification is obtained of continuous, translation invariant, Minkowski valuations on an m-dimensional complex vector space which are covariant under the complex special linear group.
We generalize the classic Shiller cyclically adjusted price-earnings ratio (CAPE) used for prediction of future total returns of the stock market. We treat earnings growth as exogenous. The difference between log wealth and log earnings is modeled as an autoregression of order 1 with linear trend 4.6% and Gaussian inno…
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 …
A Kalman filter reduces valuation risk in business valuation models.
ANNs solve financial option valuation problems without numerical methods.
Paper introduces new actuarial-consistent valuations for insurance liabilities.
OpenDataVal benchmarks data valuation algorithms for diverse datasets.
We study the valuation and hedging problem of European options in a market subject to liquidity shocks. Working within a Markovian regime-switching setting, we model illiquidity as the inability to trade. To isolate the impact of such liquidity constraints, we focus on the case where the market is completely static in …
This paper develops a valuation model for private companies.
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…
The strengthening of capital requirements has induced banks and traders to consider charging a so called capital valuation adjustment (KVA) to the clients in OTC transactions. This roughly corresponds to charge the clients ex-ante the profit requirement that is asked to the trading desk. In the following we try to deli…
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…