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.
There is an observed basis between repo discounting, implied from market repo rates, and bond discounting, stripped from the market prices of the underlying bonds. Here, this basis is explained as a convexity effect arising from the decorrelation between the discount rates for derivatives and bonds. Using a Hull-White …
A repurchase agreement lets investors borrow cash to buy securities. Financier only lends to securities' market value after a haircut and charges interest. Repo pricing is characterized with its puzzling dual pricing measures: repo haircut and repo spread. This article develops a repo haircut model by designing haircut…
The general and special repo rates are related with the prices of the European call- and American put-options. The evaluation takes into account specific business models of the parties in the repo agreement and the law restrictions. Using the repo-option relation, an alternative to the Black-Scholes method of option pr…
Repo dealers' market power affects bond prices by up to 2 percentage points.
Although not a formal pricing consideration, gap risk or hedging errors are the norm of derivatives businesses. Starting with the gap risk during a margin period of risk of a repurchase agreement (repo), this article extends the Black-Scholes-Merton option pricing framework by introducing a reserve capital approach to …
A neural network method for financial data nowcasting.
Cash collateral is perfect in that it provides simultaneous counterparty credit risk protection and derivatives funding. Securities are imperfect collateral, because of collateral segregation or differences in CSA haircuts and repo haircuts. Moreover, the collateral rate term structure is not observable in the repo mar…
Unified framework for fixed-income pricing and liability replication.
Leverage is strongly related to liquidity in a market and lack of liquidity is considered a cause and/or consequence of the recent financial crisis. A repurchase agreement is a financial instrument where a security is sold simultaneously with an agreement to buy it back at a later date. Repurchase agreements (repos) ma…
We study the semilinear partial differential equation (PDE) associated with the non-linear BSDE characterizing buyer's and seller's XVA in a framework that allows for asymmetries in funding, repo and collateral rates, as well as for early contract termination due to counterparty credit risk. We show the existence of a …
We develop a framework for computing the total valuation adjustment (XVA) of a European claim accounting for funding costs, counterparty credit risk, and collateralization. Based on no-arbitrage arguments, we derive backward stochastic differential equations (BSDEs) associated with the replicating portfolios of long an…
The study calculates securities lending haircuts and indemnification costs.
We study how network structure affects the dynamics of collateral in presence of rehypothecation. We build a simple model wherein banks interact via chains of repo contracts and use their proprietary collateral or re-use the collateral obtained by other banks via reverse repos. In this framework, we show that total col…
In this note we show how to replicate a stylized CDS with a repurchase agreement and an asset swap. The latter must be designed in such a way that, on default of the issuer, it is terminated with a zero close-out amount. This break clause can be priced using the well known unilateral credit/debit valuation adjustment f…
This work develops an agent-based model for the study of how the leverage through the use of repurchase agreements can function as a mechanism for the propagation and amplification of financial shocks in a financial system. Based on the analysis of financial intermediaries in the repo and interbank lending markets duri…
We take the holistic approach of computing an OTC claim value that incorporates credit and funding liquidity risks and their interplays, instead of forcing individual price adjustments: CVA, DVA, FVA, KVA. The resulting nonlinear mathematical problem features semilinear PDEs and FBSDEs. We show that for the benchmark v…
Model estimates LIBOR rates and finds COVID-19 spread spike due to credit risk.
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 …
Items in modern recommender systems are often organized in hierarchical structures. These hierarchical structures and the data within them provide valuable information for building personalized recommendation systems. In this paper, we propose a general hierarchical Bayesian learning framework, i.e., \emph{HBayes}, to …
Examines SOFR derivatives pricing and hedging post-LIBOR discontinuation.
We discuss the binary nature of funding impact in derivative valuation. Under some conditions, funding is either a cost or a benefit, i.e., one of the lending/borrowing rates does not play a role in pricing derivatives. When derivatives are priced, considering different lending/borrowing rates leads to semi-linear BSDE…
The paper addresses XVA valuation under market crises using a renewal process.
The paper explains the fair basis in bond-CDS trading during financial crises.
Paper analyzes fire sales in a network of banks using VWAP and LOB pricing.
There are more than eight hundred interest rates published in China bond market every day. Which are the benchmark interest rates that have broad influences on most interest rates is a major concern for economists. In this paper, multi-variable Granger causality test is developed and applied to construct a directed net…
TradeMech nets trades without changing counterparty relationships.
Tree-Query uses LLMs to discover causal relationships in a transparent, interpretable manner.
FedAUX improves Federated Learning by better using unlabeled data.
Improved robustness for deep neural networks with tighter bounds and attacks.
FinGPT is an open-source financial LLM for democratizing financial data.
SAGE generates subsurface velocity models from sparse well logs and seismic images.
End-to-end autonomous driving perception learns latent features for better performance.
PatchGT uses non-trainable graph patches to improve graph representation learning.
Neural network for subgraph similarity computation with pruning.
LeJEPA provides a scalable, theory-driven approach to self-supervised learning.
Paper quantifies uncertainties in EIS spectra of SOFCs, proposing VB method for online monitoring.
Active-GRPO improves molecular optimization by actively deciding when to imitate or self-improve.
The study explores Bertrand and Mannheim curves in 4D Euclidean space for framed curves.
The study examines Bertrand Legendre curves in the unit tangent bundle over Euclidean plane.
Method for generating new curves from plane curves on cylinders.
In this study, we introduce a new approach to curve pairs by using integral curves. We consider the direction curve and donor curve to study curve couples such as involute-evolute curves, Mannheim partner curves and Bertrand partner curves. We obtain new methods to construct partner curves of a unit speed curve and giv…
The paper characterizes curves in pseudo-Galilean 4-space.
In this paper, we introduce a new approach to non-lightlike curve pairs by using integral curves in Minkowski 3-space. We consider direction curve and donor curve to study non-lightlike curve couples such as involute-evolute curves, Mannheim partner curves and Bertrand partner curves. We obtain new methods to construct…
The paper explores Bertrand and framed curves in 3D space.
The paper examines how closed curves on surfaces intersect and how this intersection determines the curves.
Approximating complex curves with simple parametric curves is widely used in CAGD, CG, and CNC. This paper presents an algorithm to compute a certified approximation to a given parametric space curve with cubic B-spline curves. By certified, we mean that the approximation can approximate the given curve to any given pr…
Flow deforms locally convex curves to curves of constant k-order width.
Modified curve shortening flow constructs -Angenent curve.