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.
New assumptions and algorithm solve offline two-player zero-sum Markov games.
Bielecki and Rutkowski (2014) introduced and studied a generic nonlinear market model, which includes several risky assets, multiple funding accounts and margin accounts. In this paper, we examine the pricing and hedging of contract both from the perspective of the hedger and the counterparty with arbitrary initial end…
Bielecki and Rutkowski (2014) introduced and studied a generic nonlinear market model, which includes several risky assets, multiple funding accounts and margin accounts. In this paper, we examine the pricing and hedging of contract both from the perspective of the hedger and the counterparty with arbitrary initial end…
Our previous results are extended to the case of the margin account, which may depend on the contract's value for the hedger and/or the counterparty. The present work generalizes also the papers by Bergman (1995), Mercurio (2013) and Piterbarg (2010). Using the comparison theorems for BSDEs, we derive inequalities for …
Framework for games with uncertain parameters, ensuring no player can improve by changing strategy.
Pessimistic model-based algorithm finds Nash equilibria in zero-sum Markov games from offline data.
In this note we show how to replicate a stylized CDS with a repurchase agreement and an asset swap. The latter must be designed in such a way that, on default of the issuer, it is terminated with a zero close-out amount. This break clause can be priced using the well known unilateral credit/debit valuation adjustment f…
Randomized neural networks improve exposure and CVA estimation for American options.
Study efficient offline RL in Markov games with general models.
A global agreement on how to reduce and cap human footprint, especially their GHG emissions, is very unlikely in near future. At the same time, bilateral agreements would be inefficient because of their neural and balanced nature. Therefore, unilateral actions would have attracted attention as a practical option. Howev…
The goal is to re-examine and extend the findings from the recent paper by Dumitrescu, Quenez and Sulem (2017) who studied game options within the nonlinear arbitrage-free pricing approach developed in El Karoui and Quenez (1997). We consider the setup introduced in Kim, Nie and Rutkowski (2018) where contracts of an A…
This article presents a generic model for pricing financial derivatives subject to counterparty credit risk. Both unilateral and bilateral types of credit risks are considered. Our study shows that credit risk should be modeled as American style options in most cases, which require a backward induction valuation. To co…
Is an option to early terminate a swap at its market value worth zero? At first sight it is, but in presence of counterparty risk it depends on the criteria used to determine such market value. In case of a single uncollateralised swap transaction under ISDA between two defaultable counterparties, the additional unilat…
We introduce a natural generalization of the forward-starting options, first discussed by M. Rubinstein. The main feature of the contract presented here is that the strike-determination time is not fixed ex-ante, but allowed to be random, usually related to the occurrence of some event, either of financial nature or no…
We re-examine and extend the findings from the recent paper by Dumitrescu, Quenez and Sulem (2018) who studied American and game options in a particular market model using the nonlinear arbitrage-free pricing approach developed in El Karoui and Quenez (1997). In the first part, we provide a detailed study of unilateral…
Formula connects analytic torsion forms of fibration and its pieces.
We analyze the counterparty risk embedded in CDS contracts, in presence of a bilateral margin agreement. First, we investigate the pricing of collateralized counterparty risk and we derive the bilateral Credit Valuation Adjustment (CVA), unilateral Credit Valuation Adjustment (UCVA) and Debt Valuation Adjustment (DVA).…
Theory for algebraic data on categories via concentration structures.
Paper addresses concentration of distances for fractional quasi p-norms, identifying conditions for concentration and anti-concentration.
Study Finsler metric measure manifolds' concentration properties.
New method improves missing mass concentration bounds.
Surfaces in 3-manifolds concentrate at curvature critical points.
Sharp concentration bounds for i.i.d. variables.
We survey recent results related to the concentration of eigenfunctions. We also prove some new results concerning ball-concentration, as well as showing that eigenfunctions saturating lower bounds for -norms must also, in a measure theoretical sense, have extreme concentration near a geodesic.
A new model CDTM improves text classification by concentrating document topics.
Simplified proof of Gaussian concentration inequality using covariance.
Study provides bounds for estimating intrinsic dimension using Gaussian kernels.
Developed concentrated liquidity in n-dimensional AMM with polar coordinates in Rust.
In this paper, we consider a concentration of measure problem on Riemannian manifolds with boundary. We study concentration phenomena of non-negative -Lipschitz functions with Dirichlet boundary condition around zero, which is called boundary concentration phenomena. We first examine relation between boundary concen…
Study on volume of tubes and concentration in Riemannian geometry.
Polluting fine dusts in South Korea which are mainly consisted of biomass burning and fugitive dust blown from dust belt is significant problem these days. Predicting concentrations of fine dust particles in Seoul is challenging because they are product of complicate chemical reactions among gaseous pollutants and also…
This study assesses risk concentration in MDB portfolios using Monte Carlo simulations.
We study concentration phenomena of eigenfunctions of the Laplacian on closed Riemannian manifolds. We prove that the volume measure of a closed manifold concentrates around nodal sets of eigenfunctions exponentially. Applying the method of Colding and Minicozzi we also prove restricted exponential concentration inequa…
A limit point p of a discrete group of Mobius transformations acting on S^n is called a concentration point if for any sufficiently small connected open neighborhood U of p, the set of translates of U contains a local basis for the topology of S^n at p. For the case of Fuchsian groups (n = 1), every concentration point…
New approach to concentration inequalities for unbounded state space dynamical systems.
Q-learning for average cost MDPs gets a concentration bound.
Sharp concentration results for sums of heavy-tailed random variables.
The paper reviews and improves concentration inequalities for statistical inference.
Study analyzes impact of concentrated liquidity on trading fees and provider returns.
In this paper, we study the Lévy-Milman concentration phenomenon of 1-Lipschitz maps into infinite dimensional metric spaces. Our main theorem asserts that the concentration to an infinite dimensional -ball with the -distance function for is equivalent to the concentration to the…
This work explores the characteristics of financial contagion in networks whose links distributions approaches a power law, using a model that defines banks balance sheets from information of network connectivity. By varying the parameters for the creation of the network, several interbank networks are built, in which …
We give concentration bounds for martingales that are uniform over finite times and extend classical Hoeffding and Bernstein inequalities. We also demonstrate our concentration bounds to be optimal with a matching anti-concentration inequality, proved using the same method. Together these constitute a finite-time versi…
New concentration inequalities for tensors with heavy-tailed coefficients.
Proves new concentration inequalities for sub-gaussian and sub-exponential variables.
Paper studies equatorial concentration of measure in sphere immersions and submersions.
Study on stock portfolio concentration among Finnish households and investors.
Improved estimation of concentration using half-spaces for adversarial vulnerability.
We investigate concentration inequalities for Dirichlet and Multinomial random variables.