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.
The Samuelson condition is not satisfied by tangent lines of quadratic curves.
Study shows a universal local obstruction to the Samuelson condition for tangent Lagrangian 2-webs.
In the present paper we define Samuelson's webs and their rank. The main result of the paper is the proof that the rank of the Samuelson webs does not exceed 6, as well as finding the conditions under which this rank is maximal for the general Samuelson webs as well as for their singular cases.
The authors found necessary and sufficient conditions for Samuelson's web to be of maximum rank.
We introduce a multi-factor stochastic volatility model based on the CIR/Heston volatility process that incorporates seasonality and the Samuelson effect. First, we give conditions on the seasonal term under which the corresponding volatility factor is well-defined. These conditions appear to be rather mild. Second, we…
We introduce a multi-factor stochastic volatility model for commodities that incorporates seasonality and the Samuelson effect. Conditions on the seasonal term under which the corresponding volatility factor is well-defined are given, and five different specifications of the seasonality pattern are proposed. We calcula…
The position of the EWS (economy-wide substitution)-ratio vector determines the Rybczynski sign pattern, which expresses the factor endowment--commodity output relationships, and the Stolper-Samuelson sign pattern, which expresses the commodity price--factor price relationships in a three-factor two-good general equili…
The paper develops a new model for rough volatility in commodity markets.
We study the set of marginal utility-based prices of a financial derivative in the case where the investor has a non-replicable random endowment. We provide an example showing that even in the simplest of settings - such as Samuelson's geometric Brownian motion model - the interval of marginal utility-based prices can …
We introduce a multi-factor stochastic volatility model based on the CIR/Heston stochastic volatility process. In order to capture the Samuelson effect displayed by commodity futures contracts, we add expiry-dependent exponential damping factors to their volatility coefficients. The pricing of single underlying Europea…
Proposes a new model for simulating electricity prices and their correlation structure.
In life-cycle economics the Samuelson paradigm (Samuelson, 1969) states that the optimal investment is in constant proportions out of lifetime wealth composed of current savings and the present value of future income. It is well known that in the presence of credit constraints this paradigm no longer applies. Instead, …
We construct a new grading on the Goldman Lie algebra of a closed oriented surface by the winding number. This grading induces a grading on the HOMFLY-PT skein algebra and related algebras. Our work supports the conjectures of B. Cooper and P. Samuelson
We examine the issue of sensitivity with respect to model parameters for the problem of utility maximization from final wealth in an incomplete Samuelson model and mainly, but not exclusively, for utility functions of positive power-type. The method consists in moving the parameters through change of measure, which we …
The paper addresses how to complete incomplete risk markets by iteratively enhancing welfare.
This thesis explores DAHA representations using stated skein theory.
Using agent-based modelling, empirical evidence and physical ideas, such as the energy function and the fact that the phase space must have twice the dimension of the configuration space, we argue that the stochastic differential equations which describe the motion of financial prices with respect to real world probabi…
A financial market is called "diverse" if no single stock is ever allowed to dominate the entire market in terms of relative capitalization. In the context of the standard Ito-process model initiated by Samuelson (1965) we formulate this property (and the allied, successively weaker notions of "weak diversity" and "asy…
This paper studies subordinate Ornstein-Uhlenbeck (OU) processes, i.e., OU diffusions time changed by Lévy subordinators. We construct their sample path decomposition, show that they possess mean-reverting jumps, study their equivalent measure transformations, and the spectral representation of their transition semigro…
Model equilibrium price in intraday electricity markets with uncertainty.
Optimal energy trading strategy for intraday markets using Hawkes processes.
This paper introduces the class of volatility modulated Lévy-driven Volterra (VMLV) processes and their important subclass of Lévy semistationary (LSS) processes as a new framework for modelling energy spot prices. The main modelling idea consists of four principles: First, deseasonalised spot prices can be modelled di…
Bott and Samuelson constructed explicit cycles representing a basis of the Z_2-homology of the orbits of variationally complete representations of compact Lie groups. As a consequence, all those orbits are taut. We were able to show that an irreducible representation of a compact Lie group, all of whose orbits are taut…
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…
Paper introduces a new pricing method for electricity swaps and options.
Modeling intraday electricity prices with a Hawkes process.
Some problems with the recent stimulating proposal of a ``Gauge Theory of Finance'' by Ilinski and collaborators are outlined. First, the derivation of the log-normal distribution is shown equivalent both in information and mathematical content to the simpler and well-known derivation, dating back from Bachelier and Sa…
Study Morse theory on loop spaces and Hecke algebras.
Optimizes pension mix of PAYGO, EET, and individual savings.
In this work, we expand the idea of Samuelson[3] and Shepp[2,5,6] for stock optimization using the Bachelier model [4] as our models for the stock price at the money (X[stock price]= K[strike price]) for the American call and put options [1]. At the money (X= K) for American options, the expected payoff of both the cal…
Investing is a compression problem, maximizing growth by minimizing divergence.
Generates samples conditioned on labels using optimal transport.
The paper classifies Finsler surfaces satisfying the T-condition or σT-condition.
The paper develops a new approach to conditional risk measures using modular convex analysis.
Paper constructs solutions to Bogomolny equations with specific boundary and asymptotic conditions.
We extend probabilistic programming to handle conditioning on marginal distributions.
New tests for conditional copulas based on decision trees.
Paper finds necessary condition for logarithmic Minkowski problem in higher dimensions.
This paper introduces a neural operator for probabilistic conditioning.
CSI method learns conditional distributions by estimating flow equations.
New conditional risk measures called conditional generalized quantiles defined and characterized.
A new method for learning conditional distributions using ODEs and neural networks.
Sharp statistical theory for conditional diffusion models.
An analysis is made of reality conditions within the context of noncommutative geometry. We show that if a covariant derivative satisfies a given left Leibniz rule then a right Leibniz rule is equivalent to the reality condition. We show also that the matrix which determines the reality condition must satisfy the Yang-…
New conditions prevent gaps in optimal control problems.
We identify conditional parity as a general notion of non-discrimination in machine learning. In fact, several recently proposed notions of non-discrimination, including a few counterfactual notions, are instances of conditional parity. We show that conditional parity is amenable to statistical analysis by studying ran…
We consider families of strongly consistent multivariate conditional risk measures. We show that under strong consistency these families admit a decomposition into a conditional aggregation function and a univariate conditional risk measure as introduced Hoffmann et al. (2016). Further, in analogy to the univariate cas…
Develops a rigorous theory for conditional mean embeddings.