arXiv research

New algorithms reduce regret in non-stationary bandits with increasing payoffs.

Paper shows how to replicate payoffs without oracles in CFMMs.

This paper studies the valuation and optimal strategy of convertible bonds as a Dynkin game by using the reflected backward stochastic differential equation method and the variational inequality method. We first reduce such a Dynkin game to an optimal stopping time problem with state constraint, and then in a Markovian…

Optimal portfolio yields a digital option payoff.

The paper analyzes Variable Annuities with surrender charges, providing a pricing formula and optimal exercise boundary.

This paper studies the valuation of European contingent claims with short selling bans under the equal risk pricing (ERP) framework proposed in Guo and Zhu (2017) where analytical pricing formulae were derived in the case of monotonic payoffs under risk-neutral measures. We establish a unified framework for this new pr…

In this paper, we investigate the generalization of the Call-Put duality equality obtained in [1] for perpetual American options when the Call-Put payoff $(y-x)^+$ is replaced by $φ(x,y)$. It turns out that the duality still holds under monotonicity and concavity assumptions on $φ$. The specific analytical form of the …

SISR improves feature attribution in complex payoff schemes.

We analyze the relation between earning forecast accuracy and expected profitability of financial analysts. Modeling forecast errors with a multivariate Gaussian distribution, a complete characterization of the payoff of each analyst is provided. In particular, closed-form expressions for the probability density functi…

We provide representations of solutions to terminal value problems of inhomogeneous Black-Scholes equations and studied such general properties as min-max estimates, gradient estimates, monotonicity and convexity of the solutions with respect to the stock price variable, which are important for financial security prici…

Paper introduces algorithms for explaining monotonic classifiers.

Dark blockchain venues increase miners' profits but raise users' execution risk.

Study on optimal information acquisition in Kyle model with entropy cost.

New foundation for Shapley value immune to coalitional manipulations.

Study shows configuration spaces' homological dimension increases monotonically.

COMET learns monotonic neural networks by incorporating counterexamples.

We first study an optimal stopping problem in which a player (an agent) uses a discrete stopping time in order to stop optimally a payoff process whose risk is evaluated by a (non-linear) $g$-expectation. We then consider a non-zero-sum game on discrete stopping times with two agents who aim at minimizing their respect…

Curve shortening flow increases annulus modulus.

Choquet and minimax expectations are equivalent in European option pricing.

GradaGrad adapts learning rate non-monotonically, overcoming AdaGrad's step size decrease.

We investigate a class of optimal stopping problems arising in, for example, studies considering the timing of an irreversible investment when the underlying follows a skew Brownian motion. Our results indicate that the local directional predictability modeled by the presence of a skew point for the underlying has a no…

We use probabilistic methods to characterise time dependent optimal stopping boundaries in a problem of multiple optimal stopping on a finite time horizon. Motivated by financial applications we consider a payoff of immediate stopping of "put" type and the underlying dynamics follows a geometric Brownian motion. The op…

Improves k-NN for monotonic data with robustness against noise.

The paper proves a transformation theorem under a monotone property of almost Euclidean factors of geodesic balls.

Quasi-Monte Carlo speeds up option Greeks calculation on GPUs.

We consider the problem of finding a consistent upper price bound for exotic options whose payoff depends on the stock price at two different predetermined time points (e.g. Asian option), given a finite number of observed call prices for these maturities. A model-free approach is used, only taking into account that th…

This article investigates when homotopies can be converted to monotone homotopies without increasing the lengths of curves. A monotone homotopy is one which consists of curves which are simple or constant, and in which curves are pairwise disjoint. We show that, if the boundary of a Riemannian disc can be contracted th…

This paper studies the payoff amounts in simple interest loans without arbitrage.

Nonnegative matrix factorization (NMF) factorizes a non-negative matrix into product of two non-negative matrices, namely a signal matrix and a mixing matrix. NMF suffers from the scale and ordering ambiguities. Often, the source signals can be monotonous in nature. For example, in source separation problem, the source…

The paper is motivated by a problem concerning the monotonicity of insurance premiums with respect to their loading parameter: the larger the parameter, the larger the insurance premium is expected to be. This property, usually called loading monotonicity, is satisfied by premiums that appear in the literature. The inc…

Recent reports have described that the equivalent sample size (ESS) in a Dirichlet prior plays an important role in learning Bayesian networks. This paper provides an asymptotic analysis of the marginal likelihood score for a Bayesian network. Results show that the ratio of the ESS and sample size determine the penalty…

This paper compares token and equity financing for startups.

We find a new monotone increasing quantity along smooth solutions to the inverse mean curvature flow in $\mathbb R^n$. As an application, we derive a sharp geometric inequality for mean convex, star-shaped hypersurfaces which relates the volume enclosed by a hypersurface to a weighted total mean curvature of the hypers…

Paper solves bond option pricing with credit risk using Black-Scholes equations.

The paper extends the avoidance principle for mean curvature flows, proving new intersection dimension monotonicity results.

The paper explores arbitrage opportunities in derivative markets under specific conditions.

The study calculates Weyl entropy in spacetime regions and shows its monotonic behavior.

The paper proves the monotonicity of a modified Perelman's W-entropy for mean curvature flow.

This work is devoted to the study of parabolic frequency for solutions of the heat equation on Riemannian manifolds. We show that the parabolic frequency functional is almost increasing on compact manifolds with nonnegative sectional curvature, which generalizes a monotonicity result proved by C. Poon and by L. Ni. The…

New models ensure monotonicity in preference learning, improving accuracy especially with limited data.

Introduces SMMV preferences to avoid inconsistency in portfolio selection.

New findings show privacy affects generalization error in a non-monotonic way.

Method constructs CFMMs matching desired payoffs.

Study de Rham homomorphism for Lipschitz cohomologies on metric simplicial complexes.

New quantity helps map homotopy classes in complex spaces.

Optimal payoff choice constrained by Bregman-Wasserstein divergence.

Study finds cheapest possible payoff under ambiguity, linking to maxmin expected utility.

We introduce signature payoffs, a family of path-dependent derivatives that are given in terms of the signature of the price path of the underlying asset. We show that these derivatives are dense in the space of continuous payoffs, a result that is exploited to quickly price arbitrary continuous payoffs. This approach …