Related papers: A Top-down Model for Cash CLO
E-commerce platforms and payment solution providers face increasingly sophisticated fraud schemes, ranging from identity theft and account takeovers to complex money laundering operations that exploit the speed and anonymity of digital…
While consolidation strategies form the backbone of many supply chain optimisation problems, exploitation of multi-tier material relationships through consolidation remains an understudied area, despite being a prominent feature of…
We consider a pair of traders in a market where the information available to the second trader is a strict subset of the information available to the first trader. The traders make prices based on the information available concerning a…
The Unspent Transaction Output (UTXO) model is commonly used in the field of Distributed Ledger Technology (DLT) to transfer value between participants. One of its advantages is that it allows parallel processing of transactions, as…
Pseudo-Boolean model counting involves computing the number of satisfying assignments of a given pseudo-Boolean (PB) formula. In recent years, PB model counting has seen increased interest partly owing to the succinctness of PB formulas…
Payment channels were introduced to solve various eminent cryptocurrency scalability issues. Multiple payment channels build a network on top of a blockchain, the so-called layer 2. In this work, we analyze payment networks through the lens…
Implicit copulas are the most common copula choice for modeling dependence in high dimensions. This broad class of copulas is introduced and surveyed, including elliptical copulas, skew $t$ copulas, factor copulas, time series copulas and…
The advancement of technology facilitates explosive growth of mobile usage in the last decade. Numerous applications have been developed to support its usage. However, gap in technology exists in obtaining correct and trusted values for…
Research in logic encryption over the last decade has resulted in various techniques to prevent different security threats such as Trojan insertion, intellectual property leakage, and reverse engineering. However, there is little agreement…
The model checking problem for open systems has been intensively studied in the literature, for both finite-state (module checking) and infinite-state (pushdown module checking) systems, with respect to Ctl and Ctl*. In this paper, we…
In this paper, approximation schemes are proposed for handling load uncertainty in compliance-based topology optimization problems, where the uncertainty is described in the form of a set of finitely many loading scenarios. Efficient…
Recent advancements in money laundering detection have demonstrated the potential of using graph neural networks to capture laundering patterns accurately. However, existing models are not explicitly designed to detect the diverse patterns…
In financial markets, abnormal trading behaviors pose a serious challenge to market surveillance and risk management. What is worse, there is an increasing emergence of abnormal trading events that some experienced traders constitute a…
We address the problem of executing large client orders in continuous double-auction markets under time and liquidity constraints. We propose a model predictive control (MPC) framework that balances three competing objectives: order…
This paper focus on pricing exchange option based on copulas by MCMC algorithm. Initially, we introduce the methodologies concerned about risk-netural pricing, copulas and MCMC algorithm. After the basic knowledge, we compare the option…
We consider a financial market in which two securities are traded: a stock and an index. Their prices are assumed to satisfy the Black-Scholes model. Besides assuming that the index is a tradable security, we also assume that it is…
In this paper we introduce a class of information-based models for the pricing of fixed-income securities. We consider a set of continuous- time information processes that describe the flow of information about market factors in a monetary…
Given a finite set of European call option prices on a single underlying, we want to know when there is a market model which is consistent with these prices. In contrast to previous studies, we allow models where the underlying trades at a…
Typically, operational risk losses are reported above a threshold. Fitting data reported above a constant threshold is a well known and studied problem. However, in practice, the losses are scaled for business and other factors before the…
We propose a unifying framework for the pricing of debt securities under general time-inhomogeneous short-rate diffusion processes. The pricing of bonds, bond options, callable/putable bonds, and convertible bonds (CBs) is covered. Using…