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.
Model for valuing options on epidemic spread.
New method for risk quantification using quantile processes and measure distortions.
We propose a numerical recipe for risk evaluation defined by a backward stochastic differential equation. Using dual representation of the risk measure, we convert the risk valuation to a stochastic control problem where the control is a certain Radon-Nikodym derivative process. By exploring the maximum principle, we s…
Enhances valuation of variable annuities with stochastic interest rate models.
This study examines the collateral choice option and its valuation and hedging.
Extends XVA valuation under stochastic volatility, characterizing value processes via mild solutions.
In this paper we present some results on Geometric Asian option valuation for affine stochastic volatility models with jumps. We shall provide a general framework into which several different valuation problems based on some average process can be cast, and we shall obtain close-form solutions for some relevant affine …
We analyze the valuation partial differential equation for European contingent claims in a general framework of stochastic volatility models where the diffusion coefficients may grow faster than linearly and degenerate on the boundaries of the state space. We allow for various types of model behavior: the volatility pr…
This study examines how risky investments affect insurance capital valuation.
This note fills the gap in market-consistent valuation of lifelong health insurance products.
The study improves stock market valuation using volatility and earnings data.
Study on hedging and valuation of basis risk in incomplete markets with partial information.
NDDV estimates data point value from a single stochastic trajectory.
The paper introduces the Banzhaf value for robust data valuation in machine learning, addressing stochastic model performance.
We propose a model for the joint evolution of European inflation, the European Central Bank official interest rate and the short-term interest rate, in a stochastic, continuous time setting. We derive the valuation equation for a contingent claim depending potentially on all three factors. This valuation equation reduc…
Paper provides a method to price electricity storage contracts using COS technique.
We introduce the general arbitrage-free valuation framework for counterparty risk adjustments in presence of bilateral default risk, including default of the investor. We illustrate the symmetry in the valuation and show that the adjustment involves a long position in a put option plus a short position in a call option…
The paper models battery valuation in intraday electricity markets, incorporating liquidity costs.
The valuation process that economic agents undergo for investments with uncertain payoff typically depends on their statistical views on possible future outcomes, their attitudes toward risk, and, of course, the payoff structure itself. Yields vary across different investment opportunities and their interrelations are …
New framework values football players based on in-game interactions.
In this paper we discuss the basket options valuation for a jump-diffusion model. The underlying asset prices follow some correlated local volatility diffusion processes with systematic jumps. We derive a forward partial integral differential equation (PIDE) for general stochastic processes and use the asymptotic expan…
This work studies the valuation of currency options in markets suffering from a financial crisis. We consider a European option where the underlying asset is a foreign currency. We assume that the value of the underlying asset is a stochastic process that follows a modified Black-Scholes model with an augmented stochas…
The paper develops a valuation framework for GLWB-LTC contracts with Levy dynamics and stochastic interest rates.
Quantum Portfolios of quantum algorithms encoded on qbits have recently been reported. In this paper a discussion of the continuous variables version of quantum portfolios is presented. A risk neutral valuation model for options dependent on the measured values of the observables, analogous to the traditional Black-Sch…
Efficiently models Wrong-Way Risk in FVA without full Monte Carlo.
A Kalman filter reduces valuation risk in business valuation models.
The study finds that specific distributions can be used for risk-neutral valuation in Heston's SV model.
We present a detailed analysis of interest rate derivatives valuation under credit risk and collateral modeling. We show how the credit and collateral extended valuation framework in Pallavicini et al (2011), and the related collateralized valuation measure, can be helpful in defining the key market rates underlying th…
Study cash-flow forecasting for derivatives, aligning with replication strategy and addressing timing frictions.
The paper addresses XVA valuation under market crises using a renewal process.
Fast ML framework for derivative valuation from volatility surfaces.
Study finds super-efficiency correlates more strongly with stock market valuation than ROA in Chinese banks.
Study introduces new methods to estimate stock return rates.
In a Markovian stochastic volatility model, we consider financial agents whose investment criteria are modelled by forward exponential performance processes. The problem of contingent claim indifference valuation is first addressed and a number of properties are proved and discussed. Special attention is given to the c…
The study highlights the importance of Wrong-Way Risk in FVA calculations during financial market turmoil.
In this paper, we study the valuation of American type derivatives in the stochastic volatility model of Barndorff-Nielsen and Shephard (2001). We characterize the value of such derivatives as the unique viscosity solution of an integral-partial differential equation when the payoff function satisfies a Lipschitz condi…
Developing a climate-aware pricing framework for XL reinsurance and CAT bonds under non-stationary catastrophe risk.
We study a notion of good-deal hedging, that corresponds to good-deal valuation for generalized good-deal constraints. Under model uncertainty about the market prices of risk of hedging assets, a robust approach leads to a reduction or even elimination of a speculative component in good-deal hedging, which is shown to …
Quantum algorithms speed up financial portfolio valuation.
We consider a class of discrete time stochastic control problems motivated by some financial applications. We use a pathwise stochastic control approach to provide a dual formulation of the problem. This enables us to develop a numerical technique for obtaining an estimate of the value function which improves on purely…
A deep BSDE approach tackles multi-layered xVA calculations for portfolio valuation.
The aim of this article is to provide a systematic analysis of the conditions such that Fourier transform valuation formulas are valid in a general framework; i.e. when the option has an arbitrary payoff function and depends on the path of the asset price process. An interplay between the conditions on the payoff funct…
In this paper, a pricing formula for volatility swaps is delivered when the underlying asset follows the stochastic volatility model with jumps and stochastic intensity. By using Feynman-Kac theorem, a partial integral differential equation is obtained to derive the joint moment generating function of the previous mode…
We study robust notions of good-deal hedging and valuation under combined uncertainty about the drifts and volatilities of asset prices. Good-deal bounds are determined by a subset of risk-neutral pricing measures such that not only opportunities for arbitrage are excluded but also deals that are too good, by restricti…
Averaging problems are ubiquitous in Finance with the valuation of the so-called Asian options on arithmetic averages as their most conspicuous form. There is an abundance of numerical work on them, and their stochastic structure has been extensively studied by Yor and his school. However, the analytical structure of t…
The paper analyzes GMWB annuities in low interest rate environments.
Study shows observing order book can significantly improve online market making performance.
In 'A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options', Heston proposes a Stochastic Volatility (SV) model with constant interest rate and derives a semi-explicit valuation formula. Heston also describes, in general terms, how the model could be extended to inc…