Related papers: Clean Valuation Framework for the USD Silo
Our study provides a survey on how existing stablecoins-- cryptocurrencies aiming at price stabilization-- peg their value to other assets, from the perspective of Decentralized Payment Systems (DPSs). This attempt is important because…
The prediction of foreign exchange rates, such as the US Dollar (USD) to Bangladeshi Taka (BDT), plays a pivotal role in global financial markets, influencing trade, investments, and economic stability. This study leverages historical…
We obtain an explicit formula for the bilateral counterparty valuation adjustment of a credit default swaps portfolio referencing an asymptotically large number of entities. We perform the analysis under a doubly stochastic intensity…
A generalization of the coordinated transaction scheduling (CTS)---the state-of-the-art interchange scheduling---is proposed. Referred to as generalized coordinated transaction scheduling (GCTS), the proposed approach addresses major seams…
It is well known that the success of deep neural networks is greatly attributed to large-scale labeled datasets. However, it can be extremely time-consuming and laborious to collect sufficient high-quality labeled data in most practical…
We introduce the general arbitrage-free valuation framework for counterparty risk adjustments in presence of bilateral default risk, including default of the investor. We illustrate the symmetry in the valuation and show that the adjustment…
We suggest the re-introduction of bartering to create a cryptocurrencyless, currencyless, and moneyless economy segment. We contend that a barter economy would benefit enterprises, individuals, governments and societies. For instance, the…
In a series of recent papers, Damiano Brigo, Andrea Pallavicini, and co-authors have shown that the value of a contract in a Credit Valuation Adjustment (CVA) setting, being the sum of the cash flows, can be represented as a solution of a…
A group of people wishes to use money to exchange goods efficiently over several time periods. However, there are disadvantages to using any of the goods as money, and in addition fiat money issued in the form of notes or coins will be…
A positive correlation between exposure and counterparty credit risk gives rise to the so-called Wrong-Way Risk (WWR). Even after a decade of the financial crisis, addressing WWR in both sound and tractable ways remains challenging.…
This paper models yearly exchange rates between USD/KZT, EUR/KZT and SGD/KZT, and compares the actual data with developed forecasts using time series analysis over the period from 2006 to 2014. The official yearly data of National Bank of…
This paper considers the case of pricing discretely-sampled variance swaps under the class of equity-interest rate hybridization. Our modeling framework consists of the equity which follows the dynamics of the Heston stochastic volatility…
This paper shows that a well designed transport system has an embedded exchange value by serving as a market for potential exchange between consumers. Under suitable conditions, one can improve the welfare of consumers in the system simply…
We review the main changes in the interbank market after the financial crisis started in August 2007. In particular, we focus on the fixed income market and we analyse the most relevant empirical evidences regarding the divergence of the…
The classical technical analysis methods of financial time series based on the moving average and momentum is recalled. Illustrations use the IBM share price and Latin American (Argentinian MerVal, Brazilian Bovespa and Mexican IPC) market…
How to design a fair and reasonable allocation plan for the common revenue of the alliance is considered in this paper. We regard the common revenue to be allocated as an exogenous variable which will not participate in the subsequent…
Conformal prediction gives exact finite-sample coverage guarantees under exchangeability, but deployed systems are judged by more than coverage alone. For a fixed calibrated rule reused over a finite operational window, stakeholders also…
In barter exchanges, participants directly trade their endowed goods in a constrained economic setting without money. Transactions in barter exchanges are often facilitated via a central clearinghouse that must match participants even in…
In this paper, we consider the Heston-CIR model with L\'{e}vy process for pricing in the foreign exchange (FX) market by providing a new formula that better fits the distribution of prices. To do that, first, we study the existence and…
We introduce the notion of a risk-limiting financial auditing (RLFA): given $N$ transactions, the goal is to estimate the total misstated monetary fraction~($m^*$) to a given accuracy $\epsilon$, with confidence $1-\delta$. We do this by…