qBitcoin uses quantum teleportation for secure, fast transactions.
problem Preventing double-spending in quantum cash systems.
method Uses quantum teleportation and quantum chain for secure, fast transactions.
result Security and speed of qBitcoin are guaranteed by quantum information theory.
Quantum theory is used to model secondary financial markets. Contrary to stochastic descriptions, the formalism emphasizes the importance of trading in determining the value of a security. All possible realizations of investors holding securities and cash is taken as the basis of the Hilbert space of market states. The…
We propose and discuss some toy models of stock markets using the same operatorial approach adopted in quantum mechanics. Our models are suggested by the discrete nature of the number of shares and of the cash which are exchanged in a real market, and by the existence of conserved quantities, like the total number of s…
Study cash-subadditive risk measures without quasi-convexity.
problem Cash subadditivity without quasi-convexity.
method Represent cash-subadditive risk measures as lower envelopes of quasi-convex measures and introduce quasi-star-shapedness.
result General cash-subadditive risk measures can be represented as lower envelopes of quasi-convex measures.
The paper fits cash management models to data using stochastic and linear programming.
problem Cash flow probability distribution assumptions in cash management models are relaxed.
method Stochastic and linear programming to fit models to data.
result A small random sample of data is sufficient to fit bound-based models.
PyCaMa simplifies cash management with Python.
problem Optimal cash management with multiple bank accounts.
method Linear programming for multiobjective cash management.
result Derives optimal policies for cost and risk.
We propose a top-down model for cash CLO. This model can consistently price cash CLO tranches both within the same deal and across different deals. Meaningful risk measures for cash CLO tranches can also be defined and computed. This method is self-consistent, easy to implement and computationally efficient. It has the…
In this paper we aim to find a measure for the diversity of cash flows between agents in an economy. We argue that cash flows can be linked to probabilities of finding a currency unit in a given cash flow. We then use the information entropy as a natural measure of diversity. This leads to a hirarchical inequality meas…
A new class of risk measures called cash sub-additive risk measures is introduced to assess the risk of future financial, nonfinancial and insurance positions. The debated cash additive axiom is relaxed into the cash sub additive axiom to preserve the original difference between the numeraire of the current reserve amo…
A modular cash-overlay rule for allocating between a fixed growth-defensive risky sleeve and interest-bearing cash.
problem Drawdown control
method Continuous cash-overlay filters
result Earnings an 18.83% CAGR versus 16.62% for 100% R
ADMM solves constrained CASH problems by breaking them into smaller, manageable pieces.
problem Handling black-box constraints in CASH problems.
method Leverages ADMM optimization framework to decompose CASH problems.
result ADMM facilitates incorporation of black-box constraints.
Paper defines the payback period for nonconventional cash flows using axioms.
problem Defining the payback period for nonconventional cash flows is challenging.
method Used axiomatic approach to define the payback period.
result The last break-even point of the project balance is the only definition consistent with axioms.
Paper develops models to forecast private equity fund cash flows.
problem Limited literature on illiquid alternative asset cash flow forecasting.
method Develops benchmark model and two novel approaches (direct vs. indirect) using LSTM/GRU models and macroeconomic indicators.
result Direct model performs better and aligns with actual cash flows, but indirect model's performance is less clear.
Study reveals cash flow data is non-linear, impacting forecasting methods.
problem Assumptions of normality, correlation, and stationarity for daily cash flows are inaccurate.
method Comprehensive empirical analysis of real-world cash flow data from small and medium companies.
result Non-linearity is crucial for forecasting cash flows, challenging traditional methods.
Study examines cash conversion cycle in manufacturing firms, finding negative relationships with profitability and size.
problem Understanding cash conversion cycle in manufacturing firms and its impact on profitability and size.
method Empirical study of 30 manufacturing firms in Dhaka Stock Exchanges, categorizing them into six industries, analyzing industry averages and relationships with size and profitability.
result Negative relationship between cash conversion cycle and profitability, especially ROE; negative relationship with firm size in terms of net sales.
Cash management is concerned with optimizing the short-term funding requirements of a company. To this end, different optimization strategies have been proposed to minimize costs using daily cash flow forecasts as the main input to the models. However, the effect of the accuracy of such forecasts on cash management pol…
The basic financial purpose of corporation is creation of its value. Liquidity management should also contribute to realization of this fundamental aim. Many of the current asset management models that are found in financial management literature assume book profit maximization as the basic financial purpose. These boo…
Auto-CASH uses Deep Q-Network to automatically select machine learning algorithms.
problem Automatic selection of machine learning algorithms and hyperparameters.
method Pre-trained model based on meta-learning using Deep Q-Network.
result Auto-CASH achieves better performance with shorter time compared to classical and state-of-the-art methods.
Model cash management under ambiguity using maxmin preferences and diffusion.
problem Optimizing cash reserves in the presence of ambiguity.
method Singular control model with maxmin preferences, verified using Dynkin games.
result Higher expected costs and narrower inaction region under increased ambiguity.
A new framework tackles CASH problem with alternating optimization and Rising Bandits.
problem Efficiently solving the Combined Algorithm Selection and Hyperparameter optimization (CASH) problem.
method Alternating optimization framework using BO for HPO and Rising Bandits for algorithm selection.
result Demonstrated superiority over competitive baselines in extensive experiments.
Model predicts cash accumulation for assets with unknown prices.
problem Cash accumulation for assets with unpredictable future prices.
method Discretized Wiener Process matched using ordinary integrals.
result Model efficiently predicts cash accumulation for various asset scenarios.
We present an approach to market-consistent multi-period valuation of insurance liability cash flows based on a two-stage valuation procedure. First, a portfolio of traded financial instrument aimed at replicating the liability cash flow is fixed. Then the residual cash flow is managed by repeated one-period replicatio…
The study finds cash productivity predicts stock performance in a specific subset of firms.
problem Predicting future stock performance using cash productivity.
method Using financial and market data, calculated cash returns as a proxy for operational efficiency, and tested a long-only strategy on Nasdaq-listed non-financial firms.
result Cash productivity has significant predictive power in a handpicked portfolio but limited across the broader Nasdaq universe.
Study optimizes insurance liability cash flows with regulatory capital requirements.
problem Valuation of insurance liabilities under regulatory capital constraints.
method Multiple-prior optimal stopping theory applied to insurance liabilities, considering hypothetical transfer and repeated capital requirements.
result Proposes a valuation functional for non-replicable cash flows, incorporating a margin for regulatory capital considerations.
Study cash-flow forecasting for derivatives, aligning with replication strategy and addressing timing frictions.
problem Inconsistencies in cash-flow forecasting under different measures and stochastic payment times.
method Use discounting sensitivities (funding-curve hedge ratios) for replication and propose a liquidity valuation adjustment.
result Aligns forecasting with replication strategy and avoids measure-mixing issues.
We discuss risk measures representing the minimum amount of capital a financial institution needs to raise and invest in a pre-specified eligible asset to ensure it is adequately capitalized. Most of the literature has focused on cash-additive risk measures, for which the eligible asset is a risk-free bond, on the grou…
Investigates optimal withdrawal strategies in VA contracts with tax and ratchet mechanisms.
problem Optimizing withdrawal strategies and behavior of policyholders in VA contracts with tax and ratchet mechanisms.
method Solving a backward dynamic programming problem to optimize cash flows from VA contracts, considering hybrid products and taxation effects.
result Tax-shielding effect of the cash fund enhances contract attractiveness, ratchet mechanism discourages early surrender, and cash fund discourages active withdrawals.
Paper presents new expansions for option pricing with cash dividends.
problem No exact formula for European options with cash dividends.
method Uses Etore and Gobet's technique for piecewise lognormal process with jumps.
result Provides more robust first, second, and third-order expansions.
Expands Thiele equation for non-Markovian life insurance cash flows.
problem Circular dependency in life insurance cash flows and reserves.
method Expands Thiele equation to non-Markovian frameworks and presents a recursive scheme.
result Calculates multiple contract modifications in non-Markovian life insurance.
The main goal of this paper is to investigate under which conditions cash-subadditive convex dynamic risk measures are time-consistent. Proceeding as in Detlefsen and Scandolo \cite{detlef-scandolo} and inspired by their result, we give a dual representation of dynamic cash-subadditive convex risk measures (that can al…
New index for evaluating cash flow processes over a fixed horizon.
problem Evaluating performance of cash flow processes over a fixed investment horizon.
method Extended acceptability indices to càdlàg processes, providing a new index based on Average Value-at-Risk and running minimum.
result Suggested index represents a RAROC-type model for performance evaluation.
In this article, a sensitivity analysis of long-term cash flows with respect to perturbations in the underlying process is presented. For this purpose, we employ the martingale extraction through which a pricing operator is transformed into what is easier to address. The method of Fournie et al. will be combined with t…
Elastic Cash adjusts money supply to stabilize interest rates.
problem Stabilizing interest rates in a decentralized system.
method Modifies supply to keep interest rate fixed by public market.
result Improves elasticity of US Dollar and new cryptocurrencies.
This paper offers a mathematical framework to manage inventory risk in FX cash markets.
problem Inventory risk in FX cash markets due to flow uncertainty and volatility.
method Mathematical framework and approximation techniques for scalability.
result Maximizing expected profit while controlling inventory risk.
Optimizes loan recovery timing by forecasting cash flows.
problem Minimizing overall credit loss in loan portfolios.
method Forecast future cash flows using probabilistic and Markov chain models.
result Empirical illustration of loss-optimal recovery timing.
Optimizes cash management in ATM networks to reduce costs and increase revenue.
problem Minimizing cash costs while ensuring adequate funds in a network of ATMs.
method Developed a discrete optimal control model using forecasting techniques and control theory.
result The proposed model outperforms classical inventory management models, earning 30% more revenue.
In a market of deterministic cash flows, given as an additive, symmetric relation of exchangeability on the finite signed Borel measures on the non-negative real time axis, it is shown that the only arbitrage-free price functional that fulfills some additional mild requirements is the integral of the unit zero-coupon b…
CPDOs can't achieve a Cash-In event in finite tosses, mirroring Zeno's Paradox.
problem The impossibility of achieving a Cash-In event in CPDOs, mirroring Zeno's Paradox.
method Coin-tossing model and analysis of infinite geometric series.
result CPDOs can't achieve a Cash-In event in a finite lifetime, mirroring Zeno's Paradox.
Research improves LGD approximation using XGBoost for cash-flow-limited data.
problem Accurate LGD calculation with limited cash-flow data.
method Enhanced delta outstanding approach with XGBoost machine learning.
result XGBoost model enhances realized LGD estimation accuracy.
Develops a haircut model for non-cash collateral.
problem Addressing the need for accurate non-cash collateral valuation in shadow banking and OTC derivatives markets.
method Expands haircut definitions, uses a double-exponential jump-diffusion model, and solves for credit risk measurements.
result Computational results show potential for collateral agreements and regulatory capital calculations.
Observation of the workings of productive organizations shows that the characteristics of a trade, backed by nature given to a technological environment, determine the productive combination implemented by the decision maker, and the structure of the operating cycle which is related. The choice of the production functi…
The paper analyzes sensitivities of cash flows using PDEs and Hansen-Scheinkman decomposition.
problem Large-time sensitivities of cash flows in quantitative finance.
method PDE representation of pricing operator with Hansen-Scheinkman decomposition.
result Detailed convergence rates of sensitivities are provided.
A new method prices time-to-event cash flows using survival analysis.
problem Pricing insurance investment portfolios with time-to-event cash flows.
method Discrete-time survival analysis framework, hazard rate estimators, asymptotic multivariate normality.
result Pricing model yields estimates closer to actual cash flows than non-random models.
The paper models ATM cash withdrawal chaos and forecasts using deep learning.
problem Forecasting ATM cash withdrawals in an Indian bank.
method Chaos modeling of ATM cash withdrawal time series, deep learning methods (ARIMA, RF, SVR, MLP, GMDH, GRNN, LSTM, 1D CNN).
result Deep learning models show similar performance to random forest in forecasting ATM cash withdrawals.
This paper closely examines theoretical and practical aspects of the widely used discounted cash flows (DCF) valuation method. It assesses its potentials as well as several weaknesses. A special emphasize is being put on the valuation of companies using the DCF method. The paper finds that the discounted cash flow meth…
Research quantifies financial exclusion risks in UK, focusing on cash infrastructure and socio-economic factors.
problem Localised financial exclusion in the UK as cash infrastructure declines.
method Developed a composite indicator using various input variables.
result Financial exclusion is more prevalent in deprived communities and affluent areas.
The present paper provides the basis for a novel financial asset pricing model that could avoid the shortcomings of, or even completely replace the traditional DCF model. The model is based on Brownian motion logic and expected future cash flow values. It can be very useful for Islamic Finance.
A new framework for asset price dynamics is introduced in which the concept of noisy information about future cash flows is used to derive the price processes. In this framework an asset is defined by its cash-flow structure. Each cash flow is modelled by a random variable that can be expressed as a function of a colle…