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.
We show that the left-monotone martingale coupling is optimal for any given performance function satisfying the martingale version of the Spence-Mirrlees condition, without assuming additional structural conditions on the marginals. We also give a new interpretation of the left monotone coupling in terms of Skorokhod e…
Using the stress energy tensor, we establish some monotonicity formulae for vector bundle-valued p-forms satisfying the conservation law, provided that the base Riemannian (resp. Kähler) manifolds poss some real (resp. complex) p-exhaustion functions. Vanishing theorems follow immediately from the monotonicity formulae…
In [S. Basu, A. Gabrielov, N. Vorobjov, Semi-monotone sets. arXiv:1004.5047v2 (2011)] we defined semi-monotone sets, as open bounded sets, definable in an o-minimal structure over the reals, and having connected intersections with all translated coordinate cones in R^n. In this paper we develop this theory further by d…
The problem of existence of arbitrage free and monotone CDO term structure models is studied. Conditions for positivity and monotonicity of the corresponding Heath-Jarrow-Morton-Musiela equation for the x-forward rates with the use of the Milian type result are formulated. Two state spaces are taken into account - of…
Classical Hurwitz numbers count branched covers of the Riemann sphere with prescribed ramification data, or equivalently, factorisations in the symmetric group with prescribed cycle structure data. Monotone Hurwitz numbers restrict the enumeration by imposing a further monotonicity condition on such factorisations. In …
The paper proves a transformation theorem under a monotone property of almost Euclidean factors of geodesic balls.
problem The non-increasing property of numbers of almost Euclidean factors of geodesic balls.
method Proves a transformation theorem under a non-decreasing property compared to the non-increasing property.
result Shows that for a manifold with nonnegative Ricci curvature, if its universal cover is polar at infinity and the number of almost Euclidean factors is monotone, then its fundamental group is finitely generated and virtually abelian.
In this sequel paper we give a shorter, second proof of the monotonicity of the Hawking mass for time flat surfaces under spacelike uniformly area expanding flows in spacetimes that satisfy the dominant energy condition. We also include a third proof which builds on a known formula and describe a class of sufficient co…
We consider the learning algorithms under general source condition with the polynomial decay of the eigenvalues of the integral operator in vector-valued function setting. We discuss the upper convergence rates of Tikhonov regularizer under general source condition corresponding to increasing monotone index function. T…
The theory of monotone Riemannian metrics on the state space of a quantum system was established by Denes Petz in 1996. In a recent paper he argued that the scalar curvature of a statistically relevant - monotone - metric can be interpreted as an average statistical uncertainty. The present paper contributes to this su…
We derive some restrictions on the topology of a monotone Lagrangian submanifold L⊂Cn by making observations about the topology of the moduli space of Maslov 2 holomorphic discs with boundary on L and then using Damian's theorem which gives conditions under which the evaluation map from this moduli …
In this paper, we extend the Hamilton's gradient estimates \cite{har93} and a monotonicity formula of entropy \cite{ni04} for heat flows from smooth Riemannian manifolds to (non-smooth) metric measure spaces with appropriate Riemannian curvature-dimension condition.
Monotonic neural networks have recently been proposed as a way to define invertible transformations. These transformations can be combined into powerful autoregressive flows that have been shown to be universal approximators of continuous probability distributions. Architectures that ensure monotonicity typically enfor…
Based on a study of the coupling by reflection of diffusion processes, a new monotonicity in time of a time-dependent transportation cost between heat distribution is shown under Bakry-Emery's curvature-dimension condition on a Riemannian manifold. The cost function comes from the total variation between heat distribut…
The paper examines the unexpected losses and risk ratios for co-monotonic alternatives in large portfolios.
problem Understanding the unexpected losses and risk ratios for large portfolios with co-monotonic alternatives.
method Analyzes the asymptotic behavior of unexpected losses and risk ratios for co-monotonic alternatives using monotone cash-additive risk measures and Choquet insurance premia.
result Unexpected losses of large weighted portfolios are of order o(nλn), where λn is the average weight.
This paper considers general term structure models like the ones appearing in portfolio credit risk modelling or life insurance. We give a general model starting from families of forward rates driven by infinitely many Brownian motions and an integer-valued random measure, generalizing existing approaches in the litera…