Develops a valuation model for in-play football bets.
problem Valuation and hedging of in-play football bets.
method Model scores using independent Poisson processes, applies Fundamental Theorems of Asset Pricing.
result Derives arbitrage-free valuation formulas for in-play bets.
Generalized model for firm valuation considering semi-Markovian dividend growth.
problem Valuation of firms based on semi-Markovian dividend growth rates.
method Discrete time semi-Markov chain model with measurable space, new equations for price-dividend ratios, approximation methods.
result Established sufficient conditions for finiteness of fundamental prices and risks, new equations for first and second order price-dividend ratios.
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.
problem Non-arbitrage pricing of life contingent assets in dynamic markets.
method Revisit FTAP, use martingale theory, apply FTAP to life insurance and annuities, clarify assumptions.
result Valuation formula for life contingent assets including life insurance policies and annuities.
A new method reduces data valuation variance for more trustworthy data trading.
problem Data valuation and trustworthy data trading in algorithmic prediction.
method Variance reduced Shapley value estimation using stratified sampling.
result VRDS method reduces estimation variance and improves data marketplace development.
Paper proposes a new method for valuing long-term annuities using real-world probability measure.
problem Valuation of long-term annuities using classical no-arbitrage methods.
method Real-world probability measure valuation, employing numéraire portfolio.
result Real-world valuation leads to lower values than classical approaches.
The minimizer of a volume function is unique for klt singularities.
problem Uniqueness of the minimizer of the normalized volume function for klt singularities.
method Defining stability thresholds for valuations and showing K-semistability.
result The minimizer of the normalized volume function for a klt singularity is unique up to rescaling.
Paper evaluates whether AI is a bubble or a productivity revolution.
problem Determining if AI investments are a bubble or a sustainable technology.
method Hybrid review and diagnostic framework combining asset pricing foundations and modern econometric methods.
result AI investments show both genuine fundamentals and bubble-like fragilities.
Joint news coverage inflates stock valuations, causing subsequent reversals.
problem Understanding how joint news coverage affects stock valuations and market returns.
method Comprehensive news dataset analysis and SEC EDGAR visits to track attention spillovers.
result Aggregated joint news coverage strongly predicts future market returns, indicating attention contagion.
New PU ratio predicts long-term Bitcoin returns better than other methods.
problem Lack of convincing proxies for cryptocurrency fundamentals.
method Developed a new market-to-fundamental ratio (PU ratio) using blockchain accounting methods.
result PU ratio effectively predicts long-term Bitcoin returns compared to alternative 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.
problem Nested expectation problem and computational expense in xVA calculations.
method Polynomial approximations of shocked and unshocked valuation functions, and their difference.
result High accuracy and remarkable computational cost reduction demonstrated.
TimeLAVA: A Learning-Agnostic Framework for Valuing Time Series
problem Valuing time series data for critical domains like healthcare, finance, and industrial monitoring
method A novel Selective Wavelet-based Wasserstein discrepancy for segmenting and valuing temporal segments
result Significantly more informative value scores than existing methods
The paper analyzes regret in bilateral trade mechanisms without prior valuations.
problem Designing efficient trade mechanisms without prior knowledge of valuations.
method Regret minimization framework over rounds of interactions with no prior knowledge of valuations.
result Characterization of regret bounds for different feedback models and valuations.
TimeLAVA learns time series segment values without model dependence.
problem Valuation of time series data for critical domains.
method Learning-agnostic framework using Selective Wavelet-based Wasserstein discrepancy.
result TimeLAVA produces more informative value scores than existing methods.
Task-agnostic data valuation without validation requirements.
problem Valuing data without specific task assumptions.
method Estimating data diversity and relevance through queries without raw data.
result Estimates capture the diversity and relevance of seller's data for the buyer.
Research uses DBN to estimate PE ratios for better investment decisions.
problem Lack of formalized methods for estimating fundamental PE ratios.
method Dynamic Bayesian Network (DBN) methodology for estimating PE ratios.
result Trading strategy based on inferred PE ratios outperforms benchmarks.
Paper offers a new method for valuing stocks with multiple growth rates.
problem Valuing stocks with complex growth patterns.
method Developed a general solution for the Dividend Discount Model.
result Improved precision in stock valuation.
Hölder-DPO aligns models robustly with noisy human feedback.
problem No existing alignment methods can handle severe label noise.
method Proposes Hölder-DPO, a principled alignment loss with provable redescending property.
result Hölder-DPO enables scalable human feedback valuation and improves model alignment.
DVRL uses RL to estimate data value for machine learning tasks.
problem Adaptive learning of data value for machine learning tasks.
method Meta learning framework with reinforcement learning for data value estimation.
result DVRL yields superior data value estimates compared to alternative methods.
Develops a new metric to equitably value data for machine learning models.
problem Equitable valuation of individual data in machine learning predictions.
method Data Shapley framework, Monte Carlo and gradient-based methods.
result Data Shapley uniquely satisfies properties of equitable data valuation.
Paper introduces new actuarial-consistent valuations for insurance liabilities.
problem Valuation of insurance liabilities considering both financial and actuarial risks.
method Proposes two-step actuarial valuations and actuarial-consistent procedures.
result Actuarial-consistent valuations are equivalent to two-step actuarial valuations under coherence.
Paper recovers uncertainty from dynamic valuation rules.
problem Recovering latent uncertainty from observable valuation rules.
method Developed procedures to identify and characterize uncertainty structures from valuation rules.
result Valuation rules contain sufficient information to identify and recover uncertainty structures.
Study convolution of invariant valuations on Lie groups.
problem Understanding convolution of valuations on Lie groups.
method Explicit formula for left-invariant valuations, showing existence of smooth bi-invariant valuations, defining convolution on arbitrary Lie groups.
result Unified convolution operations 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 …
Complete description of valuations for indefinite orthogonal groups.
problem Classifying valuations for indefinite orthogonal groups.
method Detailed analysis of continuous and generalized translation- and group-invariant valuations.
result Identification of Klain-Schneider continuous valuations within the space of translation-invariant valuations.
SL(n) covariant valuations on Orlicz spaces are represented and characterized.
problem Representing SL(n) covariant valuations on Orlicz spaces.
method Representation theorem established for continuous, SL(n) covariant vector-valued valuations.
result Unique characterization of SL(n) covariant valuations as moment vectors.
Paper explains accrual and mark-to-market valuation for interest rate trades.
problem Understanding the valuation differences between accrual and mark-to-market methods for interest rate trades.
method Comparison of discounted cashflow valuation to spread-based valuation, Taylor series approximation, and deferral concept.
result Simple intuition and mathematical explanation of accrual and mark-to-market adjustments.
Study shows observing order book can significantly improve online market making performance.
problem Online market making with private valuations and limited feedback.
method Introduces action-dependent feedback model and proposes elimination-based and explore-then-perturb algorithms.
result Achieves O ( T ) O(\sqrt{T}) O ( T ) regret bounds with high probability in various settings. Market valuation duration is 175 years, but drops to 46 years during crises.
problem Understanding the duration of market valuation and its impact on returns.
method Comparing market valuation ratios and dividends to estimate duration, analyzing the discount rate effect.
result Valuation duration is negatively correlated with market returns, with a robust out-of-sample R2 of 15%.
Paper simplifies default process modeling and credit valuation.
problem Modeling and pricing derivative securities with credit risk.
method Integrates default process, probability, and correlation into a unified framework.
result Risky valuation is Martingale in the proposed model.
Business cycles affect startup valuations, both directly and indirectly.
problem How do business cycles impact startup valuations?
method Structural Equation Model approach using a dataset of 1,089 venture capital investments.
result Business cycles impact startup valuations both directly and indirectly.
Researchers create a framework to value player actions in CSGO.
problem Lack of accessible data and analytical frameworks for esports players.
method Data model, graph distance measure, context-aware framework.
result Demonstrated framework's consistency and independence compared to existing methods.
Classification of SL(n) covariant valuations on Orlicz spaces.
problem Classifying continuous SL(n) covariant valuations on Orlicz spaces.
method Complete classification without symmetric assumptions, focusing on moment matrix and a new functional in dimension two.
result The moment matrix is the only SL(n) covariant valuation for n≥3, and a new functional appears in dimension two.
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.
problem Classifying contravariant matrix-valued valuations on polytopes without continuity assumptions.
method Complete classification of contravariant matrix-valued valuations on polytopes in R n \mathbb{R}^n R n without continuity assumptions. result The only such valuation is the general Lutwak-Yang-Zhang matrix in dimension n ≥ 4 n \geq 4 n ≥ 4 , and a new function in dimension 3. Study evaluates valuation models for UK companies using case studies.
problem Determining how accounting numbers affect business value.
method Comprehensive review of three valuation models: FCFVM, REVM, AEGM.
result Accounting numbers through valuation models can affect business value.
Models value assets based on non-devaluation, creating global valuation formulas.
problem Valuation of assets that can potentially lose value.
method Conditioning on non-devaluation, using each asset as a numéraire, and aggregating local valuation rules.
result Global arbitrage-free valuation formulas can be derived from local rules.
The paper extends the convolution operator to non-smooth valuations using geometric inequalities.
problem Extending the convolution operator to non-smooth valuations.
method Using geometric inequalities derived from optimal transport methods.
result Constructing a continuous extension of the convolution operator on smooth valuations to non-smooth valuations.
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.
problem Computing values of valuations on complex space forms.
method Develops tube formulas for valuations in complex space forms and generalizes classical formulas.
result Generalizes classical formulas of Weyl, Gray and others.
Study kinematic formulas for quaternionic plane valuations.
problem Kinematic formulas for quaternionic plane valuations.
method Introduced different bases and determined kinematic formulas.
result Complete set of kinematic formulas for quaternionic plane valuations.
Value-tracking in financial markets breaks down when non-valuation-based traders dominate.
problem Understanding the threshold for value-tracking in financial markets.
method Simple discrete-time model to show how non-valuation-based traders can cause tracking errors.
result A threshold above which value-tracking breaks down without changes in asset value.
This paper addresses credit valuation adjustment with a new closeout convention.
problem Accurate estimation of financial claim value considering counterparty credit risk.
method Theoretical and computational analysis of a nonlinear valuation system using neural networks.
result A neural network-based algorithm effectively solves the high-dimensional nonlinear valuation system.
Existence of smooth valuations on subspaces is shown for certain conditions.
problem Existence of smooth valuations on subspaces with given restrictions.
method Analyzing compatibility and using recursive descriptions of the cosine transform.
result Compatibility is sufficient for extensibility in certain regimes.
Classifies SL(n) covariant matrix-valued valuations on Lp-spaces.
problem Classifying SL(n) covariant matrix-valued valuations on Lp-spaces.
method Established a complete classification for continuous and SL(n) covariant matrix-valued valuations on Lp(Rn,|x|2dx), eliminating matrix symmetry assumption.
result Unique characterization of such valuations by the moment matrix in n>2, rotation matrix in 2D.