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 paper introduces a measure to assess the relative value of a delta-Symmetric Strangle under the Black-Scholes model.
The paper optimizes financial derivatives for market completion in SV models.
Paper compares neural networks and time-series models for weather derivative pricing.
Families of explicit solutions are found to a nonlinear Black-Scholes equation which incorporates the feedback-effect of a large trader in case of market illiquidity. The typical solution of these families will have a payoff which approximates a strangle. These solutions were used to test numerical schemes for solving …
This work analyzes impermanent loss in decentralized markets and provides a hedging strategy.
The performance of trend following strategies can be ascribed to the difference between long-term and short-term realized variance. We revisit this general result and show that it holds for various definitions of trend strategies. This explains the positive convexity of the aggregate performance of Commodity Trading Ad…
Non-spanning identification of scheduled event risk in option pricing.