arXiv research

Develops a valuation model for in-play football bets.

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…

The paper revisits and applies FTAP to life insurance and annuities pricing.

A new method reduces data valuation variance for more trustworthy data trading.

Paper proposes a new method for valuing long-term annuities using real-world probability measure.

The minimizer of a volume function is unique for klt singularities.

Paper evaluates whether AI is a bubble or a productivity revolution.

Joint news coverage inflates stock valuations, causing subsequent reversals.

New PU ratio predicts long-term Bitcoin returns better than other methods.

We propose a new definition for tameness within the model of security prices as Itô processes that is risk-aware. We give a new definition for arbitrage and characterize it. We then prove a theorem that can be seen as an extension of the second fundamental theorem of asset pricing, and a theorem for valuation of contin…

The paper reduces xVA calculations by approximating sensitivities.

TimeLAVA: A Learning-Agnostic Framework for Valuing Time Series

The paper analyzes regret in bilateral trade mechanisms without prior valuations.

TimeLAVA learns time series segment values without model dependence.

Task-agnostic data valuation without validation requirements.

Research uses DBN to estimate PE ratios for better investment decisions.

Paper offers a new method for valuing stocks with multiple growth rates.

Hölder-DPO aligns models robustly with noisy human feedback.

DVRL uses RL to estimate data value for machine learning tasks.

Develops a new metric to equitably value data for machine learning models.

Paper introduces new actuarial-consistent valuations for insurance liabilities.

Paper recovers uncertainty from dynamic valuation rules.

The article presents a general discrete time dividend valuation model when the dividend growth rate is a general continuous variable. The main assumption is that the dividend growth rate follows a discrete time semi-Markov chain with measurable space. The paper furnishes sufficient conditions that assure finiteness of …

Study convolution of invariant valuations on Lie groups.

The purpose of the paper is to present a new pricing method for clean spread options, and to illustrate its main features on a set of numerical examples produced by a dedicated computer code. The novelty of the approach is embedded in the use of structural models as opposed to reduced-form models which fail to capture …

SL(n) covariant valuations on Orlicz spaces are represented and characterized.

Study shows observing order book can significantly improve online market making performance.

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.

Researchers create a framework to value player actions in CSGO.

Classification of SL(n) covariant valuations on Orlicz spaces.

We investigate the structure of good deal bounds, which are subintervals of a no-arbitrage pricing bound, for financial market models with convex constraints as an extension of Arai and Fukasawa (2014). The upper and lower bounds of a good deal bound are naturally described by a convex risk measure. We call such a risk…

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…

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…

Classifies contravariant matrix-valued valuations on polytopes without continuity assumptions.

Let $\mathrm{SO}^+(p,q)$ denote the identity connected component of the real orthogonal group with signature $(p,q)$. We give a complete description of the spaces of continuous and generalized translation- and $\mathrm{SO}^+(p,q)$-invariant valuations, generalizing Hadwiger's classification of Euclidean isometry-invari…

Study evaluates valuation models for UK companies using case studies.

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 …

The paper extends the convolution operator to non-smooth valuations using geometric inequalities.

The classification of continuous, translation invariant Minkowski valuations which are contravariant (or covariant) with respect to the complex special linear group is established in a 2-dimensional complex vector space. Every such valuation is given by the sum of a valuation of degree of homogeneity 1 and 3. In dimens…

Computes tube formulas for valuations in complex space forms.

Study kinematic formulas for quaternionic plane valuations.

Value-tracking in financial markets breaks down when non-valuation-based traders dominate.

This paper addresses credit valuation adjustment with a new closeout convention.

Existence of smooth valuations on subspaces is shown for certain conditions.

Classifies SL(n) covariant matrix-valued valuations on Lp-spaces.

Develops a new method to study algebraic tangent cones of sheaves using valuations.