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.
Paper revisits HVA to address model risk in banking.
Fast ML framework for derivative valuation from volatility surfaces.
Develops framework for valuing and assessing risk of renewable PPAs.
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…
This paper optimizes crypto portfolios and valuates crypto options.
Paper introduces a new principle for fair redistribution of insurance surplus.
Efficient WKNN-Shapley computation improves data valuation accuracy.
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…
Paper develops framework for valuing and assessing credit risk in renewable PPAs.
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…
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,…
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…
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…
New method for insurance valuation combining hedging and risk minimization.
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.…
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…
This paper calculates data valuation for nearest neighbor models efficiently.
Study on CFMMs pricing and hedging, developing models for LP and derivatives valuation.
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…
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…
Simplifies complex pricing models for better interpretability and revenue.
Extends micro-price concept to RFQ markets for fair pricing.
The paper analyzes GMWB annuities in low interest rate environments.
In this paper, a geometric function is introduced to reflect the attenuation speed of impact of one firm's default to its partner. If two firms are competitions (copartners), the default intensity of one firm will decrease (increase) abruptly when the other firm defaults. As time goes on, the impact will decrease gradu…
The paper develops a valuation framework for GLWB-LTC contracts with Levy dynamics and stochastic interest rates.
The paper explores fairness, welfare, and equity in personalized pricing across various applications.
Fairly allocate items with noisy queries, reducing envy.
Backward SDEs help price XVA for OTC derivatives.
Paper compares neural networks and time-series models for weather derivative pricing.
Paper introduces new actuarial-consistent valuations for insurance liabilities.
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…
The paper values variable annuities using complex stochastic models and deep learning.
Variable Annuity (VA) products expose insurance companies to considerable risk because of the guarantees they provide to buyers of these products. Managing and hedging these risks requires insurers to find the value of key risk metrics for a large portfolio of VA products. In practice, many companies rely on nested Mon…
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…
Paper recovers uncertainty from dynamic valuation rules.
Study convolution of invariant valuations on Lie groups.
Derives pricing formulas for liquidity tokens in CPMMs, showing riskless growth.
In this paper, we analyse some equity-linked contracts that are related to drawdown and drawup events based on assets governed by a geometric spectrally negative Lévy process. Drawdown and drawup refer to the differences between the historical maximum and minimum of the asset price and its current value, respectively. …
SL(n) covariant valuations on Orlicz spaces are represented and characterized.
Market valuation duration is 175 years, but drops to 46 years during crises.
Paper simplifies default process modeling and credit valuation.
Business cycles affect startup valuations, both directly and indirectly.
In this paper we present a numerical valuation of variable annuities with combined Guaranteed Minimum Withdrawal Benefit (GMWB) and Guaranteed Minimum Death Benefit (GMDB) under optimal policyholder behaviour solved as an optimal stochastic control problem. This product simultaneously deals with financial risk, mortali…
A new mechanism optimizes data marketplace pricing efficiently.
Classification of SL(n) covariant valuations on Orlicz spaces.
We prove new kinematic formulas for tensor valuations and simplify previously known Crofton formulas by using the recently developed algebraic theory of translation invariant valuations. The heart of the paper is the computation of the Alesker-Fourier transform on the large class of spherical valuations, which is achie…