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arXiv research

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.

168,742 papers · 148 categories

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1 result for “R-conditioning”
Partial Uncertainty and Applications to Risk-Averse Valuationq-fin.RM

Paper introduces R-conditioning for risk-averse valuation in financial markets.

problem Risk-averse valuation in incomplete financial markets.
method Introduces R-conditioning as a new operator between conditional expectation and sublinear expectation.
result R-conditioning can approximate sublinear expectations and is used to compute risk-averse values.
R-conditioningrisk-averse valuationsublinear expectationfinancial marketsBlack-Scholes-Merton
2019-09-30abs ↗pdf ↗