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.
Deep learning system improves accuracy of food packaging date verification.
We derive a closed-form formula for computing bond prices between coupon payments. Our results cover both the `Treasury' and the `Street' pricing methods used by sovereign and corporate issuers. We apply our formulas to two UK gilts, the 8% Treasury Gilt 2015, and the 0.5% Treasury Gilt 2022, and show that we can obtai…
Pricing Bermudan swaptions with few exercise dates using analytic methods.
The method and characteristics of several approaches to the pricing of discretely monitored arithmetic Asian options on stocks with discrete, absolute dividends are described. The contrast between method behaviors for options with an Asian tail and those with monitoring throughout their lifespan is emphasized. Rates of…
Investors in Target Date Funds are automatically switched from high risk to low risk assets as their retirements approach. Such funds have become very popular, but our analysis brings into question the rationale for them. Based on both a model with parameters fitted to historical returns and on bootstrap resampling, we…
An idea of Hopf's for applying complex analysis to the study of constant mean curvature spheres is generalized to cover a wider class of spheres, namely, those satisfying a Weingarten relation of a certain type, namely H = f(H^2-K) for some smooth function f, where H and K are the mean and Gauss curvatures, respectivel…
A model-free framework extracts risk-neutral densities from short-dated options.
The Dybvig-Ingersoll-Ross (DIR) theorem states that, in arbitrage-free term structure models, long-term yields and forward rates can never fall. We present a refined version of the DIR theorem, where we identify the reciprocal of the maturity date as the maximal order that long-term rates at earlier dates can dominate …
Catastrophe risk is a major threat faced by individuals, companies, and entire economies. Catastrophe (CAT) bonds have emerged as a method to offset this risk and a corresponding literature has developed that attempts to provide a market-consistent pricing methodology for these and other long-dated, insurance-type cont…
Paper explores volatility swaps in rough volatility models.
A method to produce personalized classification models to automatically review online dating profiles on Tinder is proposed, based on the user's historical preference. The method takes advantage of a FaceNet facial classification model to extract features which may be related to facial attractiveness. The embeddings fr…
Meta-learning framework for credit risk assessment of SMEs, aligning financial statement dates with evaluation dates.
We detect lookahead bias in LLM forecasts using a novel statistical method.
Two new methods score stress test scenarios for risk managers.
We discovered secular trend bias in a drug effectiveness study for a recently approved drug. We compared treatment outcomes between patients who received the newly approved drug and patients exposed to the standard treatment. All patients diagnosed after the new drug's approval date were considered. We built a machine …
New method proves inequalities for self-shrinkers using perturbation.
Probabilistic programming aids in automatically dating ice cores, reducing manual error and uncertainty.
We study the local volatility function in the Foreign Exchange market where both domestic and foreign interest rates are stochastic. This model is suitable to price long-dated FX derivatives. We derive the local volatility function and obtain several results that can be used for the calibration of this local volatility…
Paper presents new expansions for option pricing with cash dividends.
Machine learning for healthcare often trains models on de-identified datasets with randomly-shifted calendar dates, ignoring the fact that data were generated under hospital operation practices that change over time. These changing practices induce definitive changes in observed data which confound evaluations which do…
We study an option pricing framework that accounts for the price impact of an earnings announcement (EA), and analyze the behavior of the implied volatility surface prior to the event. On the announcement date, we incorporate a random jump to the stock price to represent the shock due to earnings. We consider different…
We use an idea of Wang and Yau to give a new definition of quasi-local mass for a topological sphere in an initial date set. The new definition modifies Brown-York's definition by using certain spinor norm as lapse function. And it requires mean curvature of the topological sphere satisfies apparent horizon conditions,…
This paper provides a methodology for fast and accurate pricing of the long-dated contracts that arise as the building blocks of insurance and pension fund agreements. It applies the recursive marginal quantization (RMQ) and joint recursive marginal quantization (JRMQ) algorithms outside the framework of traditional ri…
We develop an optimal currency hedging strategy for fund managers who own foreign assets to choose the hedge tenors that maximize their FX carry returns within a liquidity risk constraint. The strategy assumes that the offshore assets are fully hedged with FX forwards. The chosen liquidity risk metric is Cash Flow at R…
In this Article, a fast numerical numerical algorithm for pricing discrete double barrier option is presented. According to Black-Scholes model, the price of option in each monitoring date can be evaluated by a recursive formula upon the heat equation solution. These recursive solutions are approximated by using Legend…
In this article, we consider a 2 factors-model for pricing defaultable bond with discrete default intensity and barrier where the 2 factors are stochastic risk free short rate process and firm value process. We assume that the default event occurs in an expected manner when the firm value reaches a given default barrie…
Bayesian neural networks improve stellar age predictions with reduced uncertainty.
We reconcile between two classical models of edge-dislocations in solids. The first model, dating from the early 1900s models isolated edge-dislocations as line singularities in locally-Euclidean manifolds. The second model, dating from the 1950s, models continuously-distributed edge-dislocations as smooth manifolds en…
We consider the problem of finding model-independent bounds on the price of an Asian option, when the call prices at the maturity date of the option are known. Our methods differ from most approaches to model-independent pricing in that we consider the problem as a dynamic programming problem, where the controlled proc…
We give an up-to-date overview of geometric and topological properties of cosymplectic and coKaehler manifolds. We also mention some of their applications to time-dependent mechanics.
Extended CIR process with jumps at fixed dates for modeling overnight rates.
We shall prove the universality of the curvature identity for the 4-dimensional Riemannian manifold using a different method than that used by Gilkey, Park, and Sekigawa \cite{GPS}.
Is an option to early terminate a swap at its market value worth zero? At first sight it is, but in presence of counterparty risk it depends on the criteria used to determine such market value. In case of a single uncollateralised swap transaction under ISDA between two defaultable counterparties, the additional unilat…
This paper quantifies the impact of Dow Jones Sustainability Index listing on stock returns.
In this paper, we generalize the Hersch-Payne-Schiffer inequality for Steklov eigenvalues to higher dimensional case by extending the trick used by Hersch, Payne and Schiffer to higher dimensional manifolds.
Paper introduces EEMs for pricing contingent claim returns.
Order matching systems form the backbone of modern equity exchanges, used by millions of investors daily. Thus, their operation is strictly controlled through numerous regulatory directives to ensure that markets are fair and transparent. Despite these efforts, market manipulation remains an open problem. In this work,…
CVAE improves stock volume forecasting with advanced input variables.
In this paper, a rapid and high accurate numerical method for pricing discrete single and double barrier knock-out call options is presented. According to the well-known Black-Scholes framework, the price of option in each monitoring date could be calculate by computing a recursive integral formula upon the heat equati…
Machine learning improves wildfire science and management, but requires expert knowledge.
The paper studies curve evolution using the PLR equation and its solutions.
Study local foliations of surfaces with constant mean curvature and constant expansion in space-time.
We give an exposition of a formula of Daskalopoulos, Hamilton and Sesum for solutions to the Ricci flow on the 2-sphere. This is one of several estimates used by them to classify ancient solutions on the 2-sphere.
Study evaluates three position sizing methods for put-writing on S&P 500 Index options.
Paper connects Stokes phenomena to quantum groups and Poisson-Lie groups.
2-dimensional knots and links are studied in the article. The notion of parity is introduced via techniques similar to the ones used by the second named author in 1-dimensional case. By using parity new invariants are constructed and known invariants are refined.
Using basic properties of one-sided Heegaard splittings, a direct proof that geometrically compressible one-sided splittings of RP^3 are stabilised is given. The argument is modelled on that used by Waldhausen to show that two-sided splittings of S^3 are standard.
Paper offers a simpler solution for managing complex financial options.