We propose a general framework for the simultaneous modeling of equity, government bonds, corporate bonds and derivatives. Uncertainty is generated by a general affine Markov process. The setting allows for stochastic volatility, jumps, the possibility of default and correlation between different assets. We show how to…
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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.
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48 results for “power-payoff derivatives”
Study determines Lévy exponent from derivative prices.
problem Determine Lévy exponent in asset pricing models.
method Analyzes power-payoff derivatives to infer Lévy exponent structure.
result Lévy exponent can be determined from derivative prices.
Researchers found the Wigner derivative and its inverse are equal for spherical tetrahedra.
problem Computing the relationship between dihedral angles and edge lengths in tetrahedra.
method Computed the Wigner derivative and its inverse for spherical tetrahedra.
result The Wigner derivative and its inverse are equal for spherical tetrahedra.
Paper derives formulas for higher-order curvature derivatives of framed space curves.
problem Deriving exact formulas for higher-order derivatives of curvature of framed space curves.
method Parametrizing rotation tensor using Gibbs vector, deriving closed-form formulas for derivatives, and formulating a linearized updating algorithm.
result Closed-form formulas and a linearized updating algorithm for curvature and its derivatives of framed space curves.
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.
The paper shows objective derivatives are covariant derivatives on Riemannian metrics.
problem The definition and interpretation of objective derivatives in continuum mechanics.
method Demonstrates that objective derivatives correspond to covariant derivatives on the manifold of Riemannian metrics.
result Objective derivatives are unified as covariant derivatives on the manifold of Riemannian metrics.
Computes derivatives of sections in vector bundles using Lie derivatives.
problem Computing time derivatives of sections in natural vector bundles.
method Extending a lemma to compute Lie derivatives of sections of natural vector bundles.
result Computed derivatives of sections in vector bundles using Lie derivatives.
Nonparametric pricing and hedging of exotic derivatives using signature payoffs.
problem Pricing and hedging exotic derivatives accurately and efficiently.
method Introducing signature payoffs and using them to approximate and price exotic derivatives nonparametrically.
result Signature payoffs enable accurate and computationally tractable pricing and hedging of exotic derivatives.
Paper proposes auction method for smart derivatives to avoid disputes.
problem Disputes over derivative liquidation processes in smart contracts.
method Defines an auction type resolution for smart derivatives.
result Proposes a beneficial method for smart derivatives participants.
Derivatives impact U.S. banking sector's systemic risk, but loan and leverage ratios are more significant.
problem Systemic risk in U.S. banking sector due to derivatives and loans.
method Analysis of derivatives and loan data to assess systemic risk.
result Loan and leverage ratios are more influential in systemic risk than derivatives holdings.
Schwarzian derivative connects to Euler-Lagrange equations in variational calculus.
problem Understanding the relationship between the Schwarzian derivative and variational equations.
method Analyzing the Schwarzian derivative as a first integral and Euler-Lagrange operator for specific variations.
result The Schwarzian derivative is both a first integral and the Euler-Lagrange operator for a certain class of variations.
Paper develops formulas for shape derivatives in wave scattering.
problem Computing high order shape derivatives for wave scattering is challenging.
method Introduces elegant recurrence formulas using differential forms and Lie derivatives.
result Unified framework for computing high order shape perturbations in scattering problems.
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.
problem Lack of strong regulations and robust framework in Indian derivatives market.
method Comparison of performance of derivatives in BSE and NSE, analysis of derivatives with cash market and market volatility.
result NSE derivatives outperform BSE, need stronger regulations.
Former physicists share insights on derivatives in interviews.
problem Understanding physics in finance interview questions.
method Interviews with former physicists in finance.
result Compilation of physics-related interview answers.
Darboux-Lie derivativesmath.DG
Introduces Darboux-Lie derivative for fiber bundles.
problem None explicitly stated; focuses on introducing a new derivative.
method Study of Darboux-Lie derivative for fiber-bundle maps.
result Properties of Darboux-Lie derivative for fiber bundles.
New derivations on diffeological spaces are not smooth, expanding tangent space definitions.
problem Lack of smoothness in derivations on diffeological spaces.
method Examined derivations satisfying the Leibniz rule but not smooth with respect to given diffeology.
result Tangent space defined via all derivations is larger than one defined using only smooth derivations.
Develops derived differential geometry theory.
problem Homotopy and intersection in smooth manifolds.
method Using -algebras and homotopy transfer.
result Derived manifolds form a category of fibrant objects.
Derives spacetime regularity under specific curvature conditions.
problem Ensuring smoothness in spacetime models with given curvature constraints.
method General regularity estimate for 4-d spacetimes, using Ricci curvature and Lie derivatives.
result Establishes conditions for smoothness in spacetime models.
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.
problem Derivative pricing under fractional stochastic volatility model.
method Approximate expression derived from deterministic functions and fractional Ornstein-Uhlenbeck process.
result Numerical simulations show the feasibility and effect of long-range dependencies on derivative prices.
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.
Derives sharp Sobolev trace inequalities for higher order derivatives on balls and half-spaces.
problem Sharp Sobolev trace inequalities for higher order derivatives.
method Scattering theory on hyperbolic spaces, generalized Poisson kernel, explicit formulas of extremal functions.
result Explicit formulas of extremal functions and sharp trace Sobolev inequalities.
Develops a new approach to study nonlinear PDEs and their singularities.
problem Understanding the propagation domains of solutions to nonlinear PDEs.
method Derived geometric machinery and sheaf theory to study nonlinear PDEs and their singular supports.
result Estimates the domains of propagation for solutions of non-linear systems.
Derivatives of Risk Measuresq-fin.RM
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.
Optimizes material distribution on surfaces using topological derivatives.
problem Optimal distribution of two materials on smooth submanifolds in .
method Topological derivative approach for shape optimization constrained by PDEs.
result Numerical solution of topology optimization problem on surfaces.
Derives a formula for the k-th covariant derivative of tensor fields.
problem Finding a formula for the k-th covariant derivative of tensor fields.
method Introducing symbols P and Q depending on Christoffel symbols, deriving a formula (3.1).
result 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.
problem Understanding invariant covariant derivatives on homogeneous spaces.
method Expressing covariant derivatives in terms of horizontally lifted vector fields and bilinear maps.
result Existence and characterization of invariant covariant derivatives.
Derives derivatives and geometric framework for functions with non-independent variables.
problem Characterizing functions with non-independent variables in probabilistic models.
method Derives actual and dependent partial derivatives, dependent Jacobian matrix, and tensor metric.
result Derives gradient, Hessian, and Taylor expansion 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 …
Establishes equivalence between models of derived stacks.
problem Tackles the equivalence between different models of derived geometry.
method Uses Quillen equivalence to show categories of higher derived stacks are equivalent.
result Shows equivalence among models of derived manifolds, Carchedi-Roytenberg, Behrend-Liao-Xu, and Alexandrov-Kontsevich-Schwarz-Zaboronsky.
New estimator for estimating derivatives in nonparametric regression.
problem Estimating derivatives of regression functions.
method Plug-in kernel ridge regression (KRR) estimator.
result Plug-in property for derivatives estimation, optimal rate of convergence.
Estimates cross-impact on derivatives markets using E-Mini futures and options.
problem Empirical estimation of cross-impact on complex financial instruments like derivatives.
method Modeling derivatives prices as a function of stochastic factors and trades on both factors and derivatives.
result Simple framework successfully captures cross-impact on derivatives markets.
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.
problem Formality of Dolgushev depends on covariant derivative choice.
method Proved homotopy equivalence of -morphisms twisted by gauge equivalent elements.
result Globalized formalities with different covariant derivatives are homotopic.
The Sinkhorn-Knopp derivatives converge with linear rate.
problem Optimal transport problem with entropic regularization.
method Iterative proportional fitting procedure.
result Derivatives converge with linear rate.
The paper provides an efficient method to price path-dependent derivatives using multiscale stochastic volatility models.
problem Pricing path-dependent derivatives under multiscale stochastic volatility models.
method Derives a Malliavin representation for the first-order approximation of the price of path-dependent derivatives.
result An efficient Monte Carlo approximation for pricing path-dependent derivatives is derived.
Derivative estimates for pluriclosed flow control curvature and torsion.
problem Deriving derivative estimates for the pluriclosed flow.
method Control higher order derivatives of Chern curvature and torsion using Chern curvature; derive an estimate for torsion tensor using Chern Ricci curvature in dimension two; find a monotonic quantity in Hermitian-symplectic case.
result All Hermitian-symplectic solitons are Kähler Ricci solitons.
Arora, Barak, Brunnermeier, and Ge showed that taking computational complexity into account, a dishonest seller could strategically place lemons in financial derivatives to make them substantially less valuable to buyers. We show that if the seller is required to construct derivatives of a certain form, then this pheno…
PDEs for pricing interest rate derivatives under the new generalized Forward Market Model (FMM)q-fin.PR
Derives PDEs for pricing RFR derivatives under a new FMM model.
problem Valuation of interest rate derivatives under a new FMM model.
method Develops PDEs and finite differences methods for numerical solution.
result First use of PDE methods for RFR derivatives valuation.
Introduces a new geometric framework for non-perturbative BV-theory.
problem Non-perturbative generalization of BV-theory in infinite-dimensional spaces.
method Derived differential geometry and homotopical algebraic geometry.
result Concrete model of derived smooth stacks for encoding non-perturbative BV-theory.
PAC-Bayesian bounds for stochastic LTI systems derived.
problem Error bounds for stochastic LTI systems.
method PAC-Bayesian theory applied to autonomous stochastic LTI models.
result Error bounds for stochastic LTI systems derived.
Quantum computing speeds up interest rate derivative pricing using LMM.
problem Challenges in pricing interest rate derivatives, especially caps.
method Hybrid classical-quantum approach using quantum amplitude estimation.
result Quantum computing improves convergence in pricing interest rate derivatives.
Study derived Lie ∞-groupoids and algebroids in higher differential geometry.
problem Addressing problems in higher differential geometry using derived Lie ∞-groupoids and algebroids.
method Construct CFO structures, study L∞-algebroids, homotopical algebras, and homotopy-coherent representations.
result Construct Atiyah classes for L∞-algebroids pairs and study singular foliations and their holonomies.