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.
Agent-based simulation assesses tradable credit schemes for congestion reduction.
In this article we present a new approach to the numerical valuation of derivative securities. The method is based on our previous work where we formulated the theory of pricing in terms of tradables. The basic idea is to fit a finite difference scheme to exact solutions of the pricing PDE. This can be done in a very e…
The article presents calculations that prove practical importance of the earlier derived theoretical relationship between the interest rate on the interbank credit market, volume of investment and the quantity of securities tradable on the stock exchange.
Botswana's agricultural credit scheme is unsustainable and needs reform.
New theory shows perishable goods markets are more stable and efficient.
New method improves credit risk estimation and pricing.
This paper is concerned with the study of insurance related derivatives on financial markets that are based on non-tradable underlyings, but are correlated with tradable assets. We calculate exponential utility-based indifference prices, and corresponding derivative hedges. We use the fact that they can be represented …
Novel weak MLMC scheme for Lévy-driven SDEs, applied to financial derivatives pricing.
This paper analyzes the quantitative relations between stock prices and quantities of tradable stock shares in Chinese stock markets at six time points by means of Exploratory Data Analysis (EDA) method. It is found the resulting formulae have the same structure but different parameters. This paper also uses these rela…
Optimizes stock portfolios with a constraint on correlation to reduce risk.
The paper studies the robust maximization of utility of terminal wealth in the diffusion financial market model. The underlying model consists with risky tradable asset, whose price is described by diffusion process with misspecified trend and volatility coefficients, and non-tradable asset with a known parameter. The …
Paper develops framework for valuing and assessing credit risk in renewable PPAs.
Tokenized RWAs face liquidity issues despite promising markets.
A risk-averse agent hedges her exposure to a non-tradable risk factor using a correlated traded asset and accounts for the impact of her trades on both factors. The effect of the agent's trades on is referred to as cross-impact. By solving the agent's stochastic control problem, we obtain a closed-form expr…
The latter author, together with collaborators, proposed a numerical scheme to calculate the price of barrier options. The scheme is based on a symmetrization of diffusion process. The present paper aims to give a mathematical credit to the use of the numerical scheme for Heston or SABR type stochastic volatility model…
We consider a generic market model with a single stock and with random volatility. We assume that there is a number of tradable options for that stock with different strike prices. The paper states the problem of finding a pricing rule that gives Black-Scholes price for at-money options and such that the market is arbi…
This paper considers the optimal portfolio selection problem in a dynamic multi-period stochastic framework with regime switching. The risk preferences are of exponential (CARA) type with an absolute coefficient of risk aversion which changes with the regime. The market model is incomplete and there are two risky asset…
Developing a semi-analytical approximation for general default intensity models
Investment strategies in occupational pension plans are optimized for non-tradable income risk.
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…
Extends credit risky bond market models to include jumps and general semimartingales.
Develops a PD estimation model using Lévy-driven processes for credit risk.
We explain a persistent cost-of-carry spread in EUA market and suggest ECB policy change.
The classical reduced-form and filtration expansion framework in credit risk is extended to the case of multiple, non-ordered defaults, assuming that conditional densities of the default times exist. Intensities and pricing formulas are derived, revealing how information driven default contagion arises in these models.…
In a discrete-time market, we study model-independent superhedging, while the semi-static superhedging portfolio consists of {\it three} parts: static positions in liquidly traded vanilla calls, static positions in other tradable, yet possibly less liquid, exotic options, and a dynamic trading strategy in risky assets …
Model explains stock price bubbles through debt crises and financial crashes.
Although initially originated as a totally empirical relationship to explain the volume of trade between two partners, gravity equation has been the focus of several theoretic models that try to explain it. Specialization models are of great importance in providing a solid theoretic ground for gravity equation in bilat…
A variety of cooperative multi-agent control problems require agents to achieve individual goals while contributing to collective success. This multi-goal multi-agent setting poses difficulties for recent algorithms, which primarily target settings with a single global reward, due to two new challenges: efficient explo…
Conditions of Stability for explicit finite difference scheme and some results of numerical analysis for a unified 2 factor model of structural and reduced form types for corporate bonds with fixed discrete coupon are provided. It seems to be difficult to get solution formula for PDE model which generalizes Agliardi's …
The paper models rating transitions and calibrates them to market data for XVA calculations.
Estimates crypto risk premia using hidden factors and finds significant integration with traditional markets.
The introduction of CCPs in most derivative transactions will dramatically change the landscape of derivatives pricing, hedging and risk management, and, according to the TABB group, will lead to an overall liquidity impact about 2 USD trillions. In this article we develop for the first time a comprehensive approach fo…
Correlation matrices of foreign exchange rate time series are investigated for 60 world currencies. Minimal Spanning Tree (MST) graphs for the gold, silver and platinum are presented. Inverse power like scaling is discussed for these graphs as well as for four distinct currency groups (major, liquid, less liquid and no…
The paper develops formulas for hedging and arbitrage in markets with random stopping times.
Study shows how to better estimate credit provisions and economic capital.
Proposes a mixed pension system combining PAYG and funded contributions to address sustainability.
Study shows how macroprudential policies affect credit growth in Israel, especially in housing and business sectors.
Unified view on selective credit assignment for reinforcement learning.
We apply Geometric Arbitrage Theory to obtain results in mathematical finance for credit markets, which do not need stochastic differential geometry in their formulation. We obtain closed form equations involving default intensities and loss given defaults characterizing the no-free-lunch-with-vanishing-risk condition …
This paper develops a machine learning model to assess credit risk in UAE commercial banks.
Study evaluates SHAP for credit card default model consistency.
Large corporate credit models may be adapted for small business risk assessment.
Credit scores misclassify borrowers, especially minorities, leading to inequitable access.
Framework for realistic insurance liability valuation.
Extracts credit-relevant information from earnings calls.
Oja's rule improves neural network training without engineered tricks.
Conic martingales refer to Brownian martingales evolving between bounds. Among other potential applications, they have been suggested for the sake of modeling conditional survival probabilities under partial information, as usual in reduced-form models. Yet, conic martingale default models have a special feature; in co…
DSPO optimizes portfolio construction from raw stock data efficiently.