arXiv research

Computes tube formulas for valuations in complex space forms.

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…

A Steiner type formula for continuous translation invariant Minkowski valuations is established. In combination with a recent result on the symmetry of rigid motion invariant homogeneous bivaluations, this new Steiner type formula is used to obtain a family of Brunn-Minkowski type inequalities for rigid motion intertwi…

Graham's formula simplifies stock valuation for growth stocks.

We obtain new general results on the structure of the space of translation invariant continuous valuations on convex sets (a version of the hard Lefschetz theorem). Using these and our previous results we obtain explicit characterization of unitarily invariant translation invariant continuous valuations. It implies new…

Existence of smooth valuations on subspaces is shown for certain conditions.

The Alesker-Poincare pairing for smooth valuations on manifolds is expressed in terms of the Rumin differential operator acting on the cosphere-bundle. It is shown that the derivation operator, the signature operator and the Laplace operator acting on smooth valuations are formally self-adjoint with respect to this pai…

We show that the natural "convolution" on the space of smooth, even, translation-invariant convex valuations on a euclidean space $V$, obtained by intertwining the product and the duality transform of S. Alesker, may be expressed in terms of Minkowski sum. Furthermore the resulting product extends naturally to odd valu…

Developed new Crofton formulas for pseudo-Riemannian spaces.

New $L_p$-Steiner quermassintegrals defined from Steiner formula.

This paper develops a valuation model for private companies.

The valuation of counterparty risk for single name credit derivatives requires the computa- tion of joint distributions of default times of two default-prone entities. For a Merton-type model, we derive some formulas for these joint distribu- tions. As an application, closed formulas for counterparty risk on a CDS or f…

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…

Generalizing Weyl's tube formula and building on Chern's work, Alesker reinterpreted the Lipschitz-Killing curvature integrals as a family of valuations (finitely-additive measures with good analytic properties), attached canonically to any Riemannian manifold, which is universal with respect to isometric embeddings. I…

The product of smooth valuations on manifolds is described in terms of differential forms, Gelfand transforms and blow-up spaces. It is shown that the product extends partially to generalized valuations and corresponds geometrically to transversal intersections. This result is used to prove a general kinematic formula …

New proof confirms operations on constructible functions match theory.

Study affine models for alternative risk-free rates and derive caplet pricing formulas.

We derive explicit valuation formulae for an exotic path-dependent interest rate derivative, namely an option on the composition of LIBOR rates. The formulae are based on Fourier transform methods for option pricing. We consider two models for the evolution of interest rates: an HJM-type forward rate model and a LIBOR-…

Alternative closed-form formula for spread call option prices under log-normal models.

Study convolution of invariant valuations on Lie groups.

We show how Alesker's theory of valuations on manifolds gives rise to an algebraic picture of the integral geometry of any Riemannian isotropic space. We then apply this method to give a thorough account of the integral geometry of the complex space forms, i.e. complex projective space, complex hyperbolic space and com…

The spaces of Sp(n)-, Sp(n)U(1)- and Sp(n)Sp(1)- invariant, translation invariant, continuous convex valuations on the quaternionic vector space H^n are studied. Combinatorial dimension formulas involving Young diagrams and Schur polynomials are proved.

We give in explicit form the principal kinematic formula for the action of the affine unitary group on $\C^n$, together with a straightforward algebraic method for computing the full array of unitary kinematic formulas, expressed in terms of certain convex valuations introduced, essentially, by H. Tasaki. We introduce …

We introduce the new notion of convolution of a (smooth or generalized) valuation on a group $G$ and a valuation on a manifold $M$ acted upon by the group. In the case of a transitive group action, we prove that the spaces of smooth and generalized valuations on $M$ are modules over the algebra of compactly supported g…

Valuation and parity formulas for both European-style and American-style exchange options are presented in a general financial model allowing for jumps, possibility of default and "bubbles" in asset prices. The formulas are given via expectations of auxiliary probabilities using the change-of-numeraire technique. Exten…

Alesker has introduced the space $\mathcal V^\infty(M)$ of {\it smooth valuations} on a smooth manifold $M$, and shown that it admits a natural commutative multiplication. Although Alesker's original construction is highly technical, from a moral perspective this product is simply an artifact of the operation of inters…

We consider the valuation of contingent claims with delayed dynamics in a Black&Scholes complete market model. We find a pricing formula that can be decomposed into terms reflecting the market values of the past and the present, showing how the valuation of future cashflows cannot abstract away from the contribution of…

Fair market valuations ignore future worker profits in employee-owned firms.

We study the $O(p,q)$-invariant valuations classified by A. Bernig and the author. Our main result is that every such valuation is given by an $O(p,q)$-invariant Crofton formula. This is achieved by first obtaining a handful of explicit formulas for a few sufficiently general signatures and degrees of homogeneity, nota…

We introduce different bases for the vector space of $\mathrm{Sp}(2)\mathrm{Sp}(1)$-invariant, translation invariant continuous valuations on the quaternionic plane and determine a complete set of kinematic formulas.

We survey recent results in hermitian integral geometry, i.e. integral geometry on complex vector spaces and complex space forms. We study valuations and curvature measures on complex space forms and describe how the global and local kinematic formulas on such spaces were recently obtained. While the local and global k…

Analyzes valuation of derivative claims with asymmetric funding costs and WWR.

This paper surveys options pricing under arithmetic Brownian motion and derives formulas for various types of options.

This paper considers the valuation of exotic path-dependent options in Lévy models, in particular options on the supremum and the infimum of the asset price process. Using the Wiener--Hopf factorization, we derive expressions for the analytically extended characteristic function of the supremum and the infimum of a Lév…

Unified methods for hedging impermanent loss in decentralized exchanges.

Enhanced Gordon growth model for valuing financial products.

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…

Compact formulas for evaluating insurance policies' risks.

In this paper, within the framework of uncertainty theory, the valuation of equity warrants is investigated. Different from the methods of probability theory, the equity warrants pricing problem is solved by using the method of uncertain calculus. Based on the assumption that the firm price follows an uncertain differe…

The algebras of valuations on $S^6$ and $S^7$ invariant under the actions of $\mathrm G_2$ and $\mathrm{Spin}(7)$ are shown to be isomorphic to the algebra of translation-invariant valuations on the tangent space at a point invariant under the action of the isotropy group. This is in analogy with the cases of real and …

Within the context of the banking-related literature on contingent convertible bonds, we comprehensively formalise the design and features of a relatively new type of insurance-linked security, called a contingent convertible catastrophe bond (CocoCat). We begin with a discussion of its design and compare its relative …

Deep learning speeds CAT bond valuation.

We compare two different bilateral counterparty valuation adjustment (BVA) formulas. The first formula is an approximation and is based on subtracting the two unilateral Credit Valuation Adjustment (CVA)'s formulas as seen from the two different parties in the transaction. This formula is only a simplified representati…

In this paper we present formulas for the valuation of debt and equity of firms in a financial network under comonotonic endowments. We demonstrate that the comonotonic setting provides a lower bound and Jensen's inequality provides an upper bound to the price of debt under Eisenberg-Noe financial networks with bankrup…

The minimizer of a volume function is unique for klt singularities.

Neural networks assess asset-liability risk over time.

Following the approach of standard filtering theory, we analyse investor-valuation of firms, when these are modelled as geometric-Brownian state processes that are privately and partially observed, at random (Poisson) times, by agents. Tasked with disclosing forecast values, agents are able purposefully to withhold the…

We take the holistic approach of computing an OTC claim value that incorporates credit and funding liquidity risks and their interplays, instead of forcing individual price adjustments: CVA, DVA, FVA, KVA. The resulting nonlinear mathematical problem features semilinear PDEs and FBSDEs. We show that for the benchmark v…