Researchers created curved carbon crystals using standard lattice methods.
problem Creating physically stable negatively curved cubic carbon structures.
method Standard realization of abstract crystal lattices.
result Constructed physically stable sp2 negatively curved cubic carbon structures.
Selective privacy framework for recommender systems.
problem Adversarial nature of collaborative filtering to user privacy.
method Selective privacy preserving (SP2) framework with two-step process.
result Users can control what ratings are publicly shared, leading to more accurate recommendations.
Study of bonded knots and braids with new algebraic models.
problem Classifying and understanding physical or chemical bonds in knots and braids.
method Developed new algebraic models (bonded knots, braids, braidoids) and invariants.
result New algebraic structures and invariants for bonded knots and braids.
Developed algebraic theory of bonded braids, proving Markov theorem.
problem Studied bonded knots and their algebraic properties.
method Introduced bonded braid monoid, proved Alexander and Markov theorems.
result Every bonded knot is the closure of a bonded braid, and equivalent knots have related braid representatives.
Study finds it hard to establish common factor pricing in corporate bonds.
problem Difficulty in establishing common factor pricing in corporate bonds.
method Portfolio- and bond-level analyses using multifactor models.
result Common factor pricing in corporate bonds is not significantly explanatory.
In the present paper we show that the Binomial-tree approach for pricing, hedging, and risk assessment of Convertible bonds in the framework of the Tsiveriotis-Fernandes model has serious drawbacks. Key words: Convertible bonds, Binomial tree, Tsiveriotis-Fernandes model, Convertible bond pricing, Convertible bond Gree…
Model shows government incentives boost green bond investment.
problem Increasing green investments through government incentives.
method Optimal incentives indexed on bond prices and covariation, applied to a portfolio of bonds.
result Method outperforms current tax-incentives systems in green investments.
Model proteins with bonds using Kauffman bracket skein module.
problem Modeling proteins with bonds for structural analysis.
method Extend Kauffman bracket polynomial to bonded knots.
result Infinite generation and torsion-freeness of the bonded skein module.
This article presents valuation of Treasury Bonds (T-Bonds) on Macedonian Stock Exchange (MSE) and empirical test of duration, modified duration and convexity of the T-bonds at MSE in order to determine sensitivity of bonds prices on interest rate changes. The main goal of this study is to determine how standard valuat…
Paper uses PCA to analyze Chinese sovereign bonds and discusses bond immunization.
problem Analyzing factors affecting Chinese sovereign bond yield changes.
method Applied Principal Component Analysis (PCA) on bond yield data.
result Identified principal factors influencing Chinese sovereign bond yield changes.
The paper compares long forward probabilities to bond risk premiums, finding the latter predicts a different term structure.
problem The term structure of bond risk premiums is inconsistent with martingale assumptions.
method Analyzes the stochastic discount factor and long-term factorization.
result Long forward probabilities predict an upward sloping term structure, contradicting martingale assumptions.
This paper describes a new method of bond portfolio optimization based on stochastic string models of correlation structure in bond returns. The paper shows how to approximate correlation function of bond returns, compute the optimal portfolio allocation using Wiener-Hopf factorization, and check whether a collection o…
Study finds implicit government guarantee improves municipal investment bond ratings.
problem Questioning the objectivity of municipal investment bond ratings due to implicit government guarantee.
method Text mining of policy documents and PMC index model for implicit guarantee strength calculation.
result Implicit government guarantee boosts municipal investment bond ratings, especially in less developed regions.
Classifies uncolored bonded knots with up to 7 singularity points.
problem Classifying uncolored bonded knots with up to 7 singularity points.
method Generation of planar graphs, conversion into bonded knot diagrams, use of Yamada polynomial, and brute-force Reidemeister moves.
result Systematic classification of uncolored bonded knots with singularity number at most seven.
A new formula for pricing illiquid corporate bonds.
problem Pricing bonds with limited liquidity in the market.
method Option approach with reduced-form interest and credit risk modeling.
result A simple closed formula for illiquid corporate coupon bond prices.
Paper proposes a framework for precise daily default risk prediction of Chinese credit bonds.
problem Inadequate and inaccurate bond information disclosure creates risk of default for investors.
method Framework includes summarizing factors impacting defaults, constructing a risk index system, and using ConvLSTM neural network for prediction.
result The model provides more responsive and accurate daily default risk predictions than authoritative ratings.
Paper develops bounds for pricing Catastrophic Mortality Bonds.
problem Challenging task in valuing Catastrophic Mortality Bonds.
method Expresses bond payoff as an Asian put option and uses comonotonic theory.
result Derives model-independent bounds for bond pricing.
Repo rates are explained as a convexity effect from bond and derivative discount rates.
problem Explaining the observed basis between repo rates and bond prices.
method Using a Hull-White model, derived expressions for repo rates and extrapolation.
result Interpolated and extrapolated repo curves for bond-collateralised derivatives.
Paper analyzes pricing model for bonds with early redemption.
problem Analyzing pricing of bonds with early redemption features.
method Structural approach for mathematical modeling of bond prices.
result Existence and uniqueness of default and early redemption boundaries proved.
We derive simple return models for several classes of bond portfolios. With only one or two risk factors our models are able to explain most of the return variations in portfolios of fixed rate government bonds, inflation linked government bonds and investment grade corporate bonds. The underlying risk factors have nat…
A machine learning model improves relative valuation of municipal bonds.
problem Challenges in determining the value or relative value of municipal bonds.
method Proposes a supervised similarity framework using CatBoost algorithm to identify similar bonds based on risk profiles.
result The similarity-based method outperforms rule-based and heuristic-based methods in back-testing.
Study proposes framework for cyber bonds to compensate cyber attack losses.
problem Cyber risk treatment in finance industry.
method Developed a framework, used publicly available data to determine loss distribution parameters, numerically simulated bond price and characteristics, considered two coupon calculation approaches.
result Numerical simulations of cyber bond price, yield, and characteristics.
Paper uses machine learning to uncover nonlinear dynamics in CAT bond pricing.
problem Traditional linear models miss nonlinear relationships in CAT bond pricing.
method Advanced machine learning techniques applied to CAT bond transaction records.
result Machine learning enhances CAT bond pricing accuracy and reveals complex risk interactions.
Deep learning speeds CAT bond valuation.
problem Valuation of Catastrophe bonds.
method Deep neural networks trained to price CAT bonds.
result Trained model provides fast and accurate pricing.
BondBERT improves sentiment analysis for bond markets.
problem Misleading sentiment models for bond markets due to domain-specific dynamics.
method Fine-tuned transformer model on bond-specific news.
result BondBERT produces positive correlations with bond returns and higher forecasting accuracy.
Paper proposes an analytical pricing model for puttable bonds with credit risk.
problem Analytical pricing of puttable bonds with credit risk.
method Developed a 2-factor structural PDE model and derived analytical pricing formula under specific conditions.
result Derived analytical pricing formula for puttable bonds with credit risk.
Study predicts bond yields using machine learning and ultimate forward rates.
problem Forecasting bond yields using ultimate forward rates.
method Applied de Kort-Vellekooptype methodology for UFR estimation, used linear and nonlinear machine learning techniques.
result Nonlinear machine learning models outperform linear models in bond yield forecasting.
The paper uses option theory to estimate corporate bond liquidity spreads.
problem Estimating liquidity spreads for corporate bonds.
method Option-theoretic approach considering risk-free rate volatility and credit risk.
result The model provides a robust tool for pricing illiquid bonds.
Investor optimizes consumption and investment in a bond market described by HJM model.
problem Maximizing consumption utility in a bond market with varying maturity bonds.
method Solves consumption-investment problem using HJM factor model and HJB equation.
result Proves the regularity of the solution and applicability of the verification theorem.
Study analyzes bond traders' views on equity market dynamics.
problem Understanding temporal shifts in equity market parameters.
method Utilizes Black-Derman-Toy model and zero-coupon bond pricing.
result Discovers correlations between risk-neutral probability and market variables.
An invariant for knots with colored bonds respects HOMFLYPT relation.
problem Modeling and distinguishing knots with colored bonds.
method Introducing a HOMFLYPT skein module for colored bonded knots.
result The non-rigid version of the module provides information about knottedness of bonds.
Deep learning models price convertible bonds with complex reset and call features.
problem Pricing convertible bonds with path-dependent reset and call provisions.
method Formulated as a PPDE, deep learning approximates conditional expectations.
result Deep learning produces stable and accurate prices across various model specifications.
In this three-part series of papers, we argue that the conventional spread measures are not well defined for credit-risky bonds and introduce a set of credit term structures which correct for the biases associated with the strippable cash flow valuation assumption. We demonstrate that the resulting estimates are signif…
Proves existence of long bond, long forward measure, and long-term factorization in HJM models.
problem Existence of long bond, long forward measure, and long-term factorization in HJM models.
method Function space framework of Filipovic (2001) and sufficient condition on the weight in the Hilbert space of forward rate volatility curves.
result Existence of long bond volatility process, long bond process, and long-term factorization of SDF.
Investors choose between bonds and savings accounts based on utility maximization.
problem Determining the optimal investment strategy in a stochastic interest rate environment.
method Analyzes utility maximization under two investment scenarios using affine term structure models.
result Bond indifference prices are found to be the roots of integral expressions.
Formula calculates bond prices between payments.
problem No new bond pricing formula available.
method Closed-form formula derivation.
result Formula accurately calculates bond prices.
To construct a no-arbitrage defaultable bond market, we work on the state price density framework. Using the heat kernel approach (HKA for short) with the killing of a Markov process, we construct a single defaultable bond market that enables an explicit expression of a defaultable bond and credit spread under quadrati…
A pricing formula for discount bonds, based on the consideration of the market perception of future liquidity risk, is established. An information-based model for liquidity is then introduced, which is used to obtain an expression for the bond price. Analysis of the bond price dynamics shows that the bond volatility is…
Random forest predicts catastrophe bond spreads with 93% accuracy.
problem Predicting spreads in the primary catastrophe bond market.
method Random forest approach using all information in offering circulars.
result Random forest explains 93% of spread variability, significantly better than linear regression (47%).
Project uses machine learning to predict bond prices quickly and accurately.
problem Predicting bond prices is challenging due to market complexity and lack of data.
method Used a dataset of bond trades and attributes to train and evaluate various machine learning algorithms.
result Proposed a hybrid time-series aided machine learning method for future work.
Corporate bond factor research is flawed due to measurement errors and ex-post filtering.
problem Replication crisis in corporate bond factor research.
method Analysis of 108 signals across nine thematic clusters, correction of transaction prices and return filtering.
result Majority of previously documented factors do not produce statistically significant alphas after correction.
Unified framework for pricing various debt securities.
problem Pricing of different types of debt securities under general short-rate processes.
method Unifying framework using continuous-time Markov chain approximations and bi-dimensional diffusion processes.
result Closed-form matrix expressions and efficient algorithms for pricing various debt securities.
Approximates bond option volatilities using affine short-rate models.
problem Calculating implied volatilities for bond options.
method Derive asymptotic approximation for bond option volatilities under affine short-rate dynamics.
result Accuracy of approximation validated through numerical experiments.
Open AI models affect bond yields differently than closed ones.
problem Understanding how market reactions to AI releases impact bond yields.
method Analyzed US bond yields before and after the release of open and closed AI models.
result Open AI models shift bond yields in the opposite direction of closed models.
Investigates modeling emerging market bonds as FtD baskets.
problem Modeling emerging market corporate bonds as FtD baskets.
method Uses structural model to modify FtD basket approach.
result Approach feasible for modeling emerging market bonds.
Study callable convertible bonds with liquidity constraints, generalizing previous work.
problem Callable convertible bond problem with liquidity constraints.
method Introduced a new technique to handle non-ordered payoff situations.
result Complete solution to callable convertible bond problem with liquidity constraint.
Paper finds political networks reduce bond issuance costs in China.
problem The financial value of within-government political networks in China.
method Using municipal leaders' working experience to measure political networks, the study examines the effect on bond issuance yield spreads.
result Political networks reduce bond issuance yield spreads by improving issuer credit ratings, especially in less developed financial markets.
Investigates how 'green' labels affect bond market dynamics.
problem Understanding the impact of 'green' labels on bond market trading activity.
method Used Hawkes processes and a moving average model to analyze high-frequency bond price dynamics.
result Differences in bond market dynamics emerge during periods with interest rate announcements, especially for energy market issuers.