相关论文: Trading with the Devil: Risk and Return in Foundat…

Large language models (LLMs) trained on unfiltered corpora inherently risk retaining sensitive information, necessitating selective knowledge unlearning for regulatory compliance and ethical safety. However, existing parameter-modifying…

Income and risk coexist, yet investors are often so focused on chasing high returns that they overlook the potential risks that can lead to high losses. Therefore, risk forecasting and risk control is the cornerstone of investment. To…

There is an increasing interest in estimating expectations outside of the classical inference framework, such as for models expressed as probabilistic programs. Many of these contexts call for some form of nested inference to be applied. In…

As Large Language Models (LLMs) become increasingly integrated into our daily lives, the potential harms from deceptive behavior underlie the need for faithfully interpreting their decision-making. While traditional probing methods have…

This article is the second one in a series on the use of scaling invariance in finance. In the first article (cond-mat/9906048), we introduced a new formalism for the pricing of derivative securities, which focusses on tradable objects…

Diffusion in a linear potential in the presence of position-dependent killing is used to mimic a default process. Different assumptions regarding transport coefficients, initial conditions, and elasticity of the killing measure lead to…

The main result of this paper is a collateralized counterparty valuation adjusted pricing equation, which allows to price a deal while taking into account credit and debit valuation adjustments (CVA, DVA) along with margining and funding…

In this paper, we provide a model-independent extension of the paradigm of dynamic hedging of derivative claims. We relate model-independent replication strategies to local martingales having a closed form which we can characterise via…

This paper analyzes realized return behavior across a broad set of crypto assets by estimating heterogeneous exposures to idiosyncratic and systematic risk. A key challenge arises from the latent nature of broader economy-wide risk sources:…

This paper considers the problem of measuring the credit risk in portfolios of loans, bonds, and other instruments subject to possible default under multi-factor models. Due to the amount of the portfolio, the heterogeneous effect of…

The two main approaches in credit risk are the structural approach pioneered in Merton (1974) and the reduced-form framework proposed in Jarrow & Turnbull (1995) and in Artzner & Delbaen (1995). The goal of this article is to provide a…

This paper introduces a novel approach to financial risk analysis that does not rely on traditional price and market data, instead using market news to model assets as distributions over a metric space of risk factors. By representing asset…

This thesis develops a mathematical framework for the analysis of continuous-time trading strategies which, in contrast to the classical setting of continuous-time finance, does not rely on stochastic integrals or other probabilistic…

Concept bottleneck models perform classification by first predicting which of a list of human provided concepts are true about a datapoint. Then a downstream model uses these predicted concept labels to predict the target label. The…

In this paper, we discuss the ambiguous chance constrained based portfolio optimization problems, in which the perturbations associated with the input parameters are stochastic in nature, but their distributions are not known precisely. We…

We propose a methodology to construct tests for the null hypothesis that the pricing errors of a panel of asset returns are jointly equal to zero in a linear factor asset pricing model -- that is, the null of "zero alpha". We consider, as a…

As a fundamental method in economics and finance, the factor model has been extensively utilized in quantitative investment. In recent years, there has been a paradigm shift from traditional linear models with expert-designed factors to…

We consider asset price models whose dynamics are described by linear functions of the (time extended) signature of a primary underlying process, which can range from a (market-inferred) Brownian motion to a general multidimensional…

Frontier models are currently developed and distributed primarily through two channels: centralized proprietary APIs or open-sourcing of pre-trained weights. We identify a third paradigm - Protocol Learning - where models are trained across…

In this paper, we implement and evaluate a conditional diffusion model for asset return prediction and portfolio construction on large-scale equity data. Our method models the full distribution of future returns conditioned on firm…