arXiv research

Improves SA-CCR model to be more consistent and risk-sensitive.

The study uses historical revenue data to forecast music catalog cashflows and multipliers.

The abstract reviews Markov models in life insurance surplus.

This paper studies the problem of optimal investment in incomplete markets, robust with respect to stopping times. We work on a Brownian motion framework and the stopping times are adapted to the Brownian filtration. Robustness can only be achieved for logartihmic utility, otherwise a cashflow should be added to the in…

The paper addresses pricing interest rate derivatives in markets with volatility uncertainty.

The study assesses music as an investment asset class using discounted cashflow models.

We introduce a generic model for spouse's pensions. The generic model allows for the modeling of various types of spouse's pensions with payments commencing at the death of the insured. We derive abstract formulas for cashflows and liabilities corresponding to common types of spouse's pensions. We show how the standard…

Deep learning approximates Bermudan option exposures and future values.

In this paper, we study the dual representation for generalized multiple stopping problems, hence the pricing problem of general multiple exercise options. We derive a dual representation which allows for cashflows which are subject to volume constraints modeled by integer valued adapted processes and refraction period…

This paper provides intuition on the relationship of accrual and mark-to-market valuation for cash and forward interest rate trades. Discounted cashflow valuation is compared to spread-based valuation for forward trades, which explains the trader's view on valuation. This is followed by Taylor series approximation for …

We consider the valuation of contingent claims with delayed dynamics in a Black&Scholes complete market model. We find a pricing formula that can be decomposed into terms reflecting the market values of the past and the present, showing how the valuation of future cashflows cannot abstract away from the contribution of…

Geometric Arbitrage Theory reformulates a generic asset model possibly allowing for arbitrage by packaging all assets and their forwards dynamics into a stochastic principal fibre bundle, with a connection whose parallel transport encodes discounting and portfolio rebalancing, and whose curvature measures, in this geom…

A new two-step LSMC method improves game option pricing accuracy.

Framework for pricing waterfall structures using simulation and uncertainty modeling.

We introduce a new approach to incorporate uncertainty into the decision to invest in a commodity reserve. The investment is an irreversible one-off capital expenditure, after which the investor receives a stream of cashflow from extracting the commodity and selling it on the spot market. The investor is exposed to pri…

Optimal portfolios for fat-tailed risks using a new tail risk measure.

In Bender and Dokuchaev (2013), we studied a control problem related to swing option pricing in a general non-Markovian setting. The main result there shows that the value process of this control problem can be uniquely characterized in terms of a first order backward SPDE and a pathwise differential inclusion. In the …

In this paper, we review pricing of variable annuity living and death guarantees offered to retail investors in many countries. Investors purchase these products to take advantage of market growth and protect savings. We present pricing of these products via an optimal stochastic control framework, and review the exist…

This research improves debt collection strategies using advanced machine learning.

The paper develops a model for sovereign debt dynamics with explicit maturity structure.

Researchers describe and compare decompositions of Poincaré duality pairs.

The paper proposes and discusses semiorthogonal decompositions for moduli spaces of vector bundles.

The paper classifies decompositions of 3-sphere and lens spaces with handlebodies.

We combine aspects of the notions of finite decomposition complexity and asymptotic property C into a notion that we call finite APC-decomposition complexity. Any space with finite decomposition complexity has finite APC-decomposition complexity and any space with asymptotic property C has finite APC-decomposition comp…

This paper generalizes octahedral decomposition to links in thickened surfaces.

Researchers compute Goeritz groups for all (1,1)-link decompositions.

Study concordance of decompositions from defining sequences in 3-sphere.

Given a Delaunay decomposition of a compact hyperbolic surface, one may record the topological data of the decomposition, together with the intersection angles between the `empty disks' circumscribing the regions of the decomposition. The main result of this paper is a characterization of when a given topological decom…

Study shows OAT decomposition generates unexplained profit and loss, while SU decompositions depend on risk factor order.

New tensor network decompositions improve CNN performance.

A new algorithm speeds up CP decomposition for large tensors.

Paper characterizes optimization landscape of Tucker decomposition.

A double pants decomposition of a 2-dimensional surface is a collection of two pants decomposition of this surface introduced in arXiv:1005.0073v2. There are two natural operations acting on double pants decompositions: flips and handle twists. It is shown in arXiv:1005.0073v2 that the groupoid generated by flips and h…

Smooth 4-manifolds have simple horizontal decompositions.

Let $\mathcal{J}^1$ be the real form of a complex simple Jordan algebra such that the automorphism group is $\mathrm{F}_{4(-20)}$. By using some orbit types of $\mathrm{F}_{4(-20)}$ on $\mathcal{J}^1$, for $\mathrm{F}_{4(-20)}$, explicitly, we give the Iwasawa decomposition, the Oshima--Sekiguchi's $K_ε-$Iwasawa decomp…

We study the topological types of pants decompositions of a surface by associating to any pants decomposition $P,$ in a natural way its pants decomposition graph, $Γ(P).$ This perspective provides a convenient way to analyze the maximum distance in the pants complex of any pants decomposition to a pants decomposition c…

New method uses random decompositions for high-dimensional Bayesian optimization.

Derive new Euler-Ramanujan-type identities and infinite decompositions for zero mean curvature graphs in various spaces.

Decompositions on manifolds appear in various geometric structures. Necessary and sufficient conditions for quotient spaces of decompositions to be manifolds are widely characterized. We characterize necessary and sufficient conditions to be $k$-manifolds $(k = 1, 2)$, which generalize characterizations in the codimens…

New varifold example shows decomposition failure.

Short proof for ideal polygons with near optimal orthogeodesic decomposition.

Paper introduces a new principle for fair redistribution of insurance surplus.

The paper defines and proves the existence of decompositions of integral varifolds.

We give an example of two JSJ decompositions of a group that are not related by conjugation, conjugation of edge-inclusions, and slide moves. This answers the question of Rips and Sela stated in "Cyclic splittings of finitely presented groups and the canonical JSJ decomposition," Ann. of Math. 146 (1997), 53-109. On th…

We consider a union of two pants decompositions of the same orientable 2-dimensional surface of any genus g. Each pants decomposition corresponds to some handlebody bounded by this surface, so two pants decompositions correspond to a Heegaard splitting of a 3-manifold. We introduce a groupoid FT acting on double pants …

We present a novel nonnegative tensor decomposition method, called Legendre decomposition, which factorizes an input tensor into a multiplicative combination of parameters. Thanks to the well-developed theory of information geometry, the reconstructed tensor is unique and always minimizes the KL divergence from an inpu…

Handles decompositions reveal new open book structures.

The aim of this paper is to provide some new tools to aid the study of decomposition complexity, a notion introduced by Guentner, Tessera and Yu. In this paper, three equivalent definitions for decomposition complexity are established. We prove that metric spaces with finite hyperbolic dimension have finite (weak) deco…