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 improves energy contract pricing models by incorporating jumps and varying parameters.
Paper provides a method to price electricity storage contracts using COS technique.
Two methods for pricing swing contracts using neural networks or explicit functions.
We prove that for a weakly exact magnetic system on a closed connected Riemannian manifold, almost all energy levels contain a closed orbit. More precisely, we prove the following stronger statements. Let denote a closed connected Riemannian manifold and a weakly exact 2-form. Let denote the magneti…
The paper studies magnetic curvature and proves the existence of closed orbits on low energy levels.
We show that a small neighborhood of a closed symplectic submanifold in a geometrically bounded aspherical symplectic manifold has non-vanishing symplectic homology. As a consequence, we establish the existence of contractible closed characteristics on any thickening of the boundary of the neighborhood. When applied to…
We characterize the value of swing contracts in continuous time as the unique viscosity solution of a Hamilton-Jacobi-Bellman equation with suitable boundary conditions. The case of contracts with penalties is straightforward, and in that case only a terminal condition is needed. Conversely, the case of contracts with …
Calibrates historical and implied correlations in energy markets.
We show that if K: P \to R is an autonomous Hamiltonian on a symplectic manifold (P,Ω) which attains 0 as a Morse-Bott nondegenerate minimum along a symplectic submanifold M, and if c_1(TP)|_M vanishes in real cohomology, then the Hamiltonian flow of K has contractible periodic orbits with bounded period on all suffici…
For strong exact magnetic fields the action functional (i.e., the length plus the linear magnetic term) is not bounded from below on the space of closed contractible curves and the lower estimates for critical levels are derived by using the principle of throwing out cycles. It is proved that for almost every energy le…
In commodity and energy markets swing options allow the buyer to hedge against futures price fluctuations and to select its preferred delivery strategy within daily or periodic constraints, possibly fixed by observing quoted futures contracts. In this paper we focus on the natural gas market and we present a dynamical …
The study examines how alternative resource adequacy contract designs affect market participants' risk profiles and resource mix.
Study develops a smart contract framework for efficient and fair resource allocation.
In this paper we study the pricing and hedging of structured products in energy markets, such as swing and virtual gas storage, using the exponential utility indifference pricing approach in a general incomplete multivariate market model driven by finitely many stochastic factors. The buyer of such contracts is allowed…
The amplituhedra arise as images of the totally nonnegative Grassmannians by projections that are induced by linear maps. They were introduced in Physics by Arkani-Hamed \& Trnka (Journal of High Energy Physics, 2014) as model spaces that should provide a better understanding of the scattering amplitudes of quantum fie…
Study of magnetic geodesics on Heisenberg nilmanifolds.
We prove a sharp Poincaré inequality for subsets of (essentially non-branching) metric measure spaces satisfying the Measure Contraction Property , whose diameter is bounded above by . This is achieved by identifying the corresponding one-dimensional model densities and a localization argument…
New electromagnetic curvature defined via Jacobi-Maupertuis, showing positive curvature for non-zero magnetic force.
New spinorial functional connects Perelman's W- and F-functionals.
We study historical calibration of one- and two-factor models that are known to describe relatively well the dynamics of energy underlyings such as spot and index natural gas or oil prices at different physical locations or regional power prices. We take into account uneven frequency of data due to weekends, holidays, …
Using a new method we give elementary estimates for the capacity of non-contractible annuli on cylinders and provide examples, where these inequalities are sharp. Here the lower bound depends only on the area of the annulus. In the case of constant curvature this lower bound is obtained with the help of a symmetrizatio…
The (twice-contracted) second Bianchi identity is a differential curvature identity that holds on any smooth manifold with a metric. In the case when such a metric is Lorentzian and solves Einstein's equations with an (in this case inevitably smooth) energy-momentum-stress tensor of a "matter field" as the source of sp…
Study normal tempered stable processes for energy derivative pricing.
We derive the price of a spread option based on two assets which follow a bivariate volatility modulated Volterra process dynamics. Such a price dynamics is particularly relevant in energy markets, modelling for example the spot price of power and gas. Volatility modulated Volterra processes are in general not semimart…
Reformulates binary classification on manifolds using Yang-Mills-Higgs theory.
Study prices energy derivatives using specific stochastic processes.
A new flow method reduces Lorentz contraction to a simple algebraic decay.
The main theme of this paper is a relative version of the almost existence theorem for periodic orbits of autonomous Hamiltonian systems. We show that almost all low levels of a function on a geometrically bounded symplectically aspherical manifold carry contractible periodic orbits of the Hamiltonian flow, provided th…
Paper finds periodic orbits for convex Lagrangian systems on noncompact manifolds.
We prove the equivalence of the curvature-dimension bounds of Lott-Sturm-Villani (via entropy and optimal transport) and of Bakry--Émery (via energy and Γ_2$-calculus) in complete generality for infinitesimally Hilbertian metric measure spaces. In particular, we establish the full Bochner inequality on such metric meas…
We study the topology of admissible-loop spaces on a step-two Carnot group G. We use a Morse-Bott theory argument to study the structure and the number of geodesics on G connecting the origin with a 'vertical' point (geodesics are critical points of the 'Energy' functional, defined on the loop space). These geodesics t…
One of the peculiarities of power and gas markets is the delivery mechanism of forward contracts. The seller of a futures contract commits to deliver, say, power, over a certain period, while the classical forward is a financial agreement settled on a maturity date. Our purpose is to design a Heath-Jarrow-Morton framew…
In this paper we study the steepest descent -gradient flow of the functional $\SW_{λ_1,λ_2}$, which is the the sum of the Willmore energy, -weighted surface area, and -weighted enclosed volume, for surfaces immersed in . This coincides with the Helfrich functional with zero `spontaneous curvature'.…
A perfect-fluid space-time of dimension n>3 with 1) irrotational velocity vector field, 2) null divergence of the Weyl tensor, is a generalised Robertson-Walker space-time with Einstein fiber. Condition 1) is verified whenever pressure and energy density are related by an equation of state. The contraction of the Weyl …
In commodity markets the convergence of futures towards spot prices, at the expiration of the contract, is usually justified by no-arbitrage arguments. In this article, we propose an alternative approach that relies on the expected profit maximization problem of an agent, producing and storing a commodity while trading…
We present a fully nonparametric method to estimate the value function, via simulation, in the context of expected infinite-horizon discounted rewards for Markov chains. Estimating such value functions plays an important role in approximate dynamic programming and applied probability in general. We incorporate "soft in…
Let S be a finite union of (pairwise disjoint but possibly knotted and linked) closed curves and tubes in the round sphere S^3 or in the flat torus T^3. In the case of the torus, S is further assumed to be contained in a contractible subset of T^3. In this paper we show that for any sufficiently large odd integer λther…
It is commonly accepted that Commodities futures and forward prices, in principle, agree under some simplifying assumptions. One of the most relevant assumptions is the absence of counterparty risk. Indeed, due to margining, futures have practically no counterparty risk. Forwards, instead, may bear the full risk of def…
New method uses geometric moments for accurate machine learning potentials.
The paper explores coalescent contractions in contractible spaces, providing criteria and examples.
Mean Field Games applied to finance and economics.
Human stablecoin transactions predict political risk in cryptocurrency markets.
Computable contracts simplify financial transactions and reduce legal costs.
Develops framework for valuing and assessing risk of renewable PPAs.
This paper addresses reward estimation and incentive design for agents with hidden rewards.
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…
Defines Floer homology with DG coefficients for symplectic manifolds.
Optimal execution strategy for merger & acquisition contracts with price impact.