Related papers: Clean Valuation Framework for the USD Silo

Credit Value Adjustment (CVA) is the difference between the value of the default-free and credit-risky derivative portfolio, which can be regarded as the cost of the credit hedge. Default probabilities are therefore needed, as input…

We consider as given a discrete time financial market with a risky asset and options written on that asset and determine both the sub- and super-hedging prices of an American option in the model independent framework of ArXiv:1305.6008. We…

This research aims to provide a framework to assess the contribution of digital currencies to promote financial inclusion, based on a diagnosis of the landscape of financial inclusion and domestic and cross-border payments in Latin America…

We suggest an intermediate currency approach that allows us to price options on all FX markets simultaneously under the same risk-neutral measure which ensures consistency of FX option prices across all markets. In particular, it is…

Dollar-Cost Averaging (DCA) is a widely used technique to mitigate volatility in long-term investments of appreciating assets. However, the inefficiency of DCA arises from fixing the investment amount regardless of market conditions. In…

We investigate topology and temporal evolution of the foreign currency exchange market viewed from a weighted network perspective. Based on exchange rates for a set of 46 currencies (including precious metals), we construct different…

We propose an interpretable machine learning framework to help identify trade data discrepancies that are challenging to detect with traditional methods. Our system analyzes trade data to find a novel inverse price-volume signature, a…

We develop a pricing model for Sovereign Contingent Convertible bonds (S-CoCo) with payment standstills triggered by a sovereign's Credit Default Swap (CDS) spread. We model CDS spread regime switching, which is prevalent during crises, as…

Stablecoins promise to bridge fiat currencies with the world of cryptocurrencies. They provide a way for users to take advantage of the benefits of digital currencies, such as ability to transfer assets over the internet, provide assurance…

The pricing of currency options is largely dependent on the dynamic relationship between a pair of currencies. Typically, the pricing of options with payoffs dependent on multi-assets becomes tricky for reasons such as the non-Gaussian…

A fundamental goal in the design of IaaS service is to enable both user-friendly and cost-effective service access, while attaining high resource efficiency for revenue maximization. QoS differentiation is an important lens to achieve this…

In barter exchanges agents enter seeking to swap their items for other items on their wishlist. We consider a centralized barter exchange with a set of agents and items where each item has a positive value. The goal is to compute a…

In large scale distributed computing systems, communication overhead is one of the major bottlenecks. In the map-shuffle-reduce framework, which is one of the major distributed computing frameworks, the communication load among servers can…

Discretely sampled variance and volatility swaps trade actively in OTC markets. To price these swaps, the continuously sampled approximation is often used to simplify the computations. The purpose of this paper is to study the conditions…

We extend the opinion formation approach to probe the world influence of economical organizations. Our opinion formation model mimics a battle between currencies within the international trade network. Based on the United Nations Comtrade…

Stablecoins such as USDT and USDC aspire to peg stability by coupling issuance controls with reserve attestations. In practice, however, transparency remains fragmented across heterogeneous data sources, with key evidence about circulation,…

We present a dialogue on Funding Costs and Counterparty Credit Risk modeling, inclusive of collateral, wrong way risk, gap risk and possible Central Clearing implementation through CCPs. This framework is important following the fact that…

This study introduces a novel approach for EUR/USD exchange rate forecasting that integrates deep learning, textual analysis, and particle swarm optimization (PSO). By incorporating online news and analysis texts as qualitative data, the…

We depart from the usual methods for pricing contracts with the counterparty credit risk found in most of the existing literature. In effect, typically, these models do not account for either systemic effects or at-first-default contagion…

The general problem of asset pricing when the discount rate differs from the rate at which an asset's cash flows accrue is considered. A pricing kernel framework is used to model an economy that is segmented into distinct markets, each…