arXiv research

Prediction markets and crypto options show persistent pricing gaps.

This paper presents a novel analysis of two feed-in tariffs (FIT) under market and regulatory uncertainty, namely a sliding premium with cap and floor and a minimum price guarantee. Regulatory uncertainty is modeled with a Poisson process, whereby a jump event may reduce the tariff before the signature of the contract.…

Discrete time hedging in a complete diffusion market is considered. The hedge portfolio is rebalanced when the absolute difference between delta of the hedge portfolio and the derivative contract reaches a threshold level. The rate of convergence of the expected squared hedging error as the threshold level approaches z…

Study on reinsurance decisions using mean-variance criterion with irreversible contracts.

We derive a "semi-analytic" solution for a stock loan in which the lender forces liquidation when the loan-to-collateral ratio drops beneath a certain threshold. We use this to study the sensitivity of the contract to model parameters.

Algorithmic insurance tackles financial risks from AI errors, proving CVaR-optimal thresholds reduce tail risk.

Study develops smart contract framework for procurement under demand variability.

ETHGamDet detects crypto gambling contracts and addresses.

In this paper we discuss the issue of computation of the bilateral credit valuation adjustment (CVA) under rating triggers, and in presence of ratings-linked margin agreements. Specifically, we consider collateralized OTC contracts, that are subject to rating triggers, between two parties -- an investor and a counterpa…

Finite-time queue peaks in stochastic networks have logarithmic scaling after geometric thresholds.

Study optimizes smart contract adoption under high demand variability using Negative Binomial models.

Study financial contracts pricing in markets with nonproportional costs and constraints.

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).…

New algorithms for set union in differential privacy improve efficiency and accuracy.

Study analyzes smart contract adoption under bounded risk, showing stable adoption but fragile financial outcomes.

Bitcoin's monetary velocity is constrained by network friction, leading to significant utility contraction during shocks.

New RL method learns K-step lookahead Q-functions for fixed-horizon MDPs.

Optimal dividend strategy with irreversible reinsurance constraints.

Differentially quantized gradient methods improve convergence in noisy communication channels.

The paper explores coalescent contractions in contractible spaces, providing criteria and examples.

Filtered conformal ellipsoids for graph-native time series

A natural approach to analyze interaction data of form "what-connects-to-what-when" is to create a time-series (or rather a sequence) of graphs through temporal discretization (bandwidth selection) and spatial discretization (vertex contraction). Such discretization together with non-negative factorization techniques c…

Computable contracts simplify financial transactions and reduce legal costs.

In an online contract selection problem there is a seller which offers a set of contracts to sequentially arriving buyers whose types are drawn from an unknown distribution. If there exists a profitable contract for the buyer in the offered set, i.e., a contract with payoff higher than the payoff of not accepting any c…

The paper studies how to protect hedge funds from losses using reinsurance.

Optimal execution strategy for merger & acquisition contracts with price impact.

This paper develops a method to select a reference contract for multi-contract quoting to minimize execution risk.

Proposes a probabilistic framework for smart contract risk quantification.

We consider a general framework of optimal mechanism design under adverse selection and ambiguity about the type distribution of agents. We prove the existence of optimal mechanisms under minimal assumptions on the contract space and prove that centralized contracting implemented via mechanisms is equivalent to delegat…

New EPS insurance offers partial protection against superannuation losses.

Iterative thresholding algorithms seek to optimize a differentiable objective function over a sparsity or rank constraint by alternating between gradient steps that reduce the objective, and thresholding steps that enforce the constraint. This work examines the choice of the thresholding operator, and asks whether it i…

Improved security of smart contracts by classifying them into four categories.

Study on contracting maps and their rigidity under curvature constraints.

We study locally compact contractive local groups, that is, locally compact local groups with a contractive pseudo-automorphism. We prove that if such an object is locally connected, then it is locally isomorphic to a Lie group. We also prove a related structure theorem for locally compact contractive local groups whic…

Study shows some contractible complexes can't have certain immersions.

This paper presents some partial answers to the following question. QUESTION. If a normal space X is the union of an increasing sequence of open sets U(1), U(2), U(3) ... such that each U(n) contracts to a point in X, must X be contractible? The main results of the paper are: THEOREM 1. If a normal space X is the union…

The simplicial volume of non-R^3 contractible 3-manifolds is infinite.

Optimal contracts help principals delegate data collection in decentralized ML.

Optimal contracts are found for agents with quadratic effort costs.

Fair insurance contracts are designed to handle default risk using cooperative game theory.

Developed a new thresholding method that connects soft and hard thresholding.

One can define what it means for a compact manifold with corners to be a "contractible manifold with contractible faces." Two combinatorially equivalent, contractible manifolds with contractible faces are diffeomorphic if and only if their 4-dimensional faces are diffeomorphic. It follows that two simple convex polytop…

This paper investigates Pareto optimal (PO, for short) insurance contracts in a behavioral finance framework, in which the insured evaluates contracts by the rank-dependent utility (RDU) theory and the insurer by the expected value premium principle. The incentive compatibility constraint is taken into account, so the …

New mortgage contracts reduce underwater default by adjusting loan balances, but must balance prepayment incentives.

We define a new notion of contracting element of a group and we show that contracting elements coincide with hyperbolic elements in relatively hyperbolic groups, pseudo-Anosovs in mapping class groups, rank one isometries in groups acting properly on proper CAT(0) spaces, elements acting hyperbolically on the Bass-Serr…

Paper presents LLM-enhanced contract metadata extraction.

Optimal linear contracts are possible even with memory in Gaussian settings.

Let $X$ be a contractible $2$-complex which is a union of two contractible subcomplexes $Y$ and $Z.$ Is the intersection $Y\cap Z$ contractible as well? In this note, we prove that the inclusion-induced map $π_{1}(Y\cap Z)\rightarrow π_{1}(Z)$ is injective if $Y$ is $π_{1}$-injective subcomplex in a locally CAT(0) 2-co…