Related papers: Central Clearing Valuation Adjustment
Many modern data analyses benefit from explicitly modeling dependence structure in data -- such as measurements across time or space, ordered words in a sentence, or genes in a genome. A gold standard evaluation technique is structured…
Cross-validation (CV) is a technique used to estimate generalization error for prediction models. For pipeline modeling algorithms (i.e. modeling procedures with multiple steps), it has been recommended the entire sequence of steps be…
This paper explores the capabilities of the Constant Elasticity of Variance model driven by a mixed-fractional Brownian motion (mfCEV) [Axel A. Araneda. The fractional and mixed-fractional CEV model. Journal of Computational and Applied…
Formal Concept Analysis (FCA) is a mathematical framework for knowledge representation and discovery. It performs a hierarchical clustering over a set of objects described by attributes, resulting in conceptual structures in which objects…
Is an option to early terminate a swap at its market value worth zero? At first sight it is, but in presence of counterparty risk it depends on the criteria used to determine such market value. In case of a single uncollateralised swap…
Cloud service providers typically provide different types of virtual machines (VMs) to cloud users with various requirements. Thanks to its effectiveness and fairness, auction has been widely applied in this heterogeneous resource…
This paper describes a consistent and arbitrage-free pricing methodology for bespoke CDO tranches. The proposed method is a multi-factor extension to the (Li 2009) model, and it is free of the known flaws in the current standard pricing…
Liquidation of collateral are the primary safeguard for solvency of lending protocols in decentralized finance. However, the mechanics of liquidations expose these protocols to predatory price manipulations and other forms of Maximal…
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…
The paper studies derivative asset analysis in structural credit risk models where the asset value of the firm is not fully observable. It is shown that in order to compute the price dynamics of traded securities one needs to solve a…
Liquidity providers are essential for the function of decentralized exchanges to ensure liquidity takers can be guaranteed a counterparty for their trades. However, liquidity providers investing in liquidity pools face many risks, the most…
In many sequential decision-making problems we may want to manage risk by minimizing some measure of variability in costs in addition to minimizing a standard criterion. Conditional value-at-risk (CVaR) is a relatively new risk measure that…
In a stochastic volatility framework, we find a general pricing equation for the class of payoffs depending on the terminal value of a market asset and its final quadratic variation. This allows a pricing tool for European-style claims…
We present the conditional value-at-risk (CVaR) in the context of Markov chains and Markov decision processes with reachability and mean-payoff objectives. CVaR quantifies risk by means of the expectation of the worst p-quantile. As such it…
Valuation of Credit Valuation Adjustment (CVA) has become an important field as its calculation is required in Basel III, issued in 2010, in the wake of the credit crisis. Exposure, which is defined as the potential future loss of a default…
Competing firms that share a population of risky customers face a decentralized risk detection problem in which each firm holds fragmentary information whose aggregation would generate social value, but private incentives impede truthful…
We propose a Central Bank Digital Currency Evaluation and Verification (CEV) Framework for recommending and verifying technical solutions in the central bank digital currency (CBDC) system. We demonstrate two sub-frameworks: an evaluation…
Multi-view data are increasingly prevalent in practice. It is often relevant to analyze the relationships between pairs of views by multi-view component analysis techniques such as Canonical Correlation Analysis (CCA). However, data may…
Efficient access to high-quality information is vital for online platforms. To promote more useful information, users not only create new content but also evaluate existing content, often through helpfulness voting. Although aggregated…
The Constant Elasticity of Variance (CEV) model is mathematically presented and then used in a Credit-Equity hybrid framework. Next, we propose extensions to the CEV model with default: firstly by adding a stochastic volatility diffusion…