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Sustainability is the key concept in the management of products that reached their end-of-life. We propose that end-of-life products have -- besides their value as recyclable assets -- additional value for producer and consumer. We argue…
In dynamic capital structure models with an investor break-even condition, the firm's Bellman equation may not generate a contraction mapping, so the standard existence and uniqueness conditions do not apply. First, we provide an example…
Edge storage presents a viable data storage alternative for application vendors (AV), offering benefits such as reduced bandwidth overhead and latency compared to cloud storage. However, data cached in edge computing systems is susceptible…
As the role of variable renewables in electricity markets expands, new market products help system operators manage imbalances caused by uncertainty and variability. Whereas work in the last decade has focused on constructing demand curves…
Elasticity is a cloud property that enables applications and its execution systems to dynamically acquire and release shared computational resources on demand. Moreover, it unfolds the advantage of economies of scale in the cloud through a…
Crowdsourced mobile edge caching and sharing (Crowd-MECS) is emerging as a promising content delivery paradigm by employing a large crowd of existing edge devices (EDs) to cache and share popular contents. The successful technology adoption…
This paper proposes a portfolio construction framework designed to remain robust under estimation error, non-stationarity, and realistic trading constraints. The methodology combines dynamic asset eligibility, deterministic rebalancing, and…
This paper studies an optimal investment and risk control problem for an insurer with default contagion and regime-switching. The insurer in our model allocates his/her wealth across multi-name defaultable stocks and a riskless bond under…
It is becoming common practice to push interactive and location-based services from remote datacenters to resource-constrained edge domains. This trend creates new management challenges at the network edge, not least to ensure resilience.…
Extreme Value Theory (EVT) is one of the most commonly used approaches in finance for measuring the downside risk of investment portfolios, especially during financial crises. In this paper, we propose a novel approach based on EVT called…
Systemic risk is the risk that a company- or industry-level risk could trigger a huge collapse of another or even the whole institution. Various systemic risk measures have been proposed in the literature to quantify the domino and…
In a series of recent papers, Damiano Brigo, Andrea Pallavicini, and co-authors have shown that the value of a contract in a Credit Valuation Adjustment (CVA) setting, being the sum of the cash flows, can be represented as a solution of a…
The rapid growth of Blockchain and Decentralized Finance (DeFi) has introduced new challenges and vulnerabilities that threaten the integrity and efficiency of the ecosystem. This study identifies critical issues such as Transaction Order…
The distribution of block maxima of sequences of independent and identically-distributed random variables is used to model extreme values in many disciplines. The traditional extreme value (EV) theory derives a closed-form expression for…
Derivatives, as a critical class of financial instruments, isolate and trade the price attributes of risk assets such as stocks, commodities, and indices, aiding risk management and enhancing market efficiency. However, traditional hedging…
In our model, private actors with interbank cash flows similar to, but nore general than (Carmona, Fouque, Sun, 2013) borrow from the outside economy at a certain interest rate, controlled by the central bank, and invest in risky assets.…
In this work we study the price-hedge issue for general defaultable contracts characterized by the presence of a contingent CSA of switching type. This is a contingent risk mitigation mechanism that allow the counterparties of a defaultable…
Multi-tenancy in resource-constrained environments is a key challenge in Edge computing. In this paper, we develop 'DYVERSE: DYnamic VERtical Scaling in Edge' environments, which is the first light-weight and dynamic vertical scaling…
The notion of a credit spread curve is fundamental in fixed income investing, but in practice it is not `given' and needs to be constructed from bond prices either for a particular issuer, or for a sector rating-by-rating. Rather than…
Prepayment risk embedded in fixed-rate mortgages forms a significant fraction of a financial institution's exposure, and it receives particular attention because of the magnitude of the underlying market. The embedded prepayment option…