Related papers: On Pricing Basket Credit Default Swaps
In this paper we study a generalization of distributed conditional gradient method to time-varying network architectures. We theoretically analyze convergence properties of the algorithm and provide numerical experiments. The time-varying…
This paper examines empirical methods for estimating the response of aggregated electricity demand to high-frequency price signals, the short-term elasticity of electricity demand. We investigate how the endogeneity of prices and the…
We analyze the Bass and SI models for the spreading of innovations and epidemics, respectively, on homogeneous complete networks, circular networks, and heterogeneous complete networks with two homogeneous groups. We allow the network…
It remains a challenging problem to tightly estimate the worst case response time of an application in a distributed embedded system, especially when there are dependencies between tasks. We discovered that the state-of-the art techniques…
We present a class of flexible and tractable static factor models for the term structure of joint default probabilities, the factor copula models. These high-dimensional models remain parsimonious with pair-copula constructions, and nest…
Randomized trials and observational studies, more often than not, run over a certain period of time. The treatment effect evolves during this period which provides crucial insights into the treatment response and the long-term effects. Many…
Individual-based models of contagious processes are useful for predicting epidemic trajectories and informing intervention strategies. In such models, the incorporation of contact network information can capture the non-randomness and…
The goal of developing a firmer theoretical understanding of inhomogenous temporal processes -- in particular, the waiting times in some collective dynamical system -- is attracting significant interest among physicists. Quantifying the…
Calculating how long a coupled multi-species reactive-diffusive transport process in a heterogeneous medium takes to effectively reach steady state is important in many applications. In this paper, we show how the time required for such…
We propose a semi-structured discrete-time multi-state model to analyse mortgage delinquency transitions. This model combines an easy-to-understand structured additive predictor, which includes linear effects and smooth functions of time…
In this paper, a pricing formula for volatility swaps is delivered when the underlying asset follows the stochastic volatility model with jumps and stochastic intensity. By using Feynman-Kac theorem, a partial integral differential equation…
We derive high-order compact finite difference schemes for option pricing in stochastic volatility models on non-uniform grids. The schemes are fourth-order accurate in space and second-order accurate in time for vanishing correlation. In…
Meeting the ever-growing needs of the power grid requires constant infrastructure enhancement. There are two important aspects for a grid ability to ensure continuous and reliable electricity delivery to consumers: capacity, the maximum…
The problem of finding the expected value of a statistic of a locally stable point process in a bounded region is addressed. We propose an adaptive importance sampling for solving the problem. In our proposal, we restrict the importance…
Recently proposed generative models for discrete data, such as Masked Diffusion Models (MDMs), exploit conditional independence approximations to reduce the computational cost of popular Auto-Regressive Models (ARMs), at the price of some…
The 2008 financial crisis has been attributed to "excessive complexity" of the financial system due to financial innovation. We employ computational complexity theory to make this notion precise. Specifically, we consider the problem of…
We show that, for the purpose of pricing Swaptions, the Swap rate and the corresponding Forward rates can be considered lognormal under a single martingale measure. Swaptions can then be priced as options on a basket of lognormal assets and…
This paper provides an analytical methodology to compute the sensitivities with respect to system parameters for any second order hybrid Ordinary Differential Equation (ODE) system. The hybrid ODE system is characterized by discontinuities…
The utility-based pricing of defaultable bonds in the case of stochastic intensity models of default risk is discussed. The Hamilton-Jacobi- Bellman (HJB) equations for the value functions is derived. A finite difference method is used to…
The problem of minimizing mean response time of generic jobs submitted to a heterogenous distributed computer systems is considered in this paper. A static load balancing strategy, in which decision of redistribution of loads does not…