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.
Enhances data valuation by integrating global and local statistical properties.
problem Insufficient consideration of global and local statistical properties in data valuation methods.
method Proposes a method that fuses global and local statistical properties into regularization terms for Shapley value estimation and dynamic data valuation.
result Demonstrates improved performance and efficiency of data valuation methods through integration of global and local statistical properties.
Optimal pricing strategy for unknown valuation models with noisy feedback.
problem Minimizing regret in dynamic pricing with unknown valuation functions and noisy feedback.
method Proposes a minimax-optimal algorithm using discretization and data partitioning to handle unknown noise distribution and Lipschitz continuity of valuation functions.
result Achieves minimax-optimal regret bound matching the theoretical lower bound up to logarithmic factors.
We present a detailed analysis of interest rate derivatives valuation under credit risk and collateral modeling. We show how the credit and collateral extended valuation framework in Pallavicini et al (2011), and the related collateralized valuation measure, can be helpful in defining the key market rates underlying th…
Develops a robust hedging valuation adjustment measure for dynamic hedging under liquidity-demand stress.
problem Dynamic hedging under liquidity-demand stress
method Define robust HVA as the worst-case expected loss over a relative-entropy neighborhood of the loss distribution generated by simulated rebalancing and maturity-unwind trades.
result Distinguishes fixed-radius convention from fixed benchmark-stress convention and shows wider no-trade bands lower rebalancing costs but raise hedge-error risk.
Study online pricing with contextual elasticity and heteroscedastic valuation.
problem Online contextual dynamic pricing with customer decision based on features and price.
method Introduced a novel approach to modeling customer demand with feature-based price elasticity and heteroscedastic noise. Proposed an efficient algorithm called Pricing with Perturbation (PwP).
result Proved an O(dTlogT) regret bound for the algorithm, matching a lower bound of Ω(dT).
This paper focuses on the valuation and hedging of gas storage facilities, using a spot-based valuation framework coupled with a financial hedging strategy implemented with futures contracts. The first novelty consist in proposing a model that unifies the dynamics of the futures curve and the spot price, which accounts…
This paper approaches the definition and properties of dynamic convex risk measures through the notion of a family of concave valuation operators satisfying certain simple and credible axioms. Exploring these in the simplest context of a finite time set and finite sample space, we find natural risk-transfer and time-co…
An extension of the idea of state tameness is presented in a dynamic framework. The proposed model for financial markets is rich enough to provide analytical tools that are mostly obtained in models that arise as the solution of SDEs with deterministic coefficients. In the presented model the augmentation by a shadow s…
In this paper, we endow the space of continuous translation invariant valuation on convex sets generated by mixed volumes coupled with a suitable Radon measure on tuples of convex bodies with two appropriate norms. This enables us to construct a continuous extension of the convolution operator on smooth valuations to n…
We analyze the counterparty risk embedded in CDS contracts, in presence of a bilateral margin agreement. First, we investigate the pricing of collateralized counterparty risk and we derive the bilateral Credit Valuation Adjustment (CVA), unilateral Credit Valuation Adjustment (UCVA) and Debt Valuation Adjustment (DVA).…
The efficiency of a modern economy depends on what we call the Value-Tracking Hypothesis: that market prices of key assets broadly track some underlying value. This can be expected if a sufficient weight of market participants are valuation-based traders, buying and selling an asset when its price is, respectively, bel…
We introduce a simulation method for dynamic portfolio valuation and risk management building on machine learning with kernels. We learn the dynamic value process of a portfolio from a finite sample of its cumulative cash flow. The learned value process is given in closed form thanks to a suitable choice of the kernel.…
We propose a projected gradient dynamical system as a model for a bargaining scheme for an asset for which the two interested agents have personal valuations which do not initially coincide. The personal valuations are formed using subjective beliefs concerning the future states of the world and the reservation prices …
We propose a numerical recipe for risk evaluation defined by a backward stochastic differential equation. Using dual representation of the risk measure, we convert the risk valuation to a stochastic control problem where the control is a certain Radon-Nikodym derivative process. By exploring the maximum principle, we s…
We introduce the general arbitrage-free valuation framework for counterparty risk adjustments in presence of bilateral default risk, including default of the investor. We illustrate the symmetry in the valuation and show that the adjustment involves a long position in a put option plus a short position in a call option…
Method extends option valuation for 2D Lévy models.
problem Valuation of European options under 2-asset infinite-activity Lévy models.
method Developed numerical method extending Wang et al. (2007) for 1D to 2D, using Fourier transform for integral term and semi-Lagrangian theta-method for temporal discretization.
result Favourable second-order convergence for Normal Tempered Stable dynamics.