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.
The paper analyzes game theory in convertible contracts during liquidity events.
After the beginning of the credit and liquidity crisis, financial institutions have been considering creating a convertible-bond type contract focusing on Capital. Under the terms of this contract, a bond is converted into equity if the authorities deem the institution to be under-capitalized. This paper discusses this…
This article investigates when homotopies can be converted to monotone homotopies without increasing the lengths of curves. A monotone homotopy is one which consists of curves which are simple or constant, and in which curves are pairwise disjoint. We show that, if the boundary of a Riemannian disc can be contracted th…
Recently Berman and Perry constructed a four-dimensional M-theory effective action which manifests SL(5) U-duality. Here we propose an underlying differential geometry of it, under the name `SL(5) U-geometry' which generalizes the ordinary Riemannian geometry in an SL(5) compatible manner. We introduce a `semi-covarian…
We prove two theorems about homotopies of curves on 2-dimensional Riemannian manifolds. We show that, for any epsilon > 0, if two simple closed curves are homotopic through curves of bounded length L, then they are also isotopic through curves of length bounded by L + epsilon. If the manifold is orientable, then for an…
Paper proposes a new descriptor for early trajectory characterization in matrix iterations.
This paper addresses practical challenges in portfolio optimisation for automated trading.
In the present paper we show that the Binomial-tree approach for pricing, hedging, and risk assessment of Convertible bonds in the framework of the Tsiveriotis-Fernandes model has serious drawbacks. Key words: Convertible bonds, Binomial tree, Tsiveriotis-Fernandes model, Convertible bond pricing, Convertible bond Gree…
This research uses empirical copulas to price quanto options, showing significant differences from traditional models.
DCDC calculates convergence rates for Markov chains using neural networks.
Deep learning models price convertible bonds with complex reset and call features.
Study callable convertible bonds with liquidity constraints, generalizing previous work.
In recent years, deep metric learning has achieved promising results in learning high dimensional semantic feature embeddings where the spatial relationships of the feature vectors match the visual similarities of the images. Similarity search for images is performed by determining the vectors with the smallest distanc…
Hierarchical graph learning for calendar spread strategies in commodity futures markets
Humans are able to imagine a person's voice from the person's appearance and imagine the person's appearance from his/her voice. In this paper, we make the first attempt to develop a method that can convert speech into a voice that matches an input face image and generate a face image that matches the voice of the inpu…
The paper examines how CoCo bonds can enhance financial stability in interconnected banking systems.
Paper solves convertible bond valuation using finite elements with penalty method.
The paper explores coalescent contractions in contractible spaces, providing criteria and examples.
Computable contracts simplify financial transactions and reduce legal costs.
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…
Pricing Chinese convertible bonds using Monte Carlo simulation and dynamic programming.
Optimal execution strategy for merger & acquisition contracts with price impact.
This paper analyzes Ethereum's gas fees and their derivatives, providing a comprehensive model.
This paper develops a method to select a reference contract for multi-contract quoting to minimize execution risk.
This paper studies the valuation and optimal strategy of convertible bonds as a Dynkin game by using the reflected backward stochastic differential equation method and the variational inequality method. We first reduce such a Dynkin game to an optimal stopping time problem with state constraint, and then in a Markovian…
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…
We consider in this paper some structured financial products, known as reverse convertible notes, that resulted in substantial losses to certain buyers of these notes in recent years. We shall focus on specific reverse convertible notes known as "Autocallable Optimization Securities with Contingent Protection Linked to…
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.
This paper presents some partial answers to the following question. QUESTION. If a normal space X is the union of an increasing sequence of open sets U(1), U(2), U(3) ... such that each U(n) contracts to a point in X, must X be contractible? The main results of the paper are: THEOREM 1. If a normal space X is the union…
The simplicial volume of non-R^3 contractible 3-manifolds is infinite.
We discuss the pricing methodology for Bonus Certificates and Barrier Reverse-Convertible Structured Products. Pricing for a European barrier condition is straightforward for products of both types and depends on an efficient interpolation of observed market option pricing. Pricing products We discuss the pricing metho…
Study on reinsurance decisions using mean-variance criterion with irreversible contracts.
CoCos can increase financial fragility in certain network structures.
Optimal contracts help principals delegate data collection in decentralized ML.
Optimal contracts are found for agents with quadratic effort costs.
Fair insurance contracts are designed to handle default risk using cooperative game theory.
One can define what it means for a compact manifold with corners to be a "contractible manifold with contractible faces." Two combinatorially equivalent, contractible manifolds with contractible faces are diffeomorphic if and only if their 4-dimensional faces are diffeomorphic. It follows that two simple convex polytop…
This paper investigates Pareto optimal (PO, for short) insurance contracts in a behavioral finance framework, in which the insured evaluates contracts by the rank-dependent utility (RDU) theory and the insurer by the expected value premium principle. The incentive compatibility constraint is taken into account, so the …
An audiovisual speaker conversion method is presented for simultaneously transforming the facial expressions and voice of a source speaker into those of a target speaker. Transforming the facial and acoustic features together makes it possible for the converted voice and facial expressions to be highly correlated and f…
New mortgage contracts reduce underwater default by adjusting loan balances, but must balance prepayment incentives.
We describe a method for training accurate Transformer machine-translation models to run inference using 8-bit integer (INT8) hardware matrix multipliers, as opposed to the more costly single-precision floating-point (FP32) hardware. Unlike previous work, which converted only 85 Transformer matrix multiplications to IN…
We define a new notion of contracting element of a group and we show that contracting elements coincide with hyperbolic elements in relatively hyperbolic groups, pseudo-Anosovs in mapping class groups, rank one isometries in groups acting properly on proper CAT(0) spaces, elements acting hyperbolically on the Bass-Serr…
Paper presents LLM-enhanced contract metadata extraction.
Optimal linear contracts are possible even with memory in Gaussian settings.