arXiv research

Investors face constraints in Heston's model; optimal allocation differs from naive capped strategy.

The MAXFLAT low-pass filter improves factor adjustment for better portfolio performance in China's stock market.

This paper provides a practical method to extract caplet volatilities from quoted data.

We develop a multi-factor stochastic volatility Libor model with displacement, where each individual forward Libor is driven by its own square-root stochastic volatility process. The main advantage of this approach is that, maturity-wise, each square-root process can be calibrated to the corresponding cap(let)vola-stri…

Study on VIX options pricing in SABR model, showing infinite prices due to volatility explosion.

Method calibrates local volatility and stochastic short rate models for equity-rate dynamics.

We find that when measured in terms of dollar-turnover, and once $β$-neutralised and Low-Vol neutralised, the Size Effect is alive and well. With a long term t-stat of $5.1$, the "Cold-Minus-Hot" (CMH) anomaly is certainly not less significant than other well-known factors such as Value or Quality. As compared to marke…

Study reveals how investor flows impact stock prices, especially during herding episodes.

Using a time-varying approach, this paper examines the dynamics of volatility in the REIT sector. The results highlight the attractiveness and suitability of using GARCH based approaches in the modeling of daily REIT volatility. The paper examines the influencing factors on REIT volatility, documenting the return and v…

Develops a novel SABR DNN for accurate volatility surface calibration.

Unified model for financial derivatives pricing with stochastic interest rates.

New method clusters financial time series into volatility regimes.

The LIBOR market model is very popular for pricing interest rate derivatives, but is known to have several pitfalls. In addition, if the model is driven by a jump process, then the complexity of the drift term is growing exponentially fast (as a function of the tenor length). In this work, we consider a Lévy-driven LIB…

This paper proposes a Monte Carlo technique for pricing the forward yield to maturity, when the volatility of the zero-coupon bond is known. We make the assumption of deterministic default intensity (Hazard Rate Function). We make no assumption on the volatility of the yield. We actually calculate the initial value of …

New inflation model captures correlations and skew in interest rates.

A new framework improves volatility forecasting for financial markets.

This paper assesses the hedge effectiveness of an index-based longevity swap and a longevity cap. Although swaps are a natural instrument for hedging longevity risk, derivatives with non-linear pay-offs, such as longevity caps, also provide downside protection. A tractable stochastic mortality model with age dependent …

We argue that an important contributing factor into market inefficiency is the lack of a robust mechanism for the stock price to rise if a company has good earnings, e.g., via buybacks/dividends. Instead, the stock price is prone to volatility due to rather random perception/interpretation of earnings announcements (am…

The paper uses LSMC to price capped American options with time-dependent caps.

In this paper, we discuss the Cramér-Lundberg model with investments, where the price of the invested risk asset follows a geometric Brownian motion with drift $a$ and volatility $σ> 0.$ By assuming there is a cap on the claim sizes, we prove that the probability of ruin has at least an algebraic decay rate if $2a/σ^2 …

It is classically known that generic smooth maps of R^2 into R^3 admit only cross cap singularities. This suggests that the class of cross caps might be an important object in differential geometry. We show that the standard cross cap (u,uv,v^2) has non-trivial isometric deformations with infinite dimensional freedom. …

Study symmetry of cross-cap surfaces with folding maps.

Paper classifies symmetries of cross caps using invariants.

We present a flexible approach for the valuation of interest rate derivatives based on Affine Processes. We extend the methodology proposed in Keller-Ressel et al. (2009) by changing the choice of the state space. We provide semi-closed-form solutions for the pricing of caps and floors. We then show that it is possible…

We discuss - in what is intended to be a pedagogical fashion - a criterion, which is a lower bound on a certain ratio, for when a stock (or a similar instrument) is not a good investment in the long term, which can happen even if the expected return is positive. The root cause is that prices are positive and have skewe…

This paper proves geodesic curvature measures are bounded for curves near cross cap singularities.

Two cross caps in Euclidean $3$-space are said to be formally isometric if their Taylor expansions of the first fundamental forms coincide by taking a suitable local coordinate system. For a given $C^\infty$ cross cap $f$, we give a method to find all cross caps which are formally isometric to $f$. As an application, w…

We give a variational proof of the existence and uniqueness of a convex cap with the given upper boundary. The proof uses the concavity of the total scalar curvature functional on the space of generalized convex caps. As a byproduct, we prove that generalized convex caps with the fixed boundary are globally rigid, that…

This study improves mid-cap equity performance with a data-driven, market-neutral approach.

3D spherical caps are rigid under certain perturbations.

Improved LDA with capped l_{2,1}-norm reduces outlier sensitivity.

In the paper we consider the following conjecture: if a finite group $G$ possesses a solvable $π$-Hall subgroup $H$, then there exist elements $x,y,z,t\in G$ such that the identity $H\cap H^x\cap H^y\cap H^z\cap H^t=O_π(G)$ holds. The minimal counter example is shown to be an almost simple group of Lie type.

Study analyzes order transitions in high, medium, and low market cap stocks using Markov chains.

The Hype Index measures media attention to equities using NLP.

Study of free boundary minimal Möbius bands in spherical caps.

Proposes a diagnostic method to evaluate factor models using cap-axis integrals.

Proposes a diagnostic method to evaluate factor models using cap-axis integrals.

We show that there is a well-defined cap-product structure on the Fintushel-Stern spectral sequence. Hence we obtain the induced cap-product structure on the ${\BZ}_8$-graded instanton Floer homology. The cap-product structure provides an essentially new property of the instanton Floer homology, from a topological poin…

Let $M$ be a smooth closed $4k$-manifold whose Yamabe invariant $Y(M)$ is nonpositive. We show that $Y(M\sharp l \Bbb HP^k\sharp m \bar{\Bbb HP^k})=Y(M),$ where $l,m$ are nonnegative integers, and $\Bbb HP^k$ is the quaternionic projective space. When $k=4$, we also have $$Y(M\sharp l CaP^2\sharp m \bar{CaP^2})=Y(M),…

This paper examines the valuation of American capped call options with two-level caps. The structure of the immediate exercise region is significantly more complex than in the classical case with constant cap. When the cap grows over time, making extensive use of probabilistic arguments and local time, we show that the…

RegimeFolio optimizes portfolios by adapting to changing market regimes.

The paper uses Floer homology to study twist coefficients and their behavior after capping off.

We construct cup and cap products in intersection (co)homology with field coefficients. The existence of the cap product allows us to give a new proof of Poincare duality in intersection (co)homology which is similar in spirit to the usual proof for ordinary (co)homology of manifolds.

We provide a general and flexible approach to LIBOR modeling based on the class of affine factor processes. Our approach respects the basic economic requirement that LIBOR rates are non-negative, and the basic requirement from mathematical finance that LIBOR rates are analytically tractable martingales with respect to …

European options can be priced when returns follow a Student's t-distribution, provided that the asset is capped in value or the distribution is truncated. We call pricing of options using a log Student's t-distribution a Gosset approach, in honour of W.S. Gosset. In this paper, we compare the greeks for Gosset and Bla…

CAP adapts optimization to class attributes for better fairness.

Study reveals opacity in insider sales, leading to inefficiencies in capital allocation.

Accumulated stock returns exhibit tempered skew t-distribution.