Related papers: Erratum for: Smile dynamics -- a theory of the imp…
Large Language Models (LLMs) are being adopted across a wide range of tasks, including decision-making processes in industries where bias in AI systems is a significant concern. Recent research indicates that LLMs can harbor implicit biases…
Why do companies choose particular capital structures? A compelling answer to this question remains elusive despite extensive research. In this article, we use double machine learning to examine the heterogeneous causal effect of credit…
The equity risk premium puzzle is that the return on equities has far exceeded the average return on short-term risk-free debt and cannot be explained by conventional representative-agent consumption based equilibrium models. We review a…
Researches using margin based comparison loss demonstrate the effectiveness of penalizing the distance between face feature and their corresponding class centers. Despite their popularity and excellent performance, they do not explicitly…
Nonlinear longitudinal proportional effect models have been proposed to improve power and provide direct estimates of the proportional treatment effect in randomized clinical trials. These models assume a fixed proportional treatment effect…
Although value-aligned language models (LMs) appear unbiased in explicit bias evaluations, they often exhibit stereotypes in implicit word association tasks, raising concerns about their fair usage. We investigate the mechanisms behind this…
We study the estimation of leverage effect and volatility of volatility by using high-frequency data with the presence of jumps. We first construct spot volatility estimator by using the empirical characteristic function of the…
Models to price long term loans in the securities lending business are developed. These longer horizon deals can be viewed as contracts with optionality embedded in them. This insight leads to the usage of established methods from…
Padding tokens are widely used in large language models (LLMs) to equalize sequence lengths during batched inference. While they should be fully masked, implementation errors can cause them to influence computation, and the extent of this…
Measuring beliefs about natural disasters is challenging. Deep out-of-the-money options allow investors to hedge at a range of strikes and time horizons, thus the 3-dimensional surface of firm-level option prices provides information on (i)…
This is a comment on Economic Letters DOI http://dx.doi.org/10.1016/j.econlet.2015.10.015. We show that due to some methodological aspects the main conclusions of the above mentioned paper should be a little bit altered.
We analyze the VIX futures market with a focus on the exchange-traded notes written on such contracts, in particular we investigate the VXX notes tracking the short-end part of the futures term structure. Inspired by recent developments in…
We present a new volatility model, simple to implement, that includes a leverage effect whose return-volatility correlation function fits to empirical observations. This model is able to capture both the "retarded effect" induced by the…
In this article, we consider the small-time asymptotics of options on a \emph{Leveraged Exchange-Traded Fund} (LETF) when the underlying Exchange Traded Fund (ETF) exhibits both local volatility and jumps of either finite or infinite…
This work focuses on the dynamic hedging of financial derivatives, where a reinforcement learning algorithm is designed to minimize the variance of the delta hedging process. In contrast to previous research in this area, we apply…
The Lindy effect is a statistical tendency for things with longer pasts behind them to have longer futures ahead. It has been experimentally confirmed to apply to some categories, but not others, raising questions about when it is…
We attempt to reconcile Gabaix and Koijen's (GK) recent Inelastic Market Hypothesis (IMH) with the order-driven view of markets that emerged within the microstructure literature in the past 20 years. We review the most salient empirical…
Existing mathematical models of delay discounting (e. g. exponential model, hyperbolic model, and those derived from nonextensive statistics) consider impulsivity as a single entity. However, the present article derives a novel mathematical…
In this paper we study the short-time behavior of the at-the-money implied volatility for arithmetic Asian options with fixed strike price. The asset price is assumed to follow the Black-Scholes model with a general stochastic volatility…
This paper characterizes the equilibrium in a continuous time financial market populated by heterogeneous agents who differ in their rate of relative risk aversion and face convex portfolio constraints. The model is studied in an…