Related papers: A Top-down Model for Cash CLO
Due to a hard dependency between time steps, large-scale simulations of gas using the Direct Simulation Monte Carlo (DSMC) method proceed at the pace of the slowest processor. Scalability is therefore achievable only by ensuring that the…
Model-based algorithms, which learn a dynamics model from logged experience and perform some sort of pessimistic planning under the learned model, have emerged as a promising paradigm for offline reinforcement learning (offline RL).…
We introduce a novel class of credit risk models in which the drift of the survival process of a firm is a linear function of the factors. The prices of defaultable bonds and credit default swaps (CDS) are linear-rational in the factors.…
It is well known that the minimal superhedging price of a contingent claim is too high for practical use. In a continuous-time model uncertainty framework, we consider a relaxed hedging criterion based on acceptable shortfall risks.…
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…
We introduce a new method to calculate the credit exposure of European and path-dependent options. The proposed method is able to calculate accurate expected exposure and potential future exposure profiles under the risk-neutral and the…
Organizations are often unable to align the interests of all stakeholders with the financial success of the organization (e.g. due to regulation). However, continuous organizations (COs) introduce a paradigm shift. COs offer immediate…
We have designed an innovative portfolio rebalancing mechanism termed the Cascading Waterfall Round Robin Mechanism. This algorithmic approach recommends an ideal size and number of trades for each asset during the periodic rebalancing…
Power system models are a valuable and widely used tool to determine cost-minimal future operation and investment under political or ecological boundary conditions. Yet they are silent about the allocation of costs of single assets, as…
Optimistic rollups are a popular and promising method of increasing the throughput capacity of their underlying chain. These methods rely on economic incentives to guarantee their security. We present a model of optimistic rollups that…
We consider a method of lines (MOL) approach to determine prices of European and American exchange options when underlying asset prices are modelled with stochastic volatility and jump-diffusion dynamics. As the MOL, as with any other…
We develop a model where currency issuers provide liquidity, while users in a trade network choose currency usage for trade settlement. We identify a feedback mechanism where a user's currency preference spillovers to others and increases…
We introduce a combinatorial variant of the cost sharing problem: several services can be provided to each player and each player values every combination of services differently. A publicly known cost function specifies the cost of…
In [1], a single-period co-optimization model of energy and reserve is considered to better illustrate the properties of the co-optimization model and the associated market mechanism. To make the discussion more general, in this paper, the…
Accurate crude oil price prediction is crucial for financial decision-making. We propose a novel reservoir computing model for forecasting crude oil prices. It outperforms popular deep learning methods in most scenarios, as demonstrated…
The market practice of extrapolating different term structures from different instruments lacks a rigorous justification in terms of cash flows structure and market observables. In this paper, we integrate our previous consistent theory for…
We propose a pricing technique based on coherent risk measures, which enables one to get finer price intervals than in the No Good Deals pricing. The main idea consists in splitting a liability into several parts and selling these parts to…
A large number of different model checking approaches has been proposed during the last decade. The different approaches are applicable to different model types including untimed, timed, probabilistic and stochastic models. This paper…
We propose a model for price formation in financial markets based on clearing of a standard call auction with random orders, and verify its validity for prediction of the daily closing price distribution statistically. The model considers…
This paper presents a novel study on gas-like models for economic systems. The interacting agents and the amount of exchanged money at each trade are selected with different levels of randomness, from a purely random way to a more chaotic…