Signature payoffs price complex derivatives accurately.
problem Pricing complex derivatives like options.
method Signature of price path for continuous payoffs.
result Signature payoffs can price various derivatives accurately.
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48 results for “dense in continuous payoffs”
Study on optimal information acquisition in Kyle model with entropy cost.
problem Optimal information acquisition in Kyle model with entropy cost.
method Continuous signals are optimal, and any signal with a logit posterior distribution yields the same ex-ante value.
result Posterior expected payoff becomes normally distributed as information acquisition cost increases.
Quantum Monte Carlo speeds up option pricing for complex payoff functions.
problem Efficiently pricing options with complex payoff functions using quantum computing.
method Developed a quantum Monte Carlo algorithm for multidimensional Black-Scholes PDEs.
result Proved polynomial computational complexity and speed-up over classical methods.
Develops a new method for robust risk measurement by averaging nearby payoffs.
problem Measuring risk under uncertainty with a focus on robustness.
method Averaging nearby payoffs weighted by a chosen metric.
result The method leads to a convex risk measure and provides stability under large neighborhoods.
Dense neural networks can't approximate all functions.
problem Approximation capabilities of dense neural networks.
method Model compression approach combining weak regularity lemma and graph neural networks.
result Existence of Lipschitz continuous functions not approximable by dense neural networks.
Investment strategy optimization from discrete to continuous models.
problem Optimizing investment strategies and stopping times in both continuous and discrete settings.
method Characterized value functions via quadratic reflected BSDEs for continuous case, discretized BSDEs for discrete case, and derived uniform convergence rates.
result Uniform convergence and rate from discrete to continuous quadratic reflected BSDEs.
In this paper we consider Dynkin's games with payoffs which are functions of an underlying process. Assuming extended weak convergence of underlying processes to a limit process we prove convergence Dynkin's games values corresponding to to the Dynkin's game…
We analyze the sample complexity of learning graphical games from purely behavioral data. We assume that we can only observe the players' joint actions and not their payoffs. We analyze the sufficient and necessary number of samples for the correct recovery of the set of pure-strategy Nash equilibria (PSNE) of the true…
Maximal representations in symplectic lattices proven for most cases.
problem Understanding maximal representations in symplectic lattices.
method Analyzing mapping class group orbits and continuous deformations of maximal diagonal representations.
result Proof of maximal representations in most lattices of Sp(2n,R).
SISR improves feature attribution in complex payoff schemes.
problem Distorted feature attributions due to non-additive payoff functions and high-dimensional feature spaces.
method Sparse Isotonic Shapley Regression (SISR) learns a monotonic transformation to restore additivity and enforces L0 sparsity.
result SISR achieves strong support recovery and stable attributions across various payoff schemes.
The paper shows dense and residual sets of continuous maps with positive metric mean dimension.
problem Understanding the genericity of continuous maps with positive metric mean dimension.
method Analyzing continuous maps on compact Riemannian manifolds and Cantor sets.
result The set of continuous maps with metric mean dimension equal to a given value is dense and, for the dimension, residual in the space of continuous maps.
Odd-dimensional SL(n,Q) contains dense surface subgroups.
problem Finding dense subgroups in SL(n,Q) for odd n.
method Constructing a continuous path of representations.
result Existence of dense surface subgroups in SL(n,Q) for odd n.
Study nonconcave portfolio choice with smooth ambiguity and Bayesian learning.
problem Nonconcave portfolio choice under smooth ambiguity and Bayesian learning.
method Developed a general framework for dynamic, non-concave asset allocation.
result Dynamic consistency achieved through a robust representation.
Estimates for Schrödinger operators on manifolds with bounded Ricci curvature.
problem Quantifying unique continuation for Schrödinger operators on manifolds with specific curvature conditions.
method Proving quantitative unique continuation estimates for Schrödinger operators on manifolds with Ricci curvature bounded below.
result Upper bound for energy range and constant in terms of Ricci curvature and parameters of relatively dense set.
Exponential Lévy processes have been used for modelling financial derivatives because of their ability to exhibit many empirical features of markets. Using their multidimensional analogue, a general analytic pricing formula is obtained, allowing for the direct valuation of multi-asset options on $n \in \z^+$ risky asse…
Currents on cusped hyperbolic surfaces have a denseness property similar to compact surfaces.
problem Proving denseness of rational currents on cusped hyperbolic surfaces.
method Using geodesic currents and subset currents, proving denseness through examples and continuous extension.
result Denseness of rational currents on cusped hyperbolic surfaces, including geodesics connecting cusps.
A variance swap is a derivative with a path-dependent payoff which allows investors to take positions on the future variability of an asset. In the idealised setting of a continuously monitored variance swap written on an asset with continuous paths it is well known that the variance swap payoff can be replicated exact…
Explicit robust hedging strategies for convex or concave payoffs under a continuous semimartingale model with uncertainty and small transaction costs are constructed. In an asymptotic sense, the upper and lower bounds of the cumulative volatility enable us to super-hedge convex and concave payoffs respectively. The ide…
PARMESAN learns from memory without parameters for fast, efficient continual learning.
problem Inflexibility in deep learning methods for continual learning.
method Transductive reasoning and memory search for parameter-free learning.
result 3-4 orders of magnitude faster than baselines, comparable performance.
We show that prices and shortfall risks of game (Israeli) barrier options in a sequence of binomial approximations of the Black--Scholes (BS) market converge to the corresponding quantities for similar game barrier options in the BS market with path dependent payoffs and the speed of convergence is estimated, as well. …
The paper analyzes Variable Annuities with surrender charges, providing a pricing formula and optimal exercise boundary.
problem Analyzing Variable Annuities with surrender charges and early termination rights.
method Formulated as an optimal stopping problem with a discontinuous payoff, non-monotonic optimal stopping boundaries are proven continuous and regular.
result A rigorous pricing formula and optimal exercise boundary for surrender options are derived.
New model shows VIX futures are more expensive than local volatility model suggests.
problem VIX futures pricing under local volatility model is incorrect.
method Developed a continuous stochastic volatility model to show VIX futures are more expensive than local volatility model.
result Inversion of convex ordering between local and stochastic variances observed in SPX market for short maturities.
Consider an investor trading dynamically to maximize expected utility from terminal wealth. Our aim is to study the dependence between her risk aversion and the distribution of the optimal terminal payoff. Economic intuition suggests that high risk aversion leads to a rather concentrated distribution, whereas lower ris…
Dynamic hedging of an European option under a general local volatility model with small linear transaction costs is studied. A continuous control version of Leland's strategy that asymptotically replicates the payoff is constructed. An associated central limit theorem of hedging error is proved. The asymptotic error va…
Replicating Market Makersq-fin.MF
Method constructs CFMMs matching desired payoffs.
problem Creating CFMMs with specific payoff functions.
method Uses convex analysis and Fenchel conjugacy.
result Every concave, nonnegative, nondecreasing, 1-homogeneous payoff has a corresponding convex CFMM.
A new algorithm reduces regret in high-dimensional contextual bandits.
problem High-dimensional contextual bandits with unknown payoff functions.
method Developed an algorithm based on stochastic approximation for globally concave functions.
result Achieved regret $ ilde{O}(T^{ rac{d_x+1}{d_x+2}})$ for globally concave functions.
We consider evaluation methods for payoffs with an inherent financial risk as encountered for instance for portfolios held by pension funds and insurance companies. Pricing such payoffs in a way consistent to market prices typically involves combining actuarial techniques with methods from mathematical finance. We prop…
Optimal payoff choice constrained by Bregman-Wasserstein divergence.
problem Maximizing utility under a deviation constraint from a benchmark.
method Solving the problem using Bregman-Wasserstein divergence with a convex function φ.
result Provided the optimal payoff choice in this setting.
The study examines the discrepancies between binary forecasts and real-world outcomes, revealing their often misleading nature.
problem The confusion between binary forecasts and real-world payoffs in decision-making and prediction.
method Comparative analysis of binary forecasts, bets, and real-world continuous payoffs under different tail conditions.
result Binary forecasting abilities do not translate to better real-world performance, and vice versa, especially under nonlinearities.
Optimal portfolio yields a digital option payoff.
problem Portfolio optimization under generalized dual theory of choice.
method Characterized optimal solution and derived it in closed form.
result Payoff is a digital option that yields in-the-money payoff in good market scenarios.
New financial model with sandwiched volatility for option pricing.
problem Developing a new financial model for option pricing.
method Introducing a new model with stochastic volatility driven by a Gaussian Volterra process, ensuring the solution is sandwiched between two arbitrary Hölder continuous functions.
result Developed an algorithm for pricing options with discontinuous payoffs using Malliavin calculus.
Study finds cheapest possible payoff under ambiguity, linking to maxmin expected utility.
problem Finding cost-efficient payoffs in uncertain market conditions.
method Developed a new concept of robust cost-efficient payoff and linked it to maxmin expected utility.
result Solutions to maxmin robust expected utility are robust cost-efficient.
Utility indifference valuation for non-smooth payoffs with an application to power derivativesq-fin.PR
We consider the problem of exponential utility indifference valuation under the simplified framework where traded and nontraded assets are uncorrelated but where the claim to be priced possibly depends on both. Traded asset prices follow a multivariate Black and Scholes model, while nontraded asset prices evolve as gen…
American options can be equivalent to European options under certain conditions.
problem Determining when American options can be simplified to European options.
method Using methods from Jourdain and Martini, Chrsitensen, and convex duality.
result A first step towards verifying representability of American options.
The paper uncovers the impact of price and payoff autocorrelations in multi-period asset pricing models.
problem Hidden dependence of asset pricing models on price and payoff autocorrelations.
method Obtained approximations of the basic pricing equation describing various parameters.
result Valid results for other pricing models like ICAPM and APM.
Study on markets with insiders receiving private signals affecting asset prices and information flow.
problem Understanding markets with heterogeneous information flows and private signals.
method Proves existence of a partial communication equilibrium with jumps in information and prices.
result The public information flow and asset prices jump at each private signal time, creating incomplete markets between jumps.
The purpose of this paper is to present, for all , very simple examples of continuous maps from closed -manifolds into closed -manifold such that even though the singular set of is countable and dense, the map can nevertheless be approximated by an …
We show that the shortfall risk of binomial approximations of game (Israeli) options converges to the shortfall risk in the corresponding Black--Scholes market considering Lipschitz continuous path-dependent payoffs for both discrete- and continuous-time cases. These results are new also for usual American style option…
A primer on perpetualsq-fin.MF
The paper explores perpetual contracts in a financial market without arbitrage.
problem Modeling perpetual contracts in a continuous-time financial market.
method Derive model-free and semi-robust expressions for perpetual contracts' funding and discount rates.
result Explicit replication strategies for perpetual contracts are derived, relating them to traditional financial instruments.
New method uses neural networks for better financial hedging.
problem Spanning multi-asset payoffs with vanilla options.
method One-hidden-layer feedforward neural networks for numerical solution.
result Better hedging results with neural networks compared to single-asset approaches.
Paper shows how to replicate payoffs without oracles in CFMMs.
problem Replicating payoffs without oracles in CFMMs.
method Using liquidity provider shares in CFMMs to match any monotonic payoff.
result Explicit method and formula for trading functions and earnings.
On the set of points of smoothness for the value function for affine optimal control problemsmath.OC
We study the regularity properties of the value function associated with an affine optimal control problem with quadratic cost plus a potential, for a fixed final time and initial point. Without assuming any condition on singular minimizers, we prove that the value function is continuous on an open and dense subset of …
Nonparametric pricing and hedging of exotic derivatives using signature payoffs.
problem Pricing and hedging exotic derivatives accurately and efficiently.
method Introducing signature payoffs and using them to approximate and price exotic derivatives nonparametrically.
result Signature payoffs enable accurate and computationally tractable pricing and hedging of exotic derivatives.
New algorithm adapts to unknown smoothness in contextual bandits.
problem Adapting to unknown smoothness in non-parametric multi-armed bandits.
method Develops a self-similarity condition-based policy to adapt to unknown smoothness.
result Matches known smoothness case's regret rate for differentiable and non-differentiable payoff functions.
New algorithm for Q-learning in MDPs with infinite states and actions.
problem Efficient learning in MDPs with large discrete states and actions.
method Proposes a novel algorithm for MDPs with Lipschitz continuous payoff and transition.
result Achieves nearly optimal regret .
We consider a class of generalized capital asset pricing models in continuous time with a finite number of agents and tradable securities. The securities may not be sufficient to span all sources of uncertainty. If the agents have exponential utility functions and the individual endowments are spanned by the securities…
The paper proposes a method to learn continuous-action graphical games from perturbed equilibria.
problem Learning the exact structure of continuous-action graphical games from limited data.
method A block regularized method to recover the graphical game structure.
result The method recovers the exact structure of the graphical game under certain conditions.
The Nash-Kuiper Theorem states that the collection of -isometric embeddings from a Riemannian manifold into is -dense within the collection of all smooth 1-Lipschitz embeddings provided that . This result is now known to be a consequence of Gromov's more general -principle. Ther…