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.
Model for valuing inflation-linked interest rate derivatives.
We construct models for the pricing and risk management of inflation-linked derivatives. The models are rational in the sense that linear payoffs written on the consumer price index have prices that are rational functions of the state variables. The nominal pricing kernel is constructed in a multiplicative manner that …
We derive simple return models for several classes of bond portfolios. With only one or two risk factors our models are able to explain most of the return variations in portfolios of fixed rate government bonds, inflation linked government bonds and investment grade corporate bonds. The underlying risk factors have nat…
We discuss an optimal investment, consumption and insurance problem of a wage earner under inflation. Assume a wage earner investing in a real money account and three asset prices, namely: a real zero coupon bond, the inflation-linked real money account and a risky share described by jump-diffusion processes. Using the…
We propose a class of discrete-time stochastic models for the pricing of inflation-linked assets. The paper begins with an axiomatic scheme for asset pricing and interest rate theory in a discrete-time setting. The first axiom introduces a "risk-free" asset, and the second axiom determines the intertemporal pricing rel…
We study an asset allocation stochastic problem with restriction for a defined-contribution pension plan during the accumulation phase. We consider a financial market with stochastic interest rate, composed of a risk-free asset, a real zero coupon bond price, the inflation-linked bond and the risky asset. A plan member…
Investment strategy for DC pension plan with inflation risk and tail VaR constraint.
In this paper incomplete-information models are developed for the pricing of securities in a stochastic interest rate setting. In particular we consider credit-risky assets that may include random recovery upon default. The market filtration is generated by a collection of information processes associated with economic…
Investigates optimal life insurance and annuity decisions in inflationary economies.
In this paper we introduce a class of information-based models for the pricing of fixed-income securities. We consider a set of continuous- time information processes that describe the flow of information about market factors in a monetary economy. The nominal pricing kernel is at any given time assumed to be given by …
The general problem of asset pricing when the discount rate differs from the rate at which an asset's cash flows accrue is considered. A pricing kernel framework is used to model an economy that is segmented into distinct markets, each identified by a yield curve having its own market, credit and liquidity risk charact…
Proposes a stochastic model for South African actuarial use.
Researchers found the Wigner derivative and its inverse are equal for spherical tetrahedra.
The paper shows objective derivatives are covariant derivatives on Riemannian metrics.
Computes derivatives of sections in vector bundles using Lie derivatives.
Paper proposes auction method for smart derivatives to avoid disputes.
Derivatives impact U.S. banking sector's systemic risk, but loan and leverage ratios are more significant.
This paper deals with the concept of curvature of framed space curves, their higher-order derivatives, variations, and co-rotational derivatives. We realize that parametrizing rotation tensor using the Gibbs vector is effective in deriving a closed form formula to obtain any order derivative of the curvature tensor as …
Schwarzian derivative connects to Euler-Lagrange equations in variational calculus.
Paper develops formulas for shape derivatives in wave scattering.
A simple theory of the covariant derivatives, deformed derivatives and relative covariant derivatives of multivector and multiform fields is presented using algebraic and analytical tools developed in previous papers.
Study compares Indian derivatives markets and finds NSE outperforming BSE.
Former physicists share insights on derivatives in interviews.
Introduces Darboux-Lie derivative for fiber bundles.
New derivations on diffeological spaces are not smooth, expanding tangent space definitions.
Develops derived differential geometry theory.
Derives spacetime regularity under specific curvature conditions.
In this article, we combine replication pricing with expectation pricing for derivative trades that are partially collateralized by cash. The derivatives are replicated by underlying assets and cash, using repurchasing agreement (repo) and margining, which incur funding costs. We derive a partial differential equation …
Approximates derivative pricing under fractional stochastic volatility.
We introduce and study a construction of higher derived brackets generated by a (not necessarily inner) derivation of a Lie superalgebra. Higher derived brackets generated by an element of a Lie superalgebra were introduced in our earlier work. Examples of higher derived brackets naturally appear in geometry and mathem…
We characterize the Lie derivative of spinor fields from a variational point of view by resorting to the theory of the Lie derivative of sections of gauge-natural bundles. Noether identities from the gauge-natural invariance of the first variational derivative of the Einstein(--Cartan)--Dirac Lagrangian provide restric…
We calculate the higher derivatives of length functions on Teichmuller space along earthquake deformations. This generalizes the cosine formula for the first derivative by Kerckhoff and Wolpert and the sine formula for second derivative by Wolpert.
Develops a new approach to study nonlinear PDEs and their singularities.
Derives derivatives of risk measures for various types of portfolio losses.
Optimizes material distribution on surfaces using topological derivatives.
Derives a formula for the k-th covariant derivative of tensor fields.
We present a unified derivation of covariant time derivatives, which transform as tensors under a time-dependent coordinate change. Such derivatives are essential for formulating physical laws in a frame-independent manner. Three specific derivatives are described: convective, corotational, and directional. The covaria…
Invariant covariant derivatives on homogeneous spaces are characterized.
Derives derivatives and geometric framework for functions with non-independent variables.
We explain how to translate several recent results in derived algebraic geometry to derived differential geometry. These concern shifted Poisson structures on NQ-manifolds, Lie groupoids, smooth stacks and derived generalisations, and include existence and classification of various deformation quantisations.
The problem of quantile hedging for basket derivatives in the Black-Scholes model with correlation is considered. Explicit formulas for the probability maximizing function and the cost reduction function are derived. Applicability of the results for the widely traded derivatives as digital, quantos, outperformance and …
In the spirit of Arrow-Debreu, we introduce a family of financial derivatives that act as primitive securities in that exotic derivatives can be approximated by their linear combinations. We call these financial derivatives signature payoffs. We show that signature payoffs can be used to nonparametrically price and hed…
Establishes equivalence between models of derived stacks.
New estimator for estimating derivatives in nonparametric regression.
We characterise the link of derivatives in measure, which are introduced in [AKR,Card,ORS] respectively by different means, for functions on the space of finite measures over a Riemannian manifold . For a reasonable class of functions , the extrinsic derivative coincides with the linear functio…
Estimates cross-impact on derivatives markets using E-Mini futures and options.
Let be a pseudo-Riemannian manifold. We propose a new approach for defining the conformal Schwarzian derivatives. These derivatives are 1-cocycles on the group of diffeomorphisms of related to the modules of linear differential operators. As operators, these derivatives do not depend on the rescaling of the…
Homotopy equivalence between formalities with different covariant derivatives.