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.
The paper proposes a test to determine the number of latent classes in ordinal categorical data.
Improved singular value approximation for convolutional layers.
We regard pre-trained residual networks (ResNets) as nonlinear systems and use linearization, a common method used in the qualitative analysis of nonlinear systems, to understand the behavior of the networks under small perturbations of the input images. We work with ResNet-56 and ResNet-110 trained on the CIFAR-10 dat…
A widely applicable Bayesian information criterion (Watanabe, 2013) is applicable for both regular and singular models in the model selection problem. This criterion tends to overestimate the log marginal likelihood. We identify an overestimating term of a widely applicable Bayesian information criterion. Adjustment of…
A three-dimensional extension of the structural default model with firms' values driven by correlated diffusion processes is presented. Green's function based semi-analytical methods for solving the forward calibration problem and backward pricing problem are developed. These methods are used to analyze bilateral count…
Unified framework for calculating Shapley values with correlated features.
Value adjustment of uncollateralized trades is determined within a risk-neutral pricing framework. When hedging such trades, investors cannot freely trade protection on their own name, thus facing an incomplete market. This fact is reflected in the non-uniqueness of the pricing measure, which is only constrained by the…
A multi-dimensional extension of the structural default model with firms' values driven by diffusion processes with Marshall-Olkin-inspired correlation structure is presented. Semi-analytical methods for solving the forward calibration problem and backward pricing problem in three dimensions are developed. The model is…
Paper improves risk estimation for extreme events.
Study examines how EU's Value at Risk constraints affect insurance oligopolies.
New method reduces CVA-VaR computation complexity.
This article presents a generic model for pricing financial derivatives subject to counterparty credit risk. Both unilateral and bilateral types of credit risks are considered. Our study shows that credit risk should be modeled as American style options in most cases, which require a backward induction valuation. To co…
Study optimal adjustment sets for causal policies with hidden variables.
Reinsurance counterparty credit risk (RCCR) is the risk of a loss arising from the fact that a reinsurance company is unable to fulfill her contractual obligations towards the ceding insurer. RCCR is an important risk category for insurance companies which, so far, has been addressed mostly via qualitative approaches. …
A method estimates causal parameters using a latent variable recovery.
Note on minimal maps' uniqueness via singular values.
New technique stabilizes singular values in concatenated matrices.
Model clarifies network effects on CVA, revealing significant differences in derivative contract values.
Study inequalities for singular values of rectangular matrices.
The paper presents a PDE method for xVA incorporation in financial derivatives.
Study differentiable maps on hypersurface links, finding fold maps with circle singular value sets.
Study evaluates thresholds for removing noise from DNN weights using random matrix theory.
Study shows XRP price correlates with transaction network metrics.
We analyze the counterparty risk embedded in CDS contracts, in presence of a bilateral margin agreement. First, we investigate the pricing of collateralized counterparty risk and we derive the bilateral Credit Valuation Adjustment (CVA), unilateral Credit Valuation Adjustment (UCVA) and Debt Valuation Adjustment (DVA).…
A low rank matrix X has been contaminated by uniformly distributed noise, missing values, outliers and corrupt entries. Reconstruction of X from the singular values and singular vectors of the contaminated matrix Y is a key problem in machine learning, computer vision and data science. In this paper we show that common…
Deterministic bounds for tensor singular values and vectors, differing from matrix cases.
We introduce the concept of singular values for the Riemann curvature tensor, a central mathematical tool in Einstein's theory of general relativity. We study the properties related to the singular values, and investigate five typical cases to show its relationship to the Ricci scalar and other invariants.
Study shows singular set of certain graphs has codimension 1.
In this letter, we consider two sets of observations defined as subspace signals embedded in noise and we wish to analyze the distance between these two subspaces. The latter entails evaluating the angles between the subspaces, an issue reminiscent of the well-known Procrustes problem. A Bayesian approach is investigat…
Is an option to early terminate a swap at its market value worth zero? At first sight it is, but in presence of counterparty risk it depends on the criteria used to determine such market value. In case of a single uncollateralised swap transaction under ISDA between two defaultable counterparties, the additional unilat…
Estimates personalized treatment response curves using covariates.
Paper introduces a new robust loss function for RL.
The credit crisis and the ongoing European sovereign debt crisis have highlighted the native form of credit risk, namely the counterparty risk. The related Credit Valuation Adjustment, (CVA), Debt Valuation Adjustment (DVA), Liquidity Valuation Adjustment (LVA) and Replacement Cost (RC) issues, jointly referred to in t…
Constructs a mean curvature flow with surgery for compact mean convex hypersurfaces.
Solves initial value problem for harmonic maps on specific manifolds.
We obtain an explicit formula for the bilateral counterparty valuation adjustment of a credit default swaps portfolio referencing an asymptotically large number of entities. We perform the analysis under a doubly stochastic intensity framework, allowing for default correlation through a common jump process. The key ins…
In this paper we investigate the relationship between Funding Value Adjustment (FVA) and Net Stable Funding Ratio (NSFR). FVA is defined in a consistent way with NSFR such that the new framework of FVA monitors the costs due to keeping NSFR at an acceptable level, as well. In addition, the problem of choosing the optim…
The paper solves conditions for extending circle-valued Morse functions.
An uncollateralized swap hedged back-to-back by a CCP swap is used to introduce FVA. The open IR01 of FVA, however, is a sure sign of risk not being fully hedged, a theoretical no-arbitrage pricing concern, and a bait to lure market risk capital, a practical business concern. By dynamically trading the CCP swap, with t…
Paper develops framework for valuing and assessing credit risk in renewable PPAs.
New framework for higher-order singular-value derivatives of rectangular matrices.
Adjusted for chance measures are widely used to compare partitions/clusterings of the same data set. In particular, the Adjusted Rand Index (ARI) based on pair-counting, and the Adjusted Mutual Information (AMI) based on Shannon information theory are very popular in the clustering community. Nonetheless it is an open …
The purpose of this paper is to introduce a new growth adjusted price-earnings measure (GA-P/E) and assess its efficacy as measure of value and predictor of future stock returns. Taking inspiration from the interpretation of the traditional price-earnings ratio as a period of time, the new measure computes the requisit…
Study optimal liquidation with multiple regimes using BSDEs with singular terminal values.
Proves continuity and singular set dimension for 2D maps with Q values.
This paper improves bond market making by adjusting hit-ratios for client flow quality.
Building on the line of work [DIRT15a], [DIRT15b], [NS17a], [DT17], [HLS18], [HS18] we continue the study of particle systems with singular interaction through hitting times. In contrast to the previous research, we (i) consider very general driving processes and interaction functions, (ii) allow for inhomogeneous conn…
The complex Lie superalgebras of type - also denoted by - are usually considered for "non-singular" values of the parameter , for which they are simple. In this paper we introduce five suitable integral forms of , that are well-defined at singular valu…