arXiv research

Study callable convertible bonds with liquidity constraints, generalizing previous work.

Automated theorem prover proves non-orderability of groups.

Study the topology of loops of contactomorphisms and Legendrians in non-orderable manifolds.

Algorithm confirms non-order-preserving braids, proving infinite family not order-preserving.

We show that Dehn filling on the manifold $v2503$ results in a non-orderable space for all rational slopes in the interval $(-\infty , -1)$. This is consistent with the L-space conjecture, which predicts that all fillings will result in a non-orderable space for this manifold.

The classical reduced-form and filtration expansion framework in credit risk is extended to the case of multiple, non-ordered defaults, assuming that conditional densities of the default times exist. Intensities and pricing formulas are derived, revealing how information driven default contagion arises in these models.…

We show that several torsion free 3-manifold groups are not left-orderable. Our examples are groups of cyclic branched covers of S^3 branched along links. The figure eight knot provides simple nontrivial examples. The groups arising in these examples are known as Fibonacci groups which we show not to be left-orderable.…

Method constructs CFMMs matching desired payoffs.

Optimal payoff choice constrained by Bregman-Wasserstein divergence.

Optimal portfolio yields a digital option payoff.

Study finds cheapest possible payoff under ambiguity, linking to maxmin expected utility.

We introduce signature payoffs, a family of path-dependent derivatives that are given in terms of the signature of the price path of the underlying asset. We show that these derivatives are dense in the space of continuous payoffs, a result that is exploited to quickly price arbitrary continuous payoffs. This approach …

The paper uncovers the impact of price and payoff autocorrelations in multi-period asset pricing models.

New method uses neural networks for better financial hedging.

Paper shows how to replicate payoffs without oracles in CFMMs.

We study a non-parametric multi-armed bandit problem with stochastic covariates, where a key complexity driver is the smoothness of payoff functions with respect to covariates. Previous studies have focused on deriving minimax-optimal algorithms in cases where it is a priori known how smooth the payoff functions are. I…

Develops a new method for robust risk measurement by averaging nearby payoffs.

Agent optimizes perpetual contract liquidation with transaction costs and risk.

Multi-armed bandit problems are the most basic examples of sequential decision problems with an exploration-exploitation trade-off. This is the balance between staying with the option that gave highest payoffs in the past and exploring new options that might give higher payoffs in the future. Although the study of band…

New findings show pure strategy equilibria are more robust in a war of attrition game.

We study the use of the multilevel Monte Carlo technique in the context of the calculation of Greeks. The pathwise sensitivity analysis differentiates the path evolution and reduces the payoff's smoothness. This leads to new challenges: the inapplicability of pathwise sensitivities to non-Lipschitz payoffs often makes …

New algorithms for stochastic linear bandits with heavy-tailed payoffs achieve nearly optimal regret.

The game-theoretic risk management framework put forth in the precursor work "Towards a Theory of Games with Payoffs that are Probability-Distributions" (arXiv:1506.07368 [q-fin.EC]) is herein extended by algorithmic details on how to compute equilibria in games where the payoffs are probability distributions. Our appr…

Study of $2 imes 2$ zero-sum games with noisy observations and commitments.

This paper studies robust payoff allocation in submodular games, especially against replication.

We study the problem of repeated play in a zero-sum game in which the payoff matrix may change, in a possibly adversarial fashion, on each round; we call these Online Matrix Games. Finding the Nash Equilibrium (NE) of a two player zero-sum game is core to many problems in statistics, optimization, and economics, and fo…

Study on optimal information acquisition in Kyle model with entropy cost.

We derive a formula for liquidity providers' payoff on DEXs, linking it to volatility.

In an online contract selection problem there is a seller which offers a set of contracts to sequentially arriving buyers whose types are drawn from an unknown distribution. If there exists a profitable contract for the buyer in the offered set, i.e., a contract with payoff higher than the payoff of not accepting any c…

The paper examines bounds for stop-loss payoffs using transformed random variables.

New decision-theoretic calibration error metric improves prediction reliability.

Quantum Monte Carlo speeds up option pricing for complex payoff functions.

New method uses DistRL to estimate entire payoff distribution for financial derivatives.

We consider a sequential learning problem with Gaussian payoffs and side information: after selecting an action $i$, the learner receives information about the payoff of every action $j$ in the form of Gaussian observations whose mean is the same as the mean payoff, but the variance depends on the pair $(i,j)$ (and may…

The study proves properties of spectral selectors for contact manifolds and applies them to contact big fibers and geodesics.

Novel approach to financial derivatives pricing using rough path theory.

New algorithms improve on bandit feedback in matrix games with unknown payoff matrices.

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…

Paper defines saddle points in asymmetric Dynkin games using martingale theory.

In this work, we expand the idea of Samuelson[3] and Shepp[2,5,6] for stock optimization using the Bachelier model [4] as our models for the stock price at the money (X[stock price]= K[strike price]) for the American call and put options [1]. At the money (X= K) for American options, the expected payoff of both the cal…

The portfolio optimization problem is a basic problem of financial analysis. In the study, an optimization model for constructing an options portfolio with a certain payoff function has been proposed. The model is formulated as an integer linear programming problem and includes an objective payoff function and a system…

The paper bounds payoffs and option prices in discrete models.

Game theory model shows optimal investment strategy for wealth growth.

This paper studies the payoff amounts in simple interest loans without arbitrage.

A new method for calculating ES from VaR under Solvency II.

In this article, we show how the scaling symmetry of the SABR model can be utilized to efficiently price European options. For special kinds of payoffs, the complexity of the problem is reduced by one dimension. For more generic payoffs, instead of solving the 1+2 dimensional SABR PDE, it is sufficient to solve $N_V$ u…

In this paper we consider Dynkin's games with payoffs which are functions of an underlying process. Assuming extended weak convergence of underlying processes $\{S^{(n)}\}_{n=0}^{\infty}$ to a limit process $S$ we prove convergence Dynkin's games values corresponding to $\{S^{(n)}\}_{n=0}^{\infty}$ to the Dynkin's game…

In this paper we propose a new robust algorithm to find the optimal static replicating portfolios for general nonlinear payoff functions and give the estimate of the rate of convergence that is absent in the literature. We choose the static replication by minimizing the error bound between the nonlinear payoff function…