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.
Optimal execution strategy for merger & acquisition contracts with price impact.
We consider a general framework of optimal mechanism design under adverse selection and ambiguity about the type distribution of agents. We prove the existence of optimal mechanisms under minimal assumptions on the contract space and prove that centralized contracting implemented via mechanisms is equivalent to delegat…
Optimal contracts help principals delegate data collection in decentralized ML.
Optimal contracts are found for agents with quadratic effort costs.
This paper investigates Pareto optimal (PO, for short) insurance contracts in a behavioral finance framework, in which the insured evaluates contracts by the rank-dependent utility (RDU) theory and the insurer by the expected value premium principle. The incentive compatibility constraint is taken into account, so the …
Optimal linear contracts are possible even with memory in Gaussian settings.
Optimal reinsurance contracts for multiple dependent risks are derived without specific dependency assumptions.
Study optimal contracts for pandemic risk, offering fixed shares and prevention mechanisms.
This work presents a methodology for forward electricity contract price projection based on market equilibrium and social welfare optimization. In the methodology supply and demand for forward contracts are produced in such a way that each agent (generator/load/trader) optimizes a risk adjusted expected value of its re…
The paper analyzes optimal investment strategies for life insurance contracts using mean-variance optimization.
In principal-agent models, a principal offers a contract to an agent to perform a certain task. The agent exerts a level of effort that maximizes her utility. The principal is oblivious to the agent's chosen level of effort, and conditions her wage only on possible outcomes. In this work, we consider a model in which t…
A reinsurance contract should address the conflicting interests of the insurer and reinsurer. Most of existing optimal reinsurance contracts only considers the interests of one party. This article combines the proportional and stop-loss reinsurance contracts and introduces a new reinsurance contract called proportional…
Paper uses relaxation techniques to find optimal brokerage fees with private signals.
This paper optimizes brokerage contracts for multiple clients trading a single asset.
Study optimal reinsurance contracts to prevent moral hazard under non-concave premium principles.
We consider an exchange who wishes to set suitable make-take fees to attract liquidity on its platform. Using a principal-agent approach, we are able to describe in quasi-explicit form the optimal contract to propose to a market maker. This contract depends essentially on the market maker inventory trajectory and on th…
New method optimizes share buyback contracts without optimal control's limitations.
In this paper, we construct a solution to the optimal contract problem for delegated portfolio management of the fist-best (risk-sharing) type. The novelty of our result is (i) in the robustness of the optimal contract with respect to perturbations of the wealth process (interpreted as capital injections), and (ii) in …
Study analyzes fees linked to VIX index in annuity contracts.
Following the recent literature on make take fees policies, we consider an exchange wishing to set a suitable contract with several market makers in order to improve trading quality on its platform. To do so, we use a principal-agent approach, where the agents (the market makers) optimise their quotes in a Nash equilib…
A large collection of financial contracts offering guaranteed minimum benefits are often posed as control problems, in which at any point in the solution domain, a control is able to take any one of an uncountable number of values from the admissible set. Often, such contracts specify that the holder exert control at a…
Paper presents LLM-enhanced contract metadata extraction.
We consider a contracting problem in which a principal hires an agent to manage a risky project. When the agent chooses volatility components of the output process and the principal observes the output continuously, the principal can compute the quadratic variation of the output, but not the individual components. This…
Investigates optimal withdrawal strategies in VA contracts with tax and ratchet mechanisms.
Agent optimizes perpetual contract liquidation with transaction costs and risk.
We introduce a two-agent problem which is inspired by price asymmetry arising from funding difference. When two parties have different funding rates, the two parties deduce different fair prices for derivative contracts even under the same pricing methodology and parameters. Thus, the two parties should enter the deriv…
Bayesian neural networks achieve optimal posterior contraction rates in Besov spaces with intrinsic dimensionality.
The paper analyzes reinsurance strategies in peer-to-peer insurance schemes.
Study optimizes smart contract adoption under high demand variability using Negative Binomial models.
Two methods for pricing swing contracts using neural networks or explicit functions.
In this paper we consider some insurance policies related to drawdown and drawup events of log-returns for an underlying asset modeled by a spectrally negative geometric Lévy process. We consider four contracts, three of which were introduced in Zhang et al. (2013) for a geometric Brownian motion. The first one is an i…
Study optimal reinsurance for insurers with a reinsurer's default risk.
Optimal insurance contract limits insurer's risk exposure variance.
In this paper, we analyse some equity-linked contracts that are related to drawdown and drawup events based on assets governed by a geometric spectrally negative Lévy process. Drawdown and drawup refer to the differences between the historical maximum and minimum of the asset price and its current value, respectively. …
We characterize the value of swing contracts in continuous time as the unique viscosity solution of a Hamilton-Jacobi-Bellman equation with suitable boundary conditions. The case of contracts with penalties is straightforward, and in that case only a terminal condition is needed. Conversely, the case of contracts with …
Optimal reinsurance contracts designed for a continuum of risk types.
New formulations capture aversion to ambiguity about volatility.
Study loan contracts in DLPs using derivatives pricing and neural networks.
In this paper, we combine modern portfolio theory and option pricing theory so that a trader who takes a position in a European option contract and the underlying assets can construct an optimal portfolio such that at the moment of the contract's maturity the contract is perfectly hedged. We derive both the optimal hol…
Optimizes capital structure for life insurance companies with surplus participation.
Under the optimal withdrawal strategy of a policyholder, the pricing of variable annuities with Guaranteed Minimum Withdrawal Benefit (GMWB) is an optimal stochastic control problem. The surrender feature available in marketed products allows termination of the contract before maturity, making it also an optimal stoppi…
A variable annuity contract with Guaranteed Minimum Withdrawal Benefit (GMWB) promises to return the entire initial investment through cash withdrawals during the policy life plus the remaining account balance at maturity, regardless of the portfolio performance. Under the optimal withdrawal strategy of a policyholder,…
New mortgage contracts reduce underwater default by adjusting loan balances, but must balance prepayment incentives.
Optimal reinsurance strategy with fixed cost and exponential preferences.
We analyze conditional optimization problems arising in discrete time Principal-Agent problems of delegated portfolio optimization with linear contracts. Applying tools from Conditional Analysis we show that some results known in the literature for very specific instances of the problem carry over to translation invari…
Bernard et al. (2015) study an optimal insurance design problem where an individual's preference is of the rank-dependent utility (RDU) type, and show that in general an optimal contract covers both large and small losses. However, their contracts suffer from a problem of moral hazard for paying more compensation for a…
The study calibrates neural networks' parameters through optimal contraction in prediction problems.
The main purpose of this paper is to formalize the modelling process, analysis and mathematical definition of corruption when entering into a contract between principal agent and producers. The formulation of the problem and the definition of concepts for the general case are considered. For definiteness, all calculati…