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.
This paper studies the payoff amounts in simple interest loans without arbitrage.
We propose an elementary model to price European physical delivery swaptions in multicurve setting with a simple exact closed formula. The proposed model is very parsimonious: it is a three-parameter multicurve extension of the two-parameter Hull-White (1990) model. The model allows also to obtain simple formulas for a…
A relation between interest rates and inflation is presented using a two component economic model and a simple general principle. Preliminary results indicate a remarkable similarity to classical economic theories, in particular that of Wicksell.
Optimal student loan repayment strategies vary based on loan size.
The potential approach is a general and simple method for modelling interest rates, foreign exchange rates, and in principle other types of financial assets. This paper takes data on some liquid interest rate derivatives, and fits potential models using a small finite-state Markov chain as the base Markov process.
Most simple braids have positive topological entropy.
We propose a simple mathematical model for unemployment. Despite its simpleness, we claim that the model is more realistic and useful than recent models available in the literature. A case study with real data from Portugal supports our claim. An optimal control problem is formulated and solved, which provides some non…
We calibrate and test various variants of field theory models of the interest rate with data from eurodollars futures. A model based on a simple psychological factor are seen to provide the best fit to the market. We make a model independent determination of the volatility function of the forward rates from market data…
Paper proves trajectories of Chaplygin systems are reparametrized geodesics.
The interest rates (or nominal yields) can be negative, this is an unavoidable fact which has already been visible during the Great Depression (1929-39). Nowadays we can find negative rates easily by e.g. auditing. Several theoretical and practical ideas how to model and eventually overcome empirical negative rates can…
Develops a method to approximate convexity adjustments for interest rate products.
This paper describes a novel method to approximate the polynomial coefficients of regression functions, with particular interest on multi-dimensional classification. The derivation is simple, and offers a fast, robust classification technique that is resistant to over-fitting.
We study the Morton-Franks-Williams inequality for closures of simple braids (also known as positive permutation braids). This allows to prove, in a simple way, that the set of simple braids is a orthonormal basis for the inner product of the Hecke algebra of the braid group defined by Kálmán, who first obtained this r…
We classify invariant almost complex structures on homogeneous manifolds of dimension 6 with semi-simple isotropy. Those with non-degenerate Nijenhuis tensor have the automorphism group of dimension either 14 or 9. An invariant almost complex structure with semi-simple isotropy is necessarily either of specified 6 homo…
Study analyzes correlation structure in two-factor Hull-White model for XVA calculations.
A new method approximates option pricing in stochastic interest rate markets.
Anomaly detectors are often used to produce a ranked list of statistical anomalies, which are examined by human analysts in order to extract the actual anomalies of interest. Unfortunately, in realworld applications, this process can be exceedingly difficult for the analyst since a large fraction of high-ranking anomal…
Proposes a bond portfolio solution for managing interest rate risk.
Paper studies second order tail probabilities in risk models.
Genetic Algorithm improves Nelson-Siegel-Svensson model calibration for interest rates.
Machine learning and AI-assisted trading have attracted growing interest for the past few years. Here, we use this approach to test the hypothesis that the inefficiency of the cryptocurrency market can be exploited to generate abnormal profits. We analyse daily data for cryptocurrencies for the period between N…
A simple, yet reasonably accurate, analytical technique is proposed for multi-factor structural credit portfolio models. The accuracy of the technique is demonstrated by benchmarking against Monte Carlo simulations. The approach presented here may be of high interest to practitioners looking for transparent, intuitive,…
We give a simple analytic criterion which characterizes linearizable 1-codimensional webs. Then we give an invariant geometrical interpretation of it, in term of projective connection. We explain then how our approach allows to study linearization of more general objects than 1-codimensional webs. By way of illustratio…
The paper studies estimation of parameters of diffusion market models from historical data. The standard definition of implied volatility for these models presents its value as an implicit function of several parameters, including the risk-free interest rate. In reality, the risk free interest rate is unknown and need …
Proposes a new model to handle negative interest rates using CIR framework.
Lie groups of automorphisms of cotangent bundles of Lie groups are completely characterized and interesting results are obtained. We give prominence to the fact that the Lie groups of automorphisms of cotangent bundles of Lie groups are super symmetric Lie groups. In the cases of orthogonal Lie lgebras, semi-simple Lie…
Mining itemsets that are the most interesting under a statistical model of the underlying data is a commonly used and well-studied technique for exploratory data analysis, with the most recent interestingness models exhibiting state of the art performance. Continuing this highly promising line of work, we propose the f…
We extend the fundamental theorem of asset pricing to a model where the risky stock is subject to proportional transaction costs in the form of bid-ask spreads and the bank account has different interest rates for borrowing and lending. We show that such a model is free of arbitrage if and only if one can embed in it a…
We show that for a generic simple closed curve C in the asymptotic boundary of a Gromov hyperbolic 3-space with cocompact metric X, there exist a unique least area plane P in X with asymptotic boundary C. This result has interesting topological applications for constructions of canonical 2-dimensional objects in 3-mani…
Equivariant neural networks use symmetry to interpret complex data.
Study of fundamental groups of 3D small covers using Morse theory.
Optimal simple regret bound for Gaussian Process bandits.
The Hull-White one factor model is used to price interest rate options. The parameters of the model are often calibrated to simple liquid instruments, in particular European swaptions. It is therefore very important to have very efficient pricing formula for simple instruments. Such a formula is proposed here for Europ…
Simple construction for universal quantum gates.
The ability to accurately forecast power generation from renewable sources is nowadays recognised as a fundamental skill to improve the operation of power systems. Despite the general interest of the power community in this topic, it is not always simple to compare different forecasting methodologies, and infer the imp…
Recently, there has been interest in multiplicative recurrent neural networks for language modeling. Indeed, simple Recurrent Neural Networks (RNNs) encounter difficulties recovering from past mistakes when generating sequences due to high correlation between hidden states. These challenges can be mitigated by integrat…
The Kinetic Gas Theory like two-agent money exchange models, recently introduced in the Econophysics of Wealth distributions, are revisited. The emergence of Boltzmann-Gibbs like distribution of individual money to Pareto's law in the tail of the distribution is examined in terms of 2x2 Transition matrix with a general…
Complex group cohomology surprisingly simple.
We first investigate the geometry of orbits of the isotropy action on a semi-simple pseudo-Riemannian symmetric space by investigating the complexified action. Next we investigate the geometry of the orbits of Hermann type actions on the symmetric spaces. By considering two special Hermann type actions on the symmetric…
New bounds show simple predictors can learn complex concepts online.
A simple model explains inference scaling in neural models.
We introduce a remarkable subset "the stem" of the set of positive roots of a reduced root system. The stem determines several interesting decompositions of the corresponding reductive Lie algebra. It gives also a nice simple three dimensional subalgebra and a "Cayley transform". In the present paper we apply the above…
Simple models outperformed sophisticated ones in forecasting Turkish lira exchange rates.
Haken showed that the Heegaard splittings of reducible 3-manifolds are reducible, that is, a reducing 2-sphere can be found which intersects the Heegaard surface in a single simple closed curve. When the genus of the "interesting" surface increases from zero, more complicated phenomena occur. Kobayashi showed that if a…
There has been a lot of recent interest in designing neural network models to estimate a distribution from a set of examples. We introduce a simple modification for autoencoder neural networks that yields powerful generative models. Our method masks the autoencoder's parameters to respect autoregressive constraints: ea…
We propose a formulation of the term structure of interest rates in which the forward curve is seen as the deformation of a string. We derive the general condition that the partial differential equations governing the motion of such string must obey in order to account for the condition of absence of arbitrage opportun…
The crisis that affected financial markets in the last years leaded market practitioners to revise well known basic concepts like the ones of discount factors and forward rates. A single yield curve is not sufficient any longer to describe the market of interest rate products. On the other hand, using different yield c…
In the theory of finite type submanifolds, null 2-type submanifolds are the most simple ones, besides 1-type submanifolds (cf. e.g., [3, 12]). In particular, the classification problems of null 2-type hypersurfaces are quite interesting and of fundamentally important. In this paper, we prove that every (3)-ideal nul…