arXiv research

Optimal pricing strategy for unknown valuation models with noisy feedback.

Study agnostic feature-based dynamic pricing models with linear policies and noisy valuations.

A new pricing strategy learns customer valuations without noise distribution knowledge.

New model incorporates long-range dependence in mortality rates for better valuation and risk management.

Proposes a tuning-free dynamic pricing method for linear valuation models.

Maximizing trading volume in online learning framework between traders.

Study analyzes broker's gain from trade in repeated context-based trading.

Motivated by posted price auctions where buyers are grouped in an unknown number of latent types characterized by their private values for the good on sale, we investigate revenue maximization in stochastic dynamic pricing when the distribution of buyers' private values is supported on an unknown set of points in [0,1]…

Paper simplifies default process modeling and credit valuation.

Study evaluates valuation models for UK companies using case studies.

Paper recovers uncertainty from dynamic valuation rules.

Business cycles affect startup valuations, both directly and indirectly.

This paper provides intuition on the relationship of accrual and mark-to-market valuation for cash and forward interest rate trades. Discounted cashflow valuation is compared to spread-based valuation for forward trades, which explains the trader's view on valuation. This is followed by Taylor series approximation for …

A Kalman filter reduces valuation risk in business valuation models.

Paper introduces new actuarial-consistent valuations for insurance liabilities.

OpenDataVal benchmarks data valuation algorithms for diverse datasets.

This paper develops a valuation model for private companies.

Financial models are studied where each asset may potentially lose value relative to any other. Conditioning on non-devaluation, each asset can serve as proper numéraire and classical valuation rules can be formulated. It is shown when and how these local valuation rules can be aggregated to obtain global arbitrage-fre…

New framework values football players based on in-game interactions.

Deep learning enhances art market valuation by incorporating visual data.

We consider the valuation problem of an (insurance) company under partial information. Therefore we use the concept of maximizing discounted future dividend payments. The firm value process is described by a diffusion model with constant and observable volatility and constant but unknown drift parameter. For transformi…

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 strategic dynamic pricing for buyers with unknown manipulation costs.

FGSV defends against shell company attacks in group data valuation.

Fast ML framework for derivative valuation from volatility surfaces.

Study reveals which startup valuation factors are most critical.

Study convolution of invariant valuations on Lie groups.

Improved algorithms for dynamic pricing under different valuation models.

SL(n) covariant valuations on Orlicz spaces are represented and characterized.

We introduce a general model for the balance-sheet consistent valuation of interbank claims within an interconnected financial system. Our model represents an extension of clearing models of interdependent liabilities to account for the presence of uncertainty on banks' external assets. At the same time, it also provid…

Market valuation duration is 175 years, but drops to 46 years during crises.

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…

Classification of SL(n) covariant valuations on Orlicz spaces.

The efficiency of a modern economy depends on what we call the Value-Tracking Hypothesis: that market prices of key assets broadly track some underlying value. This can be expected if a sufficient weight of market participants are valuation-based traders, buying and selling an asset when its price is, respectively, bel…

Enhanced Gordon growth model for valuing financial products.

This work simplifies data valuation for LLMs using Shapley value computation.

We prove new kinematic formulas for tensor valuations and simplify previously known Crofton formulas by using the recently developed algebraic theory of translation invariant valuations. The heart of the paper is the computation of the Alesker-Fourier transform on the large class of spherical valuations, which is achie…

In this paper we study the approximate learnability of valuations commonly used throughout economics and game theory for the quantitative encoding of agent preferences. We provide upper and lower bounds regarding the learnability of important subclasses of valuation functions that express no-complementarities. Our main…

Classifies contravariant matrix-valued valuations on polytopes without continuity assumptions.

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…

The paper analyzes regret in bilateral trade mechanisms without prior valuations.

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…

Let $\mathrm{SO}^+(p,q)$ denote the identity connected component of the real orthogonal group with signature $(p,q)$. We give a complete description of the spaces of continuous and generalized translation- and $\mathrm{SO}^+(p,q)$-invariant valuations, generalizing Hadwiger's classification of Euclidean isometry-invari…

This paper proposes a paradigm shift in the valuation of long term annuities, away from classical no-arbitrage valuation towards valuation under the real world probability measure. Furthermore, we apply this valuation method to two examples of annuity products, one having annual payments linked to a mortality index and…

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…

An extension of the idea of state tameness is presented in a dynamic framework. The proposed model for financial markets is rich enough to provide analytical tools that are mostly obtained in models that arise as the solution of SDEs with deterministic coefficients. In the presented model the augmentation by a shadow s…

The classification of continuous, translation invariant Minkowski valuations which are contravariant (or covariant) with respect to the complex special linear group is established in a 2-dimensional complex vector space. Every such valuation is given by the sum of a valuation of degree of homogeneity 1 and 3. In dimens…

Paper develops framework for valuing and assessing credit risk in renewable PPAs.