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Corporate defaults may be triggered by some major market news or events such as financial crises or collapses of major banks or financial institutions. With a view to develop a more realistic model for credit risk analysis, we introduce a…
For decades, Simultaneous Ascending Auction (SAA) has been the most popular mechanism used for spectrum auctions. It has recently been employed by many countries for the allocation of 5G licences. Although SAA presents relatively simple…
Most models for barrier pricing are designed to let a market maker tune the model-implied covariance between moves in the asset spot price and moves in the implied volatility skew. This is often implemented with a local…
The classical two-dimensional discrete frustrated $\phi ^4$ model is studied by Monte Carlo simulations. The correlation function is obtained for two values of a parameter $d$ that determines the frustration in the model. The ground state…
We present a new model for the electricity spot price dynamics, which is able to capture seasonality, low-frequency dynamics and the extreme spikes in the market. Instead of the usual purely deterministic trend we introduce a non-stationary…
A simple, yet reasonably accurate, analytical technique is proposed for multi-factor structural credit portfolio models. The accuracy of the technique is demonstrated by benchmarking against Monte Carlo simulations. The approach presented…
Importance sampling is a promising variance reduction technique for Monte Carlo simulation based derivative pricing. Existing importance sampling methods are based on a parametric choice of the proposal. This article proposes an algorithm…
A Bonus-Malus System (BMS) in insurance is a premium adjustment mechanism widely used in a posteriori ratemaking process to set the premium for the next contract period based on a policyholder's claim history. The current practice in BMS…
The purpose of the paper is to present a new pricing method for clean spread options, and to illustrate its main features on a set of numerical examples produced by a dedicated computer code. The novelty of the approach is embedded in the…
It is reported that task monetary prize is one of the most important motivating factors to attract crowd workers. While using expert-based methods to price Crowdsourcing tasks is a common practice, the challenge of validating the associated…
We study the improvement of simulations of QCD with dynamical Wilson fermions by combining the Hybrid Monte Carlo algorithm with parallel tempering. As an indicator for decorrelation we use the topological charge.
In recent years, there has been a significant increase in attention towards designing incentive mechanisms for federated learning (FL). Tremendous existing studies attempt to design the solutions using various approaches (e.g., game theory,…
Price without transaction makes no sense. Trading volume authenticates its corresponding price, so there exist mutual information and correlation between price and trading volume. We are curious about fractal features of this correlation…
Federated Learning (FL) is a distributed learning framework that can deal with the distributed issue in machine learning and still guarantee high learning performance. However, it is impractical that all users will sacrifice their resources…
We examine in this article the pricing of target volatility options in the lognormal fractional SABR model. A decomposition formula by Ito's calculus yields a theoretical replicating strategy for the target volatility option, assuming the…
Payments in online ad auctions are typically derived from click-through rates, so that advertisers do not pay for ineffective ads. But advertisers often care about more than just clicks. That is, for example, if they aim to raise brand…
Copulas. We study the model risk of multivariate risk models in a comprehensive empirical study on Copula-GARCH models used for forecasting Value-at-Risk and Expected Shortfall. To determine whether model risk inherent in the forecasting of…
Credit Valuation Adjustment is a balance sheet item which is nowadays subject to active risk management by specialized traders. However, one of the most important risk factors, which is the vector of default intensities of the counterparty,…
Joint multivariate longitudinal and time-to-event data are gaining increasing attention in the biomedical sciences where subjects are followed over time to monitor the progress of a disease or medical condition. In the insurance context,…
This study presents a comparative analysis of Monte Carlo (MC) and quasi-Monte Carlo (QMC) methods in the context of derivative pricing, emphasizing convergence rates and the curse of dimensionality. After a concise overview of traditional…