Related papers: A Top-down Model for Cash CLO
In this article, we combine replication pricing with expectation pricing for derivative trades that are partially collateralized by cash. The derivatives are replicated by underlying assets and cash, using repurchasing agreement (repo) and…
This paper discusses the valuation of credit default swaps, where default is announced when the reference asset price has gone below certain level from the last record maximum, also known as the high-water mark or drawdown. We assume that…
This whitepaper introduces an innovative mechanism for pricing perpetual contracts and quoting fees to traders based on current market conditions. The approach employs liquidity curves and on-chain oracles to establish a new adaptive…
This work studies the valuation of currency options in markets suffering from a financial crisis. We consider a European option where the underlying asset is a foreign currency. We assume that the value of the underlying asset is a…
The paper considers the problem of out-of-sample risk estimation under the high dimensional settings where standard techniques such as $K$-fold cross validation suffer from large biases. Motivated by the low bias of the leave-one-out cross…
The top-down approach of engineering software integration is considered in this parer. A set of advantages of this approach are presented, by examples. All examples are supplied by open source code.
The proposed framework introduces a novel multidimensional representation of money using tensor analysis, enabling a more granular examination of economic interactions and capital flow. By treating money as a multidimensional entity, this…
The development of algorithms for hierarchical clustering has been hampered by a shortage of precise objective functions. To help address this situation, we introduce a simple cost function on hierarchies over a set of points, given…
Evaluation often aims to reduce the correctness or error characteristics of a system down to a single number, but that always involves trade-offs. Another way of dealing with this is to quote two numbers, such as Recall and Precision, or…
Modern large language model (LLM) services increasingly rely on complex, often abstract operations, such as multi-step reasoning and multi-agent collaboration, to generate high-quality outputs. While users are billed based on token…
We introduce a top-down approach to discourse parsing that is conceptually simpler than its predecessors (Kobayashi et al., 2020; Zhang et al., 2020). By framing the task as a sequence labelling problem where the goal is to iteratively…
We model the impact costs of a strategy that trades a basket of correlated instruments, by extending to the multivariate case the linear propagator model previously used for single instruments. Our specification allows us to calibrate a…
Foundation models - already transformative in domains such as natural language processing - are now starting to emerge for time-series tasks in finance. While these pretrained architectures promise versatile predictive signals, little is…
As users migrate their analytical workloads to cloud databases, it is becoming just as important to reduce monetary costs as it is to optimize query runtime. In the cloud, a query is billed based on either its compute time or the amount of…
In the forthcoming ISDA Standard Credit Support Annex (SCSA), the trades denominated in non-G5 currencies as well as those include multiple currencies are expected to be allocated to the USD silo, where the contracts are collateralized by…
This article contributes to the design and the verification of trusted components and services. The contracts are declined at several levels to cover then different facets, such as component consistency, compatibility or correctness. The…
We present a simple continuous-time model of clearing in financial networks. Financial firms are represented as "tanks" filled with fluid (money), flowing in and out. Once "pipes" connecting "tanks" are open, the system reaches the clearing…
In this paper we address the problem of dynamic pricing for toll lanes on freeways. The proposed toll mechanism is broken up into two parts: (1) the supply side feedback control that computes the desired split ratios for the incoming…
As competitiveness increases, being able to guaranting QoS of delivered services is key for business success. It is thus of paramount importance the ability to continuously monitor the workflow providing a service and to timely recognize…
We study cash-flow forecasting for derivatives used in liquidity management and clarify its relation to risk-neutral valuation and replication. While it is well known that expectations under different measures (e.g., $\mathbb{P}$ vs.…