New method for dynamic valuation in markets with random endowments.
problem Dynamic valuation in markets with random endowments.
method Developed new FBSDE systems and established optimality conditions.
result Established necessary and sufficient conditions for optimality.
This paper shows how forward rate interpolations are equivalent to discount factor interpolations in yield curve construction.
problem The challenge of choosing between different interpolation methods for yield curve construction.
method Demonstrates the equivalence between forward rate interpolations and discount factor interpolations.
result Some popular interpolation methods on forward rates are equivalent to classical interpolation methods on discount factors.
Paper explores volatility swaps in rough volatility models.
problem Understanding volatility swaps in rough volatility models.
method Examines the relationship between forward start volatility swaps and implied volatilities in rough volatility models.
result The leading term approximation error in the correlated case does not depend on the time to forward start date.
Model for commodity forward prices with stochastic volatility and decorrelation.
problem Capturing dynamics of commodity forward prices and volatility.
method Two-factor model with stochastic volatility and decorrelation, numerical and Monte Carlo methods.
result Efficient pricing of various derivative payoffs.
Develops a new class of forward performance processes for investment pools.
problem Investment performance in market models with continuous semimartingale stock prices.
method Constructs a broad class of forward performance processes with power mixture initial conditions.
result Characterizes and derives properties of two-power mixture forward performance processes.
New definition for forward rates in multi-state models.
problem Defining forward rates in multi-state models.
method Established a theoretical framework and provided a novel definition.
result Interchanged transition probabilities and intensities in Kolmogorov forward equations.
Compact embedding for forward rate curves simplifies approximations.
problem Approximating complex forward rate curves efficiently.
method Proving compact embedding and showing finite approximations.
result Forward rate evolutions can be approximated by finite processes.
We prove here a general closed-form expansion formula for forward-start options and the forward implied volatility smile in a large class of models, including the Heston stochastic volatility and time-changed exponential Lévy models. This expansion applies to both small and large maturities and is based solely on the p…
Investment and consumption strategies optimized with uncertain parameters.
problem Investment and consumption preferences in an incomplete financial market with uncertain parameters.
method PDE characterization and semi-explicit saddle-point construction of forward preferences and optimal strategies.
result A specific relationship between initial investment preference and forward consumption preference is necessary.
The paper develops stochastic models for mortality rates using infinite dimensional processes.
problem Uncertainty in demographic projections of future mortality rates.
method Forward mortality models driven by Wiener process and Poisson random measure.
result Consistency conditions for forward mortality improvements and mortality rates.
In a Markovian stochastic volatility model, we consider financial agents whose investment criteria are modelled by forward exponential performance processes. The problem of contingent claim indifference valuation is first addressed and a number of properties are proved and discussed. Special attention is given to the c…
Two new models for forward power prices capture clustering jumps.
problem Describing forward power prices with clustering jumps.
method Continuous branching processes with immigration and Hawkes processes with exponential kernel.
result Models adequately describe forward prices evolution in French power market.
The paper analyzes investment and consumption strategies under uncertain market conditions.
problem Investment and consumption under drift and volatility uncertainties.
method Randomization approach to construct robust preferences and strategies.
result Developed optimal and robust investment and consumption strategies remain valid in the physical market.
Proposes a model for long-term electricity contracts with explicit computation and easy calibration.
problem Non-storability and poor liquidity in long-term electricity markets.
method Multi-factor polynomial framework for explicit computation of forwards, risk premium, and correlation.
result Calibrated model provides a risk-minimizing hedge for various time horizons.
Proves existence of long bond, long forward measure, and long-term factorization in HJM models.
problem Existence of long bond, long forward measure, and long-term factorization in HJM models.
method Function space framework of Filipovic (2001) and sufficient condition on the weight in the Hilbert space of forward rate volatility curves.
result Existence of long bond volatility process, long bond process, and long-term factorization of SDF.
Generic model for commodity derivatives pricing.
problem Modeling forward curves in commodity derivatives.
method Theoretical demonstration of multiple components driving commodity prices; empirical validation.
result Model accurately prices commodity derivatives, close to market prices.
Study volatility of forward-start options using Malliavin Calculus.
problem Implied volatility of Forward-Start options, focusing on ATM behavior.
method Closed-form expressions derived using Malliavin Calculus in Markovian models.
result Derives expressions for at-the-money, skew, and curvature of forward implied volatility.
This paper deals with forward performances of HARA type. Precisely, for a market model in which stock price processes are modeled by a locally bounded d-dimensional semimartingale, we elaborate a complete and explicit characterization for this type of forward utilities. Furthermore, the optimal portfolios for each of…
Study of portfolio management under relative performance concerns using mean field games.
problem Portfolio management problems under relative performance concerns.
method Forward utilities of CARA type, mean field games, best response and equilibrium strategies.
result Solve forward-utility finite player game and mean-field game under asset specialization.
Study forward entropic risk measures using BSDEs, showing convergence and comparing with classical measures.
problem Understanding the behavior of forward entropic risk measures over long maturities.
method Utilized ergodic BSDEs to represent and analyze forward entropic risk measures.
result Forward entropic risk measures converge to a constant exponentially fast for long maturities.
Forward-prediction models enhance physical reasoning, but only for specific tasks.
problem Improving physical reasoning in complex tasks involving many objects.
method Incorporated forward-prediction models into simple physical-reasoning agents and evaluated their performance on the PHYRE benchmark.
result Forward-prediction models improve physical-reasoning performance, especially on complex tasks, but generalization to new task templates is challenging.
In the LIBOR market model, forward interest rates are log-normal under their respective forward measures. This note shows that their distributions under the other forward measures of the tenor structure have approximately log-normal tails.
A new method computes gradients without backpropagation.
problem Optimization of machine learning models.
method Forward mode automatic differentiation to compute gradients.
result Forward gradient is an unbiased estimate of the gradient, eliminating the need for backpropagation.
Study pricing options on forward contracts using infinite-dimensional affine models.
problem Pricing European-style options on forward contracts in complex stochastic volatility models.
method Model forward price curves using stochastic partial differential equations modulated by stochastic volatility processes. Analyze two classes of affine stochastic volatility models: Gaussian and pure-jump. Derive conditions for existence of exponential moments and develop semi-closed pricing formulas.
result Developed semi-closed Fourier-based pricing formulas for vanilla call and put options in infinite-dimensional affine models.
China uses two Renminbi markets to hedge cross-border risks, leading to a price discrepancy.
problem China's two Renminbi markets (onshore and offshore) create a price discrepancy for currency forwards.
method Joint equilibrium model for spot and forward trading with transaction costs and segmented supply.
result The model explains the observed forward price discrepancy in terms of offshore liquidity stress.
New model predicts electricity spot and forward prices in coupled markets.
problem Predicting electricity prices in markets with limited interconnection.
method Structural approach to model link between prices, consumption, and production.
result Explicit formulas for forward prices and transmission rights values.
Diamonds help compute volatility models efficiently.
problem Computing volatility models in forward variance form.
method Application of diamond trees and forests.
result Efficient computation of volatility models.
A new model captures forward curve dynamics with stochastic volatility.
problem Modeling continuous-time evolution of forward curves in financial markets.
method Affine stochastic volatility model with modulated dynamics.
result Model allows for maturity-specific risk and volatility clustering.
Study on predictable forward processes in trading without frequent evaluations.
problem Trading performance evaluation times not matching trading times.
method Solving a linear functional equation to construct predictable forward processes.
result Predictable forward processes are inherently myopic and optimal strategies do not use future information.
Two-dimensional transition rates improve life insurance reserve calculations.
problem Calculating life insurance reserves with Markov assumptions.
method Introducing two-dimensional forward and backward transition rates.
result Two-dimensional transition rates enable more accurate reserve calculations.
Forward-Euler fails for simulating Wasserstein gradient flows with KL divergence.
problem Simulating Wasserstein gradient flows with forward-Euler discretization fails for KL divergence.
method Forward-Euler discretization for Wasserstein gradient flows with KL divergence.
result Forward-Euler discretization can be incorrect for Wasserstein gradient flows with KL divergence.
Paper studies forward-backward envelope for convex problems and applies it to least squares.
problem Minimizing the sum of a convex and a smooth function.
method Derives conditions for level-bounded and Kurdyka-Łojasiewicz functions, applies forward-backward envelope to difference-of-convex problems.
result Forward-backward envelope can be efficiently minimized for certain convex problems.
Forward gradients improve neural network training without backpropagation issues.
problem Training neural networks without backpropagation's locking and memorization problems.
method Using directional derivatives in forward differentiation mode, with biased guesses based on feedback from small auxiliary networks.
result Using gradients from a local loss as a candidate direction improves Forward Gradient methods.
Maximum principle proves positivity of forward rates in stochastic models.
problem Proving positivity of forward rates in stochastic models.
method Maximum principle for mild solutions to SPDEs with Lipschitz coefficients and Wiener noise.
result Sufficient conditions for positivity of forward rates in the Heath-Jarrow-Morton model.
Designs a Heath-Jarrow-Morton framework for forward contracts in power and gas markets.
problem Designing a framework for forward contracts in power and gas markets.
method Heath-Jarrow-Morton framework, affine functions, Girsanov kernel, measure changes.
result Validates measure changes for forward contracts in power and gas markets.
We study the forward price dynamics in commodity markets realized as a process with values in a Hilbert space of absolutely continuous functions defined by Filipović. The forward dynamics are defined as the mild solution of a certain stochastic partial differential equation driven by an infinite dimensional Lévy proces…
Model interest rates and energy futures with regime-switching dynamics.
problem Modeling interest rates and energy futures with regime-switching dynamics.
method HJM model with Markov-chain modulated forward rates, proving affine structure for term structure.
result Explicit solutions for forward curves in many cases.
This paper explores the nonconvexity of push-forward constraints in machine learning.
problem The nonconvexity of push-forward constraints in machine learning.
method The paper provides sufficient and necessary conditions for the (non)convexity of push-forward functions and maps.
result Push-forward constraints are generally nonconvex, which limits the design of convex optimization problems in machine learning.
Enhances swaption modeling with rough stochastic volatility.
problem Modeling swaption volatility in post-LIBOR markets.
method Introduces rough stochastic volatility into FMM and rigorously justifies the freezing approximation.
result Establishes a new framework connecting FMM to rough Bergomi for forward swap rates.
The paper analyzes performance criteria for competing fund managers in Ito-diffusion markets.
problem Analyzing performance of competing fund managers in Ito-diffusion markets.
method Developed forward relative performance criteria and forward Nash equilibrium for passive and competitive cases.
result Extended performance criteria for investment problems in Ito-diffusion markets.
Methodology projects forward electricity contract prices using market equilibrium and social welfare optimization.
problem Quantifying forward contract risks and optimizing revenue/cost for generators/load/traders.
method Market equilibrium and social welfare optimization; linear programming for total agents' welfare.
result Equilibrium contract price corresponds to the dual variable of equilibrium constraints.
In this paper we investigate the asymptotics of forward-start options and the forward implied volatility smile in the Heston model as the maturity approaches zero. We prove that the forward smile for out-of-the-money options explodes and compute a closed-form high-order expansion detailing the rate of the explosion. Fu…
The paper extends NUP representations to factor graphs for better estimation.
problem Nontrivial model-based estimation problems.
method Augmenting factor graphs with convex-dual variables and NUP representations; proposing a new iterative algorithm.
result A new dual algorithm for state space problems.
We derive a forward equation for arbitrage-free barrier option prices, in terms of Markovian projections of the stochastic volatility process, in continuous semi-martingale models. This provides a Dupire-type formula for the coefficient derived by Brunick and Shreve for their mimicking diffusion and can be interpreted …
Study variance-optimal hedging of forward curve derivatives under stochastic volatility.
problem Variance-optimal hedging of forward curve derivatives with stochastic volatility.
method Assumes HJM-Musiela dynamics modulated by stochastic covariance, uses Galtchouk-Kunita-Watanabe projection.
result Density of finite-maturity strategies, convergence of finite-rank projections, decomposition of hedging error.
Machine learning speeds up GPR simulations.
problem Computational demands of simulating practical GPR problems.
method Automatic ML-based forward solver framework using gprMax.
result Near-real-time GPR simulations achieved.
KINet learns object interactions without supervision for robotic pushing.
problem Lack of supervised data for object-centric forward prediction.
method End-to-end unsupervised framework using keypoint representation and contrastive estimation.
result Automatically generalizes to unseen scenarios and accurately predicts future states.
Forward hedging reshapes incentive provision in firms.
problem How does forward hedging affect incentive provision in firms?
method We consider a CARA framework to jointly characterize optimal production, compensation, and static hedging in equilibrium.
result Delegation and external hedging are partial substitutes, and delegation can increase firm value even when the agent is more risk averse.