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arXiv research

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.

169,341 papers · 148 categories

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3 results for “discretisation-invariant”
Model-Free Discretisation-Invariant Swap Contractsq-fin.MF

New swap contracts avoid bias and numerical errors, offering fair values independent of monitoring.

problem Bias and numerical integration errors in standard swap contracts.
method Characterized as solutions to a second-order system of PDEs, identified as a vector space of pay-offs.
result Existence of infinite variety of discretisation-invariant swap contracts with fair values independent of monitoring.
swap contractsdiscretisation-invariantfair valuesbiasnumerical integration errors
2016-01-31abs ↗pdf ↗
Tail Risk Premia for Long-Term Equity Investorsq-fin.PR

Study examines factors influencing tail risk premia for long-term equity investors.

problem Determining factors affecting variance and higher-moment risk premia in equity markets.
method Empirical study using discretisation invariant swaps for log returns, focusing on skewness, kurtosis, and variance risk premia.
result Momentum is the dominant driver for skewness and kurtosis risk premia, while variance risk premium is influenced by size and growth.
tail riskrisk premialong-term equitymomentumvariance
2016-02-02abs ↗pdf ↗