Related papers: Clean Valuation Framework for the USD Silo
Simple Clock Auctions (SCA) are a mechanism commonly used in spectrum auctions to sell lots of frequency bandwidths. We study such an auction with one player having access to perfect information against straightforward bidders. When the…
We develop robust pricing and hedging of a weighted variance swap when market prices for a finite number of co--maturing put options are given. We assume the given prices do not admit arbitrage and deduce no-arbitrage bounds on the weighted…
We introduce a fast and flexible Machine Learning (ML) framework for pricing derivative products whose valuation depends on volatility surfaces. By parameterizing volatility surfaces with the 5-parameter stochastic volatility inspired (SVI)…
We present a high-level framework that explains why, in practice, different pricing models calibrated to the same vanilla surface tend to produce similar valuations for exotic derivatives. Our approach acts as an overlay on the Monte Carlo…
The financial crisis of 2007/08 caused catastrophic consequences and brought a bunch of changes around the world. Interest rates that were known to follow or behave similarly of each other diverged. Furthermore, the regulation and in…
This paper examines fiscal policy spillovers through informal international financial channels, using the US stimulus checks as a positive, sudden, and direct fiscal shock. I utilize granular, transaction-level cryptocurrency data combined…
This article prices OTC derivatives with either an exogenously determined initial margin profile or endogenously approximated initial margin. In the former case, margin valuation adjustment (MVA) is defined as the liability-side discounted…
We study insolvency cascades in an interbank system when banks are allowed to insure their loans with credit default swaps (CDS) sold by other banks. We show that, by properly shifting financial exposures from one institution to another, a…
A theoretical self-sustainable economic model is established based on the fundamental factors of production, consumption, reservation and reinvestment, where currency is set as a unconditional credit symbol serving as transaction equivalent…
Before the 2008 financial crisis, most research in financial mathematics focused on pricing options without considering the effects of counterparties' defaults, illiquidity problems, and the role of the sale and repurchase agreement (Repo)…
Hashed Timelock (HTLC)-based atomic swap protocols enable the exchange of coins between two or more parties without relying on a trusted entity. This protocol is like the American call option without premium. It allows the finalization of a…
Programmable money, enabled by digital currencies, facilitates outcomes beyond simple payments by allowing users to attach conditions to the movement of funds through code. However, there is a lack of clarity on defining programmable money,…
Option written on several foreign exchange rates (FXRs) depends on correlation between the rates. To evaluate the option, historical estimates for correlations can be used but usually they are not stable. More significantly, pricing of the…
We introduce SQL-Exchange, a framework for mapping SQL queries across different database schemas by preserving the source query structure while adapting domain-specific elements to align with the target schema. We investigate the conditions…
The importance of supply chain management in analyzing and later catalyzing economic expectations while simultaneously prioritizing cleaner production aspects is a vital component of modern finance. Such predictions, though, are often known…
The proactive Asset Administration Shell (AAS) enables bidirectional communication between assets. It uses the Language for I4.0 Components in VDI/VDE 2193 to facilitate negotiations, such as allocating products to available production…
In this paper, we propose a clearing model for prices in a financial markets due to margin calls on short sold assets. In doing so, we construct an explicit formulation for the prices that would result immediately following asset purchases…
Current digital currency schemes provide instantaneous exchange on precise commodity, in which "precise" means a buyer can possibly verify the function of the commodity without error. However, imprecise commodities, e.g. statistical data,…
There are many studies dealing with the analysis of similarity among currencies in foreign exchange market by using network analysis approach. In those studies, each currency is represented by a univariate time series of exchange rate…
This article proposes a spatial dynamic structural equation model for the analysis of housing prices at the State level in the USA. The study contributes to the existing literature by extending the use of dynamic factor models to the…