相关论文: Taxation and Valuation

We consider a model of debt management, where a sovereign state trade some bonds to service the debt with a pool of risk-neutral competitive foreign investors. At each time, the government decides which fraction of the gross domestic…

Reinforcement learning with verifiable rewards (RLVR) is a practical, scalable way to improve large language models on math, code, and other structured tasks. However, we argue that many headline RLVR gains are not yet well validated…

In capitalist societies, only a single right can be fully exerted without constraints of any kind: the limitless accumulation of wealth. Such imperative or prime axiom is the ultimate cause of the raising waves of inequalities observed…

Persistent shifts in term-structure dynamics undermine the stability of single-regime models in long samples. We develop an arbitrage-free regime-switching generalized CIR (RS-GCIR) model that jointly prices the Chinese government bond…

We study the pricing problem for corporate defaultable bond from the viewpoint of the investors outside the firm that could not exactly know about the information of the firm. We consider the problem for pricing of corporate defaultable…

What is the best macroprudential regulation when households differ in their exposure to profits from the financial sector? To answer the question, I study a real business cycle model with household heterogeneity and market incompleteness.…

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…

We derive valuations of a portfolio of financial instruments from a securities lending perspective, under different assumptions, and show a weighting scheme that converges to the true valuation. We illustrate conditions under which our…

We deal with the \textit{selective classification} problem (supervised-learning problem with a rejection option), where we want to achieve the best performance at a certain level of coverage of the data. We transform the original $m$-class…

We consider a rate-distortion version of the quantum state redistribution task, where the error of the decoded state is judged via an additive distortion measure; it thus constitutes a quantum generalisation of the classical Wyner-Ziv…

We solve the pricing problem for perpetual American puts and calls on dividend-paying assets. The dependence of a dividend process on the underlying stochastic factor is fairly general: any non-decreasing function is admissible. The…

A corporate bond trader in a typical sell side institution such as a bank provides liquidity to the market participants by buying/selling securities and maintaining an inventory. Upon receiving a request for a buy/sell price quote (RFQ),…

The alignment tax is widely discussed but has not been formally characterized. We provide a geometric theory of the alignment tax in representation space. Under linear representation assumptions, we define the alignment tax rate as the…

This study investigates an adaptive pricing scheme aimed at achieving an efficient state in a traffic congestion game characterized by a diverse population of road users. While the planner possesses knowledge of players' preferences, their…

We introduce a new diffusion process Xt to describe asset prices within an economic bubble cycle. The main feature of the process, which differs from existing models, is the drift term where a mean-reversion is taken based on an exponential…

Recent crises have increased concerns about supply security in sectors that are considered strategically important. The goal of sufficient domestic production capacities has motivated various forms of subsidies, tariffs and other…

Many economic studies use shift-share instruments to estimate causal effects. Often, all shares need to fulfil an exclusion restriction, making the identifying assumption strict. This paper proposes to use methods that relax the exclusion…

Large variations in stock prices happen with sufficient frequency to raise doubts about existing models, which all fail to account for non-Gaussian statistics. We construct simple models of a stock market, and argue that the large…

Four radical ideas are presented. First, that the rationale for cancellation of principal can be modified in modern banking. Second, that non-cancellation of loan principal upon payment may cure an old problem of maintenance of positive…

In the present paper, we investigate the optimal capital injection behaviour of an insurance company if the interest rate is allowed to become negative. The surplus process of the considered insurance entity is assumed to follow a Brownian…