On-device research index

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.

168,695 papers · 148 categories

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2 results for “VRR”

Option Pricing with Time-Varying Volatility Risk Aversionq-fin.PR

New model explains option pricing with time-varying volatility risk aversion.

problem Time variations in the shape of the pricing kernel.

method Introduced a pricing kernel with time-varying volatility risk aversion combined with Heston-Nandi GARCH model.

result Variance risk ratio (VRR) emerges as a key variable in option pricing.

option pricing time-varying volatility risk aversion VRR Heston-Nandi model

2022-04-14abs ↗pdf ↗

Relative wealth concerns with partial information and heterogeneous priorsq-fin.PM

Study Nash equilibrium in market with relative wealth concerns under partial information and heterogeneous priors.

problem Analyzing Nash equilibrium in a market with unobservable return rates and heterogeneous priors.

method Established a Nash equilibrium through a separation result and martingale argument. Used fully-coupled linear FBSDEs and deep neural networks for numerical computation.

result Investment strategies under relative wealth concerns exhibit a herd effect, with accurate prior estimators leading the market.

Nash equilibrium partial information heterogeneous priors relative wealth market return

2020-07-23abs ↗pdf ↗