arXiv research

Computes tube formulas for valuations in complex space forms.

We study the space of generalized translation invariant valuations on a finite-dimensional vector space and construct a partial convolution which extends the convolution of smooth translation invariant valuations. Our main theorem is that McMullen's polytope algebra is a subalgebra of the (partial) convolution algebra …

Develops auction theory for real-life applications with positive valuations.

In this paper, we endow the space of continuous translation invariant valuation on convex sets generated by mixed volumes coupled with a suitable Radon measure on tuples of convex bodies with two appropriate norms. This enables us to construct a continuous extension of the convolution operator on smooth valuations to n…

The purpose of this paper is introducing rigorous methods and formulas for bilateral counterparty risk credit valuation adjustments (CVA's) on interest-rate portfolios. In doing so, we summarize the general arbitrage-free valuation framework for counterparty risk adjustments in presence of bilateral default risk, as de…

This paper proposes a paradigm shift in the valuation of long term annuities, away from classical no-arbitrage valuation towards valuation under the real world probability measure. Furthermore, we apply this valuation method to two examples of annuity products, one having annual payments linked to a mortality index and…

Two new models improve option valuation for negative or mean reverting futures markets.

Proves hard Lefschetz theorem and Hodge-Riemann relations for convex valuations.

We give in explicit form the principal kinematic formula for the action of the affine unitary group on $\C^n$, together with a straightforward algebraic method for computing the full array of unitary kinematic formulas, expressed in terms of certain convex valuations introduced, essentially, by H. Tasaki. We introduce …

We introduce the general arbitrage-free valuation framework for counterparty risk adjustments in presence of bilateral default risk, including default of the investor. We illustrate the symmetry in the valuation and show that the adjustment involves a long position in a put option plus a short position in a call option…

Unified and noise-reduced data valuation framework for machine learning.

This is a continuation to the paper [arXiv:1511.08164] in which a problem of minimizing normalized volumes over $\mathbb{Q}$-Gorenstein klt singularities was proposed. Here we consider its relation with K-semistability, which is an important concept in the study of Kähler-Einstein metrics on Fano varieties. In particul…

Proves Hodge-Riemann relations for mixed valuations and strengthens geometric inequalities.

Study optimizes insurance liability cash flows with regulatory capital requirements.

For any $\mathbb{Q}$-Gorenstein klt singularity $(X,o)$, we introduce a normalized volume function $\widehat{\rm vol}$ that is defined on the space of real valuations centered at $o$ and consider the problem of minimizing $\widehat{\rm vol}$. We prove that the normalized volume has a uniform positive lower bound by pro…

We present a dialogue on Counterparty Credit Risk touching on Credit Value at Risk (Credit VaR), Potential Future Exposure (PFE), Expected Exposure (EE), Expected Positive Exposure (EPE), Credit Valuation Adjustment (CVA), Debit Valuation Adjustment (DVA), DVA Hedging, Closeout conventions, Netting clauses, Collateral …

Robust PDE method for path-dependent Asian-style options using MPDATA.

Robust HVA adjusts deep hedging policies for market frictions and transaction costs.

We introduce an arbitrage-free framework for robust valuation adjustments. An investor trades a credit default swap portfolio with a risky counterparty, and hedges credit risk by taking a position in defaultable bonds. The investor does not know the return rate of her counterparty's bond, but is confident that it lies …

Paper introduces new actuarial-consistent valuations for insurance liabilities.

The practice of valuation by marking-to-market with current trading prices is seriously flawed. Under leverage the problem is particularly dramatic: due to the concave form of market impact, selling always initially causes the expected leverage to increase. There is a critical leverage above which it is impossible to e…

Paper recovers uncertainty from dynamic valuation rules.

Paper introduces a new pricing model for Uniswap V3 positions.

Study convolution of invariant valuations on Lie groups.

Study proposes a new model for joint survival annuity valuation.

SL(n) covariant valuations on Orlicz spaces are represented and characterized.

Market valuation duration is 175 years, but drops to 46 years during crises.

Paper simplifies default process modeling and credit valuation.

Business cycles affect startup valuations, both directly and indirectly.

We develop a multi-curve term structure setup in which the modelling ingredients are expressed by rational functionals of Markov processes. We calibrate to LIBOR swaptions data and show that a rational two-factor lognormal multi-curve model is sufficient to match market data with accuracy. We elucidate the relationship…

A version of indifference valuation of a European call option is proposed that includes statistical regularities of nonstochastic randomness. Classical relations (forward contract value and Black-Scholes formula) are obtained as particular cases. We show that in the general case of nonstochastic randomness the minimal …

Classification of SL(n) covariant valuations on Orlicz spaces.

We prove new kinematic formulas for tensor valuations and simplify previously known Crofton formulas by using the recently developed algebraic theory of translation invariant valuations. The heart of the paper is the computation of the Alesker-Fourier transform on the large class of spherical valuations, which is achie…

Classifies contravariant matrix-valued valuations on polytopes without continuity assumptions.

Let $\mathrm{SO}^+(p,q)$ denote the identity connected component of the real orthogonal group with signature $(p,q)$. We give a complete description of the spaces of continuous and generalized translation- and $\mathrm{SO}^+(p,q)$-invariant valuations, generalizing Hadwiger's classification of Euclidean isometry-invari…

Study evaluates valuation models for UK companies using case studies.

This paper provides intuition on the relationship of accrual and mark-to-market valuation for cash and forward interest rate trades. Discounted cashflow valuation is compared to spread-based valuation for forward trades, which explains the trader's view on valuation. This is followed by Taylor series approximation for …

The classification of continuous, translation invariant Minkowski valuations which are contravariant (or covariant) with respect to the complex special linear group is established in a 2-dimensional complex vector space. Every such valuation is given by the sum of a valuation of degree of homogeneity 1 and 3. In dimens…

Value-tracking in financial markets breaks down when non-valuation-based traders dominate.

Enhances financial market valuation and trading algorithms using distributional value functions.

This paper addresses credit valuation adjustment with a new closeout convention.

Classifies SL(n) covariant matrix-valued valuations on Lp-spaces.

Existence of smooth valuations on subspaces is shown for certain conditions.

Develops a new method to study algebraic tangent cones of sheaves using valuations.

We study the properties of the multiplicative structure on valuations on convex sets. We prove a new version of the hard Lefschetz theorem for even translation invariant continuous valuations, and discuss related problems of integral geometry. Then we formulate a conjectural analogue of this result for odd valuations.

Fair market valuations ignore future worker profits in employee-owned firms.

We give an explicit classification of translation-invariant, Lorentz-invariant continuous valuations on convex sets. We also classify the Lorentz-invariant even generalized valuations.

A description of continuous rigid motion compatible Minkowski valuations is established. As an application, we present a Brunn-Minkowski type inequality for intrinsic volumes of these valuations.