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.
Study cash-subadditive risk measures without quasi-convexity.
The main goal of this paper is to investigate under which conditions cash-subadditive convex dynamic risk measures are time-consistent. Proceeding as in Detlefsen and Scandolo \cite{detlef-scandolo} and inspired by their result, we give a dual representation of dynamic cash-subadditive convex risk measures (that can al…
We discuss risk measures representing the minimum amount of capital a financial institution needs to raise and invest in a pre-specified eligible asset to ensure it is adequately capitalized. Most of the literature has focused on cash-additive risk measures, for which the eligible asset is a risk-free bond, on the grou…
Unified framework for robust risk measures beyond convexity.
This paper introduces new risk measures for evaluating losses with varying time horizons.
Paper introduces Lambda EVaR, a new risk measure.
If the tunnel number of a link is denoted , a pair of knots is said to be subadditive if $t(K_1)+t(K_2)>t(K_1 # K_2)$. We construct new examples of subadditive links.
New property shows VaR subadditivity for comonotonic loss variables.
Distortion risk measures are extensively used in finance and insurance applications because of their appealing properties. We present three methods to construct new class of distortion functions and measures. The approach involves the composting methods, the mixing methods and the approach that based on the theory of c…
Directly proves Wu's theorem on negative curvature metrics.
New principle controls graph-informed adversarial discrepancies.
New GAN design uses conditional independence graphs to improve model-based GANs.
The paper fits cash management models to data using stochastic and linear programming.
We propose a top-down model for cash CLO. This model can consistently price cash CLO tranches both within the same deal and across different deals. Meaningful risk measures for cash CLO tranches can also be defined and computed. This method is self-consistent, easy to implement and computationally efficient. It has the…
In this paper we aim to find a measure for the diversity of cash flows between agents in an economy. We argue that cash flows can be linked to probabilities of finding a currency unit in a given cash flow. We then use the information entropy as a natural measure of diversity. This leads to a hirarchical inequality meas…
A new class of risk measures called cash sub-additive risk measures is introduced to assess the risk of future financial, nonfinancial and insurance positions. The debated cash additive axiom is relaxed into the cash sub additive axiom to preserve the original difference between the numeraire of the current reserve amo…
A modular cash-overlay rule for allocating between a fixed growth-defensive risky sleeve and interest-bearing cash.
ADMM solves constrained CASH problems by breaking them into smaller, manageable pieces.
Paper defines the payback period for nonconventional cash flows using axioms.
Paper develops models to forecast private equity fund cash flows.
Study examines cash conversion cycle in manufacturing firms, finding negative relationships with profitability and size.
Cash management is concerned with optimizing the short-term funding requirements of a company. To this end, different optimization strategies have been proposed to minimize costs using daily cash flow forecasts as the main input to the models. However, the effect of the accuracy of such forecasts on cash management pol…
The basic financial purpose of corporation is creation of its value. Liquidity management should also contribute to realization of this fundamental aim. Many of the current asset management models that are found in financial management literature assume book profit maximization as the basic financial purpose. These boo…
Selecting the best policy to keep the balance between what a company holds in cash and what is placed in alternative investments is by no means straightforward. We here introduce PyCaMa, a Python module for multiobjective cash management based on linear programming that allows to derive optimal policies for cash manage…
Cash managers make daily decisions based on predicted monetary inflows from debtors and outflows to creditors. Usual assumptions on the statistical properties of daily net cash flow include normality, absence of correlation and stationarity. We provide a comprehensive study based on a real-world cash flow data set from…
Auto-CASH uses Deep Q-Network to automatically select machine learning algorithms.
Model cash management under ambiguity using maxmin preferences and diffusion.
New model calculates logarithmic surface diameter.
A new framework tackles CASH problem with alternating optimization and Rising Bandits.
We present an approach to market-consistent multi-period valuation of insurance liability cash flows based on a two-stage valuation procedure. First, a portfolio of traded financial instrument aimed at replicating the liability cash flow is fixed. Then the residual cash flow is managed by repeated one-period replicatio…
The study finds cash productivity predicts stock performance in a specific subset of firms.
Study optimizes insurance liability cash flows with regulatory capital requirements.
Study cash-flow forecasting for derivatives, aligning with replication strategy and addressing timing frictions.
Paper presents new expansions for option pricing with cash dividends.
Investigates optimal withdrawal strategies in VA contracts with tax and ratchet mechanisms.
In this note we use Heegaard Floer homology to study smooth cobordisms of algebraic knots and complex deformations of cusp singularities of curves. The main tool will be the concordance invariant : we study its behaviour with respect to connected sums, providing an explicit formula in the case of L-space knots and…
In this article, a sensitivity analysis of long-term cash flows with respect to perturbations in the underlying process is presented. For this purpose, we employ the martingale extraction through which a pricing operator is transformed into what is easier to address. The method of Fournie et al. will be combined with t…
Elastic Cash adjusts money supply to stabilize interest rates.
This paper offers a mathematical framework to manage inventory risk in FX cash markets.
Optimizes loan recovery timing by forecasting cash flows.
Optimizes cash management in ATM networks to reduce costs and increase revenue.
In a market of deterministic cash flows, given as an additive, symmetric relation of exchangeability on the finite signed Borel measures on the non-negative real time axis, it is shown that the only arbitrage-free price functional that fulfills some additional mild requirements is the integral of the unit zero-coupon b…
Research improves LGD approximation using XGBoost for cash-flow-limited data.
We study a coin-tossing model used by a ratings agency to justify the sale of constant proportion debt obligations (CPDOs), and prove that it was impossible for CPDOs to achieve in a finite lifetime the Cash-In event of doubling its capital. In the best-case scenario of a two-headed coin, we show that the goal of attai…
Observation of the workings of productive organizations shows that the characteristics of a trade, backed by nature given to a technological environment, determine the productive combination implemented by the decision maker, and the structure of the operating cycle which is related. The choice of the production functi…
A new method prices time-to-event cash flows using survival analysis.
The paper models ATM cash withdrawal chaos and forecasts using deep learning.
This paper closely examines theoretical and practical aspects of the widely used discounted cash flows (DCF) valuation method. It assesses its potentials as well as several weaknesses. A special emphasize is being put on the valuation of companies using the DCF method. The paper finds that the discounted cash flow meth…