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.
Fair market valuations ignore future worker profits in employee-owned firms.
New framework values football players based on in-game interactions.
Develops framework for valuing and assessing risk of renewable PPAs.
In the aftermath of the 2007 global financial crisis, banks started reflecting into derivative pricing the cost of capital and collateral funding through XVA metrics. Here XVA is a catch-all acronym whereby X is replaced by a letter such as C for credit, D for debt, F for funding, K for capital and so on, and VA stands…
Extends micro-price concept to RFQ markets for fair pricing.
In general it is not clear which kind of information is supposed to be used for calculating the fair value of a contingent claim. Even if the information is specified, it is not guaranteed that the fair value is uniquely determined by the given information. A further problem is that asset prices are typically expressed…
This paper studies the stochastic modeling of market drawdown events and the fair valuation of insurance contracts based on drawdowns. We model the asset drawdown process as the current relative distance from the historical maximum of the asset value. We first consider a vanilla insurance contract whereby the protectio…
Study on CFMMs pricing and hedging, developing models for LP and derivatives valuation.
Fast ML framework for derivative valuation from volatility surfaces.
Tackling climate change is at the top of many agendas. In this context, emission trading schemes are considered as promising tools. The regulatory framework for an emission trading scheme introduces a market for emission allowances and creates a need for risk management by appropriate financial contracts. In this work,…
Is an option to early terminate a swap at its market value worth zero? At first sight it is, but in presence of counterparty risk it depends on the criteria used to determine such market value. In case of a single uncollateralised swap transaction under ISDA between two defaultable counterparties, the additional unilat…
Despite being described as a medium of exchange, cryptocurrencies do not have the typical attributes of a medium of exchange. Consequently, cryptocurrencies are more appropriately described as crypto assets. A common investment attribute shared by the more than 2,500 crypto assets is that they are highly volatile. An i…
Paper develops framework for valuing and assessing credit risk in renewable PPAs.
We investigate the relation between the fair price for European-style vanilla options and the distribution of short-term returns on the underlying asset ignoring transaction and other costs. We compute the risk-neutral probability density conditional on the total variance of the asset's returns when the option expires.…
Market valuation duration is 175 years, but drops to 46 years during crises.
Recently, incomplete-market techniques have been used to develop a model applicable to credit default swaps (CDSs) with results obtained that are quite different from those obtained using the market-standard model. This article makes use of the new incomplete-market model to further study CDS hedging and extends the mo…
This paper introduces a novel framework for designing fair and sustainable unemployment benefits, grounded in cooperative game theory and real-time fiscal policy. The labor market is modeled as a coalitional game, where a random subset of participants is employed, generating stochastic economic output. To ensure fairne…
Derives pricing formulas for liquidity tokens in CPMMs, showing riskless growth.
Paper revisits HVA to address model risk in banking.
Business cycles affect startup valuations, both directly and indirectly.
An uncollateralized swap hedged back-to-back by a CCP swap is used to introduce FVA. The open IR01 of FVA, however, is a sure sign of risk not being fully hedged, a theoretical no-arbitrage pricing concern, and a bait to lure market risk capital, a practical business concern. By dynamically trading the CCP swap, with t…
In this paper we explore an identity in distribution of hitting times of a finite variation process (Yor's process) and a diffusion process (geometric Brownian motion with affine drift), which arise from various applications in financial mathematics. As a result, we provide analytical solutions to the fair charge of va…
This paper provides intuition on the relationship of accrual and mark-to-market valuation for cash and forward interest rate trades. Discounted cashflow valuation is compared to spread-based valuation for forward trades, which explains the trader's view on valuation. This is followed by Taylor series approximation for …
In this paper we present a rigorously motivated pricing equation for derivatives, including general cash collateralization schemes, which is consistent with quoted market bond prices. Traditionally, there have been differences in how instruments with similar cash flow structures have been priced if their definition fal…
Deep learning enhances art market valuation by incorporating visual data.
Paper introduces new actuarial-consistent valuations for insurance liabilities.
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…
Obtaining more accurate equity value estimates is the starting point for stock selection, value-based indexing in a noisy market, and beating benchmark indices through tactical style rotation. Unfortunately, discounted cash flow, method of comparables, and fundamental analysis typically yield discrepant valuation estim…
We develop a theory which applies to any market dynamics that satisfy a fair market assumption on the nullity of the average profit of simple market making strategies. We show that for any such fair market, there exists a martingale fair price which corresponds to the average liquidation value (at the ask or the bid) o…
The paper analyzes GMWB annuities in low interest rate environments.
Study finds super-efficiency correlates more strongly with stock market valuation than ROA in Chinese banks.
The paper explores fair treatment in financial exchanges, finding unbounded fairness unrealistic and proposing ε-fairness as a solution.
The paper addresses XVA valuation under market crises using a renewal process.
The paper examines how NFT valuations correlate with market data and social trends.
This note fills the gap in market-consistent valuation of lifelong health insurance products.
Paper introduces a new principle for fair redistribution of insurance surplus.
Efficient WKNN-Shapley computation improves data valuation accuracy.
Two new models improve option valuation for negative or mean reverting futures markets.
Libra ensures fair order-matching in electronic financial exchanges.
Study on hedging and valuation of basis risk in incomplete markets with partial information.
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…
The guaranteed minimum withdrawal benefit (GMWB) rider, as an add on to a variable annuity (VA), guarantees the return of premiums in the form of peri- odic withdrawals while allowing policyholders to participate fully in any market gains. GMWB riders represent an embedded option on the account value with a fee structu…
No fair and strategy-proof automated market maker exists for more than two assets.
The study highlights the importance of Wrong-Way Risk in FVA calculations during financial market turmoil.
This paper addresses credit valuation adjustment with a new closeout convention.
Study analyzes Nifty 50 returns over 34 years, showing P/E ratio predicts long-term gains.
The paper introduces ESG valuation in option pricing using binomial trees.
The study improves stock market valuation using volatility and earnings data.