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.
Computable contracts simplify financial transactions and reduce legal costs.
This work presents a methodology for forward electricity contract price projection based on market equilibrium and social welfare optimization. In the methodology supply and demand for forward contracts are produced in such a way that each agent (generator/load/trader) optimizes a risk adjusted expected value of its re…
Exotic diffeomorphism survives stabilizations on a contractible 4-manifold.
The simplicial volume of non-R^3 contractible 3-manifolds is infinite.
Optimal contracts help principals delegate data collection in decentralized ML.
The paper finds non-contractible loops of Legendrian tori from knot families.
We show that strictly convex surfaces contracting with normal velocity equal to |A|^2 shrink to a point in finite time. After appropriate rescaling, they converge to spheres. We indicate how we used a computer to find the main test function.
The paper proposes modern computational methods for optimizing reinsurance contracts.
We depart from the usual methods for pricing contracts with the counterparty credit risk found in most of the existing literature. In effect, typically, these models do not account for either systemic effects or at-first-default contagion and postulate that the contract value at default equals either the risk-free valu…
Control Contraction Metrics (CCMs) provide a nonlinear controller design involving an offline search for a Riemannian metric and an online search for a shortest path between the current and desired trajectories. In this paper, we generalize CCMs to Finsler geometry, allowing the use of non-Riemannian metrics. We provid…
Two methods for pricing swing contracts using neural networks or explicit functions.
New contractible domains on half-sphere with constant boundary Laplacian eigenfunctions.
The paper analyzes game theory in convertible contracts during liquidity events.
This work studies the contraction coefficients of Schrödinger bridge problems in linear systems.
In this paper we discuss the issue of computation of the bilateral credit valuation adjustment (CVA) under rating triggers, and in presence of ratings-linked margin agreements. Specifically, we consider collateralized OTC contracts, that are subject to rating triggers, between two parties -- an investor and a counterpa…
We consider a contracting problem in which a principal hires an agent to manage a risky project. When the agent chooses volatility components of the output process and the principal observes the output continuously, the principal can compute the quadratic variation of the output, but not the individual components. This…
New method optimizes share buyback contracts without optimal control's limitations.
In this paper, the author considers the numerical computation of CVA for large systems by Mote Carlo methods. He introduces two types of stochastic mesh methods for the computations of CVA. In the first method, stochastic mesh method is used to obtain the future value of the derivative contracts. In the second method, …
Develops a new framework for temporal anchoring in deep embedding spaces.
Following the recent literature on make take fees policies, we consider an exchange wishing to set a suitable contract with several market makers in order to improve trading quality on its platform. To do so, we use a principal-agent approach, where the agents (the market makers) optimise their quotes in a Nash equilib…
In this paper, we construct a solution to the optimal contract problem for delegated portfolio management of the fist-best (risk-sharing) type. The novelty of our result is (i) in the robustness of the optimal contract with respect to perturbations of the wealth process (interpreted as capital injections), and (ii) in …
Paper improves ISDA margin calculation using LSMC.
The study examines how alternative resource adequacy contract designs affect market participants' risk profiles and resource mix.
The paper defines fair profit sharing ratios in Islamic PL contracts.
Develops a Gaussian model to compute the Alexander polynomial of knots.
The Wiener-Hopf factorization is obtained in closed form for a phase type approximation to the CGMY Lévy process. This allows, for the approximation, exact computation of first passage times to barrier levels via Laplace transform inversion. Calibration of the CGMY model to market option prices defines the risk neutral…
This paper studies a valuation framework for financial contracts subject to reference and counterparty default risks with collateralization requirement. We propose a fixed point approach to analyze the mark-to-market contract value with counterparty risk provision, and show that it is a unique bounded and continuous fi…
Banach's fixed point theorem for contraction maps has been widely used to analyze the convergence of iterative methods in non-convex problems. It is a common experience, however, that iterative maps fail to be globally contracting under the natural metric in their domain, making the applicability of Banach's theorem li…
In this paper we use Bernstein and Chebyshev polynomials to approximate the price of some basket options under a bivariate Black-Scholes model. The method consists in expanding the price of a univariate related contract after conditioning on the remaining underlying assets and calculating the mixed exponential-power mo…
The paper explores coalescent contractions in contractible spaces, providing criteria and examples.
A variable annuity contract with Guaranteed Minimum Withdrawal Benefit (GMWB) promises to return the entire initial investment through cash withdrawals during the policy life plus the remaining account balance at maturity, regardless of the portfolio performance. Under the optimal withdrawal strategy of a policyholder,…
The present work studies and analyzes general defaultable OTC contract in presence of a contingent CSA, which is a theoretical counterparty risk mitigation mechanism of switching type that allows the counterparty of a general OTC contract to switch from zero to full/perfect collateralization and switch back whenever sh…
In an online contract selection problem there is a seller which offers a set of contracts to sequentially arriving buyers whose types are drawn from an unknown distribution. If there exists a profitable contract for the buyer in the offered set, i.e., a contract with payoff higher than the payoff of not accepting any c…
Optimal execution strategy for merger & acquisition contracts with price impact.
We address the problem of estimating the mixing time of a Markov chain from a single trajectory of observations. Unlike most previous works which employed Hilbert space methods to estimate spectral gaps, we opt for an approach based on contraction with respect to total variation. Specifically, we estimate the contracti…
This paper develops a method to select a reference contract for multi-contract quoting to minimize execution risk.
New method computes affine normal directions efficiently for sparse polynomials.
We will show that for a polynomially contractible manifold of bounded geometry and of polynomial volume growth every coarse and rough cohomology class pairs continuously with the K-theory of the uniform Roe algebra. As an application we will discuss non-vanishing of rough index classes of Dirac operators over such mani…
Proposes a probabilistic framework for smart contract risk quantification.
We consider a general framework of optimal mechanism design under adverse selection and ambiguity about the type distribution of agents. We prove the existence of optimal mechanisms under minimal assumptions on the contract space and prove that centralized contracting implemented via mechanisms is equivalent to delegat…
Quantum computing promises faster insurance contract valuation.
The paper solves an insurance problem using mean-variance and rank-dependent utility theory.
DeFi doesn't fully remove trust, showing run risk and personal character's importance.
We have introduced the weight of a group which has a presentation with number of relations is at most the number of generators. We have shown that the number of facets of any contracted pseudotriangulation of a connected closed 3-manifold is at least the weight of . This lower bound is sharp for the 3-m…
Improved security of smart contracts by classifying them into four categories.
Study on contracting maps and their rigidity under curvature constraints.
We study locally compact contractive local groups, that is, locally compact local groups with a contractive pseudo-automorphism. We prove that if such an object is locally connected, then it is locally isomorphic to a Lie group. We also prove a related structure theorem for locally compact contractive local groups whic…
Study shows some contractible complexes can't have certain immersions.