Related papers: Sensitivity Analysis of Long-Term Cash Flows
Many existing approaches for estimating feature importance are problematic because they ignore or hide dependencies among features. A causal graph, which encodes the relationships among input variables, can aid in assigning feature…
We use first-order perturbation theory to provide a local linear relation between the circuit parameters and the poles of an RLC network. The sensitivity matrix, which defines this relationship, is obtained from the systems eigenvectors and…
Cash managers make daily decisions based on predicted monetary inflows from debtors and outflows to creditors. Usual assumptions on the statistical properties of daily net cash flow include normality, absence of correlation and…
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…
One stylized feature of financial volatility impacting the modeling process is long memory. This paper examines long memory for alternative risk measures, observed absolute and squared returns for Daily REITs and compares the findings for a…
Multivariate time series forecasting is widely used in various fields. Reasonable prediction results can assist people in planning and decision-making, generate benefits and avoid risks. Normally, there are two characteristics of time…
We consider the supOU stochastic volatility model which is able to exhibit long-range dependence. For this model we give conditions for the discounted stock price to be a martingale, calculate the characteristic function, give a strip where…
Recent advances in steady-state analysis of power systems have introduced the equivalent split-circuit approach and corresponding continuation methods that can reliably find the correct physical solution of large-scale power system…
Risk management in financial derivative markets requires inevitably the calculation of the different price sensitivities. The literature contains an abundant amount of research works that have studied the computation of these important…
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…
Computer-based interactive items have become prevalent in recent educational assessments. In such items, the entire human-computer interactive process is recorded in a log file and is known as the response process. This paper aims at…
A quantitative check of weak efficiency in US dollar/German mark exchange rates is developed using high frequency data. We show the existence of long term return anomalies. We introduce a technique to measure the available information and…
Shapley Values, a solution to the credit assignment problem in cooperative game theory, are a popular type of explanation in machine learning, having been used to explain the importance of features, embeddings, and even neurons. In NLP,…
Money launderers exploit the weaknesses in detection systems by purposefully placing their ill-gotten money into multiple accounts, at different banks. That money is then layered and moved around among mule accounts to obscure the origin…
Differential sensitivity measures provide valuable tools for interpreting complex computational models used in applications ranging from simulation to algorithmic prediction. Taking the derivative of the model output in direction of a model…
In this article we revisit the classic problem of tatonnement in price formation from a microstructure point of view, reviewing a recent body of theoretical and empirical work explaining how fluctuations in supply and demand are slowly…
Trading volume movement prediction is the key in a variety of financial applications. Despite its importance, there is few research on this topic because of its requirement for comprehensive understanding of information from different…
In this paper we derive tractable formulae for price sensitivities of two-dimensional spread options using Malliavin calculus. In particular, we consider spread options with asset dynamics driven by geometric Brownian motion and stochastic…
Transformers based on the attention mechanism have achieved impressive success in various areas. However, the attention mechanism has a quadratic complexity, significantly impeding Transformers from dealing with numerous tokens and scaling…
An innovative method is proposed to construct a quantile dependence system for inflation and money growth. By considering all quantiles and leveraging a novel notion of quantile sensitivity, the method allows the assessment of changes in…