Derivative formulas on measure spaces of Riemannian manifolds are characterized.
problem Characterizing derivatives in measure spaces on Riemannian manifolds.
method Introducing and characterizing derivatives in measure spaces for functions on the space of finite measures over a Riemannian manifold.
result Derivatives in measure spaces for functions on Riemannian manifolds are linked and calculated.
Derives derivatives of risk measures for various types of portfolio losses.
problem Calculating precise risk measures for portfolio losses.
method Analyzes first and second order derivatives of risk measures for both continuous and discrete portfolio loss scenarios.
result Provides asymptotic results for conditional moments of heavy-tailed portfolio losses.
We investigate the relationship between measurable differentiable structures on doubling metric measure spaces and derivations. We prove: [1] a decomposition theorem for the module of derivations into free modules; [2] the existence of a measurable differentiable structure assuming that one can control the pointwise up…
Derives formulas for Monge-Ampère measures and reduces complex conjectures to simpler existence problems.
problem Complex Monge-Ampère measures and their applications in algebraic geometry.
method Derives formulas and reduces conjectures to simpler existence problems.
result Reduces uniform Yau-Tian-Donaldson conjecture to existence of approximate decompositions.
The article provides representations of exchange option prices under SVJD dynamics.
problem Modeling and pricing exchange options under stochastic volatility and jumps.
method Develops representations for European and American exchange options using SVJD dynamics and equivalent martingale measures.
result Derives integro-partial differential equations and representations for exchange option prices.
Paper derives best- and worst-case GlueVaR measures with incomplete data.
problem Risk measurement with limited information and shape constraints.
method Unified framework based on partial distribution information and shape properties.
result Characterization of extremal GlueVaR distributions with convex envelopes.
Sharp estimates derived for quasilinear equations on metric measure spaces.
problem Estimating solutions and eigenvalues of quasilinear equations on smooth metric measure spaces.
method Sharp estimates derived using comparisons with one-dimensional equations.
result Optimal lower bounds for the first Dirichlet eigenvalue of quasilinear operators.
The paper bounds payoffs and option prices in discrete models.
problem Measuring risk in discrete models and incomplete markets.
method Analytical and simulated bounds for payoff functions and option prices.
result Analytical and simulated bounds for European and American options.
Derives RL framework for systems without velocity or acceleration measurements.
problem Learning control for systems with limited sensor data.
method Gaussian Process Regression with a novel derivative-free kernel.
result Improved estimation performance and data-efficiency compared to traditional methods.
Framework for robust control under model uncertainty, improving financial derivatives hedging.
problem Model uncertainty in financial derivatives hedging.
method Dynamic programming principle for solving one-step optimization problems.
result Robust hedging strategy outperforms model-based strategies during adverse scenarios.
In this paper, we provide a representation theorem for dynamic capital allocation under It{ô}-L{é}vy model. We consider the representation of dynamic risk measures defined under Backward Stochastic Differential Equations (BSDE) with generators that grow quadratic-exponentially in the control variables. Dynamic capital …
New risk measures incorporate economic states to assess crude oil derivatives.
problem Assessing risk in crude oil derivatives with varying economic conditions.
method Introduced regime switching entropic risk measures using Markov chains.
result Closed formulae for risk measures derived, showing term structure and mean-reverting convenience yield.
Derives stability for curvature measure near constant density, proving dual Minkowski problem solutions.
problem Stability of curvature measure near constant density
method Derives stability result for curvature measure, proves existence and uniqueness of solutions to dual Minkowski problem.
result Existence and uniqueness of solutions to dual Minkowski problem for positive indices, stability result for curvature measure.
New method uses non-translation invariant risk measures for fair financial derivative pricing.
problem Inequalities in financial derivative pricing under traditional risk measures.
method Deep reinforcement learning with modified deep hedging algorithm.
result Effective pricing of financial derivatives without price inflation.
We review the nature of some well-known phenomena such as volatility smiles, convexity adjustments and parallel derivative markets. We propose that the market is incomplete and postulate the existence of intrinsic risks in every contingent claim as a basis for understanding these phenomena. In a continuous time framewo…
We consider the robust utility maximization using a static holding in derivatives and a dynamic holding in the stock. There is no fixed model for the price of the stock but we consider a set of probability measures (models) which are not necessarily dominated by a fixed probability measure. By assuming that the set of …
The paper derives risk measures for metalog distributions.
problem Deriving risk measures for metalog distributions.
method Closed-form expressions for Conditional Value at Risk and first-order partial moments.
result First-order partial moments are convex with respect to metalog parameters.
Optimal estimator derived for partially observable LTI systems.
problem Optimal estimator for partially observable LTI systems.
method State-space representation for derivation of optimal estimator.
result Derivation of minimum error variance estimator for partially observable LTI systems.
In this paper we propose the notion of dynamic deviation measure, as a dynamic time-consistent extension of the (static) notion of deviation measure. To achieve time-consistency we require that a dynamic deviation measures satisfies a generalised conditional variance formula. We show that, under a domination condition,…
For controlled discrete-time stochastic processes we introduce a new class of dynamic risk measures, which we call process-based. Their main features are that they measure risk of processes that are functions of the history of a base process. We introduce a new concept of conditional stochastic time consistency and we …
Generative model uses DDPMs for risk-neutral derivative pricing.
problem Derivative pricing using arbitrage-free models.
method Developed a framework using DDPMs to generate risk-neutral asset price dynamics.
result Empirically validated the method for both European and path-dependent derivatives.
Proposes a new derivative concept for nonlinear DRO problems.
problem Optimizing nonlinear functions in probability space with distributionally robust optimization.
method Introduces Gateaux derivative for smoothness and proposes a Frank-Wolfe algorithm.
result Validates theoretical results on portfolio selection problems with numerical validation.
New PAC-Bayes bounds derived using Legendre transform and f-divergences.
problem Deriving PAC-Bayes bounds under various assumptions.
method Combining Legendre transform and Fenchel--Young inequality to derive change-of-measure inequalities.
result Extended PAC-Bayesian guarantees under tailored assumptions.
The paper extends a measure preserving property to bi-Lipschitz maps between Moran sets.
problem Extending the measure preserving property to Moran sets.
method Analyzing bi-Lipschitz maps between Moran sets.
result Bi-Lipschitz maps between Moran sets preserve measure locally.
Formula derived for curvature in measure spaces.
problem Deriving sectional curvature in measure spaces.
method Explicit formula derivation for sectional curvature in M(M) with metrics HK and W2. result Curvature analysis in M(M) reveals both negative and positive components. We derive measure change formulae required to price midcurve swaptions in the forward swap annuity measure with stochastic annuities' ratios. We construct the corresponding linear and exponential terminal swap rate pricing models and show how they capture the midcurve swaption correlation skew.
We study the problem of estimating, in the sense of optimal transport metrics, a measure which is assumed supported on a manifold embedded in a Hilbert space. By establishing a precise connection between optimal transport metrics, optimal quantization, and learning theory, we derive new probabilistic bounds for the per…
In this paper we present a theoretical framework for determining dynamic ask and bid prices of derivatives using the theory of dynamic coherent acceptability indices in discrete time. We prove a version of the First Fundamental Theorem of Asset Pricing using the dynamic coherent risk measures. We introduce the dynamic …
We develop a method for quantile-based sensitivity analysis in models with discontinuities.
problem Uncertainty in interpreting discontinuous models using traditional derivatives.
method Quantile-based derivatives for discontinuous models with discrete inputs.
result Derivatives of quantile-based outputs are well-defined and provide meaningful insights.
Paper uses Wasserstein distance to improve risk measure bounds.
problem Improving concentration bounds for various risk measures.
method Unified approach based on Wasserstein distance to derive bounds for two risk measure classes.
result Bounds match or improve previous results for specific risk measures.
The paper derives Liouville theorems for various generalized maps on Riemannian manifolds.
problem Deriving Liouville theorems for generalized maps on Riemannian manifolds.
method Using conservation laws and monotonicity formulas, the paper derives Liouville theorems for different types of maps under various conditions.
result The paper establishes Liouville theorems for several types of generalized maps, including φ-F harmonic maps, φ-F symphonic maps, and φ-F-V-harmonic maps. In this paper we study time-consistent risk measures for returns that are given by a GARCH(1,1) model. We present a construction of risk measures based on their static counterparts that overcomes the lack of time-consistency. We then study in detail our construction for the risk measures Value-at-Risk (VaR) and Average…
We derive formulas for F measures' standard error and confidence intervals.
problem Estimating F measures' accuracy with confidence.
method Analytic formulas based on asymptotic normality.
result Valid formulas for sample size planning.
Derives stochastic and dissipative dynamics preserving Gibbs measure.
problem Understanding and deriving structure-preserving stochastic systems.
method Extension of Hamilton-Pontryagin principle, symmetry reduction, and inclusion of dissipation.
result New derivation of double-bracket dissipation.
Study on risk contributions of portfolios using lambda quantile risk measures.
problem No known allocation rule for non-positively homogeneous risk measures.
method Defined lambda quantiles on portfolio compositions, derived derivatives, and introduced generalized Euler contributions.
result Explicit formulae for the derivatives of lambda quantiles, showing their homogeneity properties.
Detects arbitrage in multi-asset derivatives markets.
problem Identifying arbitrage opportunities in multi-asset derivative markets.
method Using bijection between equivalent martingale measures and copulas, derived sufficient conditions for no-arbitrage and formulated an optimization problem.
result Constructs a market where individual derivatives are no-arb but collectively an arbitrage opportunity exists.
The paper deals with the possibly degenerate behaviour of the exterior derivative operator defined on 1-forms on metric measure spaces. The main examples we consider are the non self-similar Sierpinski carpets recently introduced by Mackay, Tyson and Wildrick. Although topologically one-dimensional, they may have pos…
Dual representations for robust risk measures and uncertainty sets.
problem Characterizing continuity of robust risk measures and their uncertainty sets.
method Develop dual representations for robust risk measures and uncertainty sets based on distinct geometric assumptions.
result Two dual frameworks for consolidated uncertainty sets are complementary, not interchangeable.
We develop a family of infinite-dimensional (non-parametric) manifolds of probability measures. The latter are defined on underlying Banach spaces, and have densities of class Cbk with respect to appropriate reference measures. The case k=∞, in which the manifolds are modelled on Fréchet spaces, is included.…
Paper proves equivalences in portfolio optimization with new risk measures.
problem Portfolio optimization with novel risk measures.
method Derive subgradients and gradients for negative expectile and omega ratio.
result Negative expectile can be used as a portfolio optimization objective.
New optimal transport divergences derived from scoring functions.
problem Developing new divergences for optimal transport.
method Using scoring functions as cost functions in optimal transport.
result Comonotonic coupling is optimal for many new divergences.
The paper derives gradient estimates for porous medium and fast diffusion equations on metric measure spaces.
problem Gradient estimates for porous medium and fast diffusion equations on metric measure spaces.
method Derives Li-Yau and Souplet-Zhang type gradient estimates for the given equations.
result Gradient estimates for the equations on complete noncompact metric measure spaces with compact boundary.
Paper calculates robust FVA for OTC derivatives under distributional uncertainty.
problem Distributional uncertainty in over the counter derivatives valuation.
method Wasserstein distance as ambiguity measure, dual formulation of robust FVA optimization.
result Additional FVA charge due to distributional uncertainty measured under various configurations.
Study on curvature measures in non-Euclidean spaces linked to Euclidean geometry.
problem Investigating curvature measures in spherical, hyperbolic, and de Sitter spaces.
method Establishing a unifying framework for curvature measures in real-analytic spaces of constant curvature.
result Floating bodies and duality in non-Euclidean spaces are connected to curvature measures in Euclidean space.
Study partial derivatives on non-smooth metric measure structures.
problem Understanding partial derivatives in non-smooth settings.
method Extension of Schwarz's theorem and analysis of Sobolev regularity.
result Complete set of results relating properties of functions in non-smooth spaces.
We derive integral tests for the existence and absence of arbitrage in a financial market with one risky asset which is either modeled as stochastic exponential of an Ito process or a positive diffusion with Markov switching. In particular, we derive conditions for the existence of the minimal martingale measure. We al…
Different approaches to defining dynamic market risk measures are available in the literature. Most are focused or derived from probability theory, economic behavior or dynamic programming. Here, we propose an approach to define and implement dynamic market risk measures based on recursion and state economy representat…
Paper calculates robust XVA for derivatives under distributional uncertainty using Wasserstein distance.
problem Distributional uncertainty in over-the-counter derivatives pricing.
method Wasserstein distance as ambiguity measure, dual formulations derived using Lagrangian duality.
result Characterization and quantification of wrong-way counterparty credit and funding risks.