arXiv research

Paper calculates robust FVA for OTC derivatives under distributional uncertainty.

Over-the-counter markets are at the center of the postcrisis global reform of the financial system. We show how the size and structure of such markets can undergo rapid and extensive changes when participants engage in portfolio compression, a post-trade netting technology. Tightly-knit and concentrated trading structu…

We study two classes of over-the-counter markets specified by systems of ODE's, in the spirit of Duffie-Garleanu-Pedersen, Econometrica, 2005. We first compute the steady states for many of these ODE's. Then we obtain the prices at which investors trade with each other at these steady states. Finally, we study the stab…

Exploration is a fundamental aspect of Reinforcement Learning, typically implemented using stochastic action-selection. Exploration, however, can be more efficient if directed toward gaining new world knowledge. Visit-counters have been proven useful both in practice and in theory for directed exploration. However, a m…

Paper uses reinforcement learning to optimize bid-ask spreads in OTC markets.

Backward SDEs help price XVA for OTC derivatives.

Paper calculates robust XVA for derivatives under distributional uncertainty using Wasserstein distance.

Study risk sharing among agents with varying risk preferences.

Over-the-counter derivatives have contributed significantly to the effectiveness and efficiency of the international financial system but also entail significant counterparty credit risk. Collateralization is one of the most important and widespread credit risk mitigation techniques used in derivatives transactions. Ho…

A new method for estimating adversarial strategies in nonlinear systems.

In this paper, we have studied the pricing of a continuously collateralized CDS. We have made use of the "survival measure" to derive the pricing formula in a straightforward way. As a result, we have found that there exists irremovable trace of the counter party as well as the investor in the price of CDS through thei…

In the over-the-counter market in derivatives, we sometimes see large numbers of traders taking the same position and risk. When there is this kind of concentration in the market, the position impacts the pricings of all other derivatives and changes the behaviour of the underlying volatility in a nonlinear way. We mod…

We discuss the possibility of obtaining model-free bounds on volatility derivatives, given present market data in the form of a calibrated local volatility model. A counter-example to a wide-spread conjecture is given.

Deep Bellman Hedging uses reinforcement learning to optimize financial portfolio hedging.

Study on pairwise counter-monotonicity, a type of negative dependence.

In [1] Zawadoski introduces a banking network model in which the asset and counter-party risks are treated separately and the banks hedge their assets risks by appropriate OTC contracts. In his model, each bank has only two counter-party neighbors, a bank fails due to the counter-party risk only if at least one of its …

Researchers create a framework to value player actions in CSGO.

A new SNN model explains decision-making with learning and spiking neurons.

Let $M$ be a complete non-compact Riemannian manifold. In this paper, we derive sufficient conditions on metric perturbation for stability of $L^p$-boundedness of the Riesz transform, $p\in (2,\infty)$. We also provide counter-examples regarding in-stability for $L^p$-boundedness of Riesz transform.

Derives EoM for DNNs to describe GD dynamics precisely.

Study on heavy tails in closing auction returns, explaining imbalance through limit order submission.

Derivative map for disk diffeomorphisms induces nontrivial homotopy groups.

Study solves DREs for trading strategies using signals and past prices.

This paper shows how to calculate risk measures for sums of two counter-monotonic risks.

Cross-border equity and long-term debt securities portfolio investment networks are analysed from 2002 to 2012, covering the 2008 global financial crisis. They serve as network-proxies for measuring the robustness of the global financial system and the interdependence of financial markets, respectively. Two early-warni…

Model predicts OTC dealers' trading behavior using historical data.

We give a counter example to a conjecture of E. Bueler stating the equality between the DeRham cohomology of complete Riemannian manifold and a weighted $L^2$ cohomology where the weight is the heat kernel.

In recent years, the counterparty credit risk measure, namely the default risk in \emph{Over The Counter} (OTC) derivatives contracts, has received great attention by banking regulators, specifically within the frameworks of \emph{Basel II} and \emph{Basel III.} More explicitly, to obtain the related risk figures, one …

We introduce and study a class of over-the-counter market models specified by systems of Ordinary Differential Equations (ODE's), in the spirit of Duffie- G^arleanu-Pedersen [6]. The key innovation is allowing for multiple assets. We show the existence and uniqueness of a steady state for these ODE's.

Prognosticator improves performance in non-stationary MDPs.

Counterexample disproves Yashiro's theorem on surface knots.

During recent years the counterparty risk subject has received a growing attention because of the so called Basel Accord. In particular the Basel III Accord asks the banks to fulfill finer conditions concerning counterparty credit exposures arising from banks' derivatives, securities financing transactions, default and…

Study multi-agent RL in OTC markets, learning from agents' interactions.

New method reduces CVA-VaR computation complexity.

The paper studies risk-sharing allocations for risk-seeking agents using a common distortion risk measure.

A new LSV model uses relative quantities for better trading and risk management.

We review the Burghelea conjecture, which constitutes a full computation of the periodic cyclic homology of complex group rings, and its relation to the algebraic Baum-Connes conjecture. The Burghelea conjecture implies the Bass conjecture. We state two conjectures about groups of finite asymptotic dimension, which tog…

Counterexample disproves conjecture on flat metrics and fiber bundles.

Paper finds a counter-example invalidating a spectral asymptotic algorithm.

We provide here a counter-example to the second inequality of Corollary (19.10) in the Clay Institute Monograph by J.Morgan and G.Tian entitled "Ricci Flow and the Poincare Conjecture". We had announced the existence of this counter-example in our paper "Five Gaps in Mathematics", Advanced Non-linear Studies, vol 15, N…

We study the impact of central clearing of over-the-counter (OTC) transactions on counterparty exposures in a market with OTC transactions across several asset classes with heterogeneous characteristics. The impact of introducing a central counterparty (CCP) on expected interdealer exposure is determined by the tradeof…

Experience replay is an important technique for addressing sample-inefficiency in deep reinforcement learning (RL), but faces difficulty in learning from binary and sparse rewards due to disproportionately few successful experiences in the replay buffer. Hindsight experience replay (HER) was recently proposed to tackle…

The importance of collateralization through the change of funding cost is now well recognized among practitioners. In this article, we have extended the previous studies of collateralized derivative pricing to more generic situation, that is asymmetric and imperfect collateralization with the associated counter party c…

Revises a theorem by Thurston, finding a counter-example and a weaker version.

Forward-Euler fails for simulating Wasserstein gradient flows with KL divergence.

This work describes simple and efficient algorithms for interactively learning non-binary concepts in the learning from random counter-examples (LRC) model. Here, learning takes place from random counter-examples that the learner receives in response to their proper equivalence queries. In this context, the learning ti…

Counterparty risk denotes the risk that a party defaults in a bilateral contract. This risk not only depends on the two parties involved, but also on the risk from various other contracts each of these parties holds. In rather informal markets, such as the OTC (over-the-counter) derivative market, institutions only rep…

Study models opaque financial markets using multi-agent simulation.