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.
Computable contracts simplify financial transactions and reduce legal costs.
Optimal execution strategy for merger & acquisition contracts with price impact.
This paper explores how insurance contracts can be traded in financial markets.
In this note we describe the application of existing smart contract technologies with the aim to construct a new digital representation of a financial derivative contract. We compare several existing DLT based technologies. We provide a detailed description of two separate prototypes which are able to be executed on a …
The paper explores perpetual contracts in a financial market without arbitrage.
The research presented in this work is motivated by some recent papers regarding hedging and valuation of financial securities subject to funding costs, collateralization and counterparty credit risk. Our goal is to provide a sound theoretical underpinning for some results presented in these papers by developing a unif…
Graph learning categorizes DeFi services into similar functionalities.
Paper improves ISDA margin calculation using LSMC.
A financial contract's value is determined by a quantum measurement outcome, and a pricing state exists to value it.
The main purpose of this paper is to formalize the modelling process, analysis and mathematical definition of corruption when entering into a contract between principal agent and producers. The formulation of the problem and the definition of concepts for the general case are considered. For definiteness, all calculati…
Study loan contracts in DLPs using derivatives pricing and neural networks.
Quantum crypto-economics models price risks in blockchain technology.
Study financial contracts pricing in markets with nonproportional costs and constraints.
Model clarifies network effects on CVA, revealing significant differences in derivative contract values.
The paper explores local-correlation models for pricing complex financial contracts.
Deep reinforcement learning improves trading performance in financial markets.
We introduce a two-agent problem which is inspired by price asymmetry arising from funding difference. When two parties have different funding rates, the two parties deduce different fair prices for derivative contracts even under the same pricing methodology and parameters. Thus, the two parties should enter the deriv…
SFC aims to protect the Amazon with a digital currency and smart contracts.
TradeMech nets trades without changing counterparty relationships.
The paper develops a valuation framework for GLWB-LTC contracts with Levy dynamics and stochastic interest rates.
Swapping debt contracts can mitigate risk in financial networks.
This paper investigates how the conditional quantiles of future returns and volatility of financial assets vary with various measures of ex-post variation in asset prices as well as option-implied volatility. We work in the flexible quantile regression framework and rely on recently developed model-free measures of int…
We introduce a class of financial contracts involving several parties by extending the notion of a two-person game option (see Kifer (2000)) to a contract in which an arbitrary number of parties is involved and each of them is allowed to make a wide array of decisions at any time, not restricted to simply `exercising t…
Proposes a probabilistic framework for smart contract risk quantification.
Bailouts in financial networks are hard to optimize due to NP-hardness.
In this paper we investigate the local risk-minimization approach for a combined financial-insurance model where there are restrictions on the information available to the insurance company. In particular we assume that, at any time, the insurance company may observe the number of deaths from a specific portfolio of in…
The research presented in this work is motivated by recent papers by Brigo et al. (2011), Burgard and Kjaer (2009), Crépey (2012), Fujii and Takahashi (2010), Piterbarg (2010) and Pallavicini et al. (2012). Our goal is to provide a sound theoretical underpinning for some results presented in these papers by developing …
Paper presents a risk management framework for blockchain protocols.
Bounds derived for contract values in life insurance with financial market interaction.
New MKABSDEs help calculate initial margins in financial contracts.
We study insolvency cascades in an interbank system when banks are allowed to insure their loans with credit default swaps (CDS) sold by other banks. We show that, by properly shifting financial exposures from one institution to another, a CDS market can be designed to rewire the network of interbank exposures in a way…
It is suggested to consider long term trends of financial markets as a growth phenomenon. The question that is asked is what conditions are needed for a long term sustainable growth or contraction in a financial market? The paper discuss the role of traditional market players of long only mutual funds versus hedge fund…
Game theory applied to financial networks, focusing on debt repayment strategies.
The paper prices and replicates various financial contracts on a risky asset with stochastic volatility and jumps.
The article reviews how to set stochastic volatility model parameters.
We consider a market model that consists of financial investors and producers of a commodity. Producers optionally store some production for future sale and go short on forward contracts to hedge the uncertainty of the future commodity price. Financial investors take positions in these contracts in order to diversify t…
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 2008 financial crisis has been attributed to "excessive complexity" of the financial system due to financial innovation. We employ computational complexity theory to make this notion precise. Specifically, we consider the problem of clearing a financial network after a shock. Prior work has shown that when banks ca…
The latest financial crisis has painfully revealed the dangers arising from a globally interconnected financial system. Conventional approaches based on the notion of the existence of equilibrium and those which rely on statistical forecasting have seen to be inadequate to describe financial systems in any reasonable w…
The paper compares machine learning methods with traditional techniques for pricing and sensitivities of financial products with path-dependent structures.
We propose an algorithm for the non-negative factorization of an occurrence tensor built from heterogeneous networks. We use l0 norm to model sparse errors over discrete values (occurrences), and use decomposed factors to model the embedded groups of nodes. An efficient splitting method is developed to optimize the non…
This paper explores how decentralized finance mitigates traditional finance's shortcomings.
This paper argues that the fundamental principle of contemporary financial economics is balanced reciprocity, not the principle of utility maximisation that is important in economics more generally. The argument is developed by analysing the mathematical Fundamental Theory of Asset Pricing with reference to the emergen…
Algorithmic insurance tackles financial risks from AI errors, proving CVaR-optimal thresholds reduce tail risk.
Ethereum smart contracts have recently drawn a considerable amount of attention from the media, the financial industry and academia. With the increase in popularity, malicious users found new opportunities to profit by deceiving newcomers. Consequently, attackers started luring other attackers into contracts that seem …
Monte Carlo Tree Search improves financial derivative hedging efficiency.
This paper studies a valuation framework for financial contracts subject to reference and counterparty default risks with collateralization requirement. We propose a fixed point approach to analyze the mark-to-market contract value with counterparty risk provision, and show that it is a unique bounded and continuous fi…
Study analyzes smart contract adoption under bounded risk, showing stable adoption but fragile financial outcomes.