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.
Paper revisits HVA to address model risk in banking.
Fair market valuations ignore future worker profits in employee-owned firms.
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…
New framework values football players based on in-game interactions.
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…
Enhances data valuation by integrating global and local statistical properties.
Paper introduces a new principle for fair redistribution of insurance surplus.
Efficient WKNN-Shapley computation improves data valuation accuracy.
Paper develops framework for valuing and assessing credit risk in renewable PPAs.
Financial models are studied where each asset may potentially lose value relative to any other. Conditioning on non-devaluation, each asset can serve as proper numéraire and classical valuation rules can be formulated. It is shown when and how these local valuation rules can be aggregated to obtain global arbitrage-fre…
WassFFed addresses fairness in Federated Learning by ensuring consistency between local and global models.
The rise of algorithmic decision making led to active researches on how to define and guarantee fairness, mostly focusing on one-shot decision making. In several important applications such as hiring, however, decisions are made in multiple stage with additional information at each stage. In such cases, fairness issues…
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…
This paper improves financial derivative pricing by incorporating multiple hedging instruments.
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,…
Paper compares neural networks and time-series models for weather derivative pricing.
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…
Market valuation duration is 175 years, but drops to 46 years during crises.
This work addresses local fairness in machine learning models.
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…
Despite being described as a medium of exchange, cryptocurrencies do not have the typical attributes of a medium of exchange. Consequently, cryptocurrencies are more appropriately described as crypto assets. A common investment attribute shared by the more than 2,500 crypto assets is that they are highly volatile. An i…
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…
Model shows partial compliance can lead to less fair outcomes than expected.
New method improves fairness of facial recognition systems.
This work improves fairness in federated learning by using zero-shot data augmentation.
Study on CFMMs pricing and hedging, developing models for LP and derivatives valuation.
Improves global counterfactual explanations for model recourse.
We survey recent results in hermitian integral geometry, i.e. integral geometry on complex vector spaces and complex space forms. We study valuations and curvature measures on complex space forms and describe how the global and local kinematic formulas on such spaces were recently obtained. While the local and global k…
A new federated learning framework ensures fairness and robustness.
Gradient boosting method enforced with individual fairness.
The paper tackles fairness in forecasting and learning linear dynamical systems.
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…
Researchers create a framework to value player actions in CSGO.
Simplifies complex pricing models for better interpretability and revenue.
Extends micro-price concept to RFQ markets for fair pricing.
Paper refutes EM convergence theory and introduces a new EM algorithm.
The paper analyzes GMWB annuities in low interest rate environments.
In this paper we introduce the notion of cofrontal mappings, as the dual objects to frontal mappings, and study their basic local and global properties. Cofrontals are very special mappings and far from generic nor stable except for the case of submersions. It is observed that any smooth mapping can be -approximat…
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…
Study on collateral currency impact in differential swaps valuation.
Paper tackles fairness in CCA by minimizing correlation disparity error.
FairGP uses graph partitioning to make Graph Transformers fair and scalable.
We study a notion of good-deal hedging, that corresponds to good-deal valuation for generalized good-deal constraints. Under model uncertainty about the market prices of risk of hedging assets, a robust approach leads to a reduction or even elimination of a speculative component in good-deal hedging, which is shown to …