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Ethereum and its standardized token interface have formed decentralized finance (DeFi), an open financial system based on blockchain smart contracts. The DeFi ecosystem has become richer with the introduction of DeFi composability projects,…
This white paper provides an overview of the topic of "technical debt" and presents an approach for managing technical debt in teams. The white paper is based on the results of my dissertation, which aimed to translate scientific findings…
Time-decaying currencies have long been discussed in economic theory as a means to discourage hoarding and promote circulation. However, their modern digital implementation as a universal basic income (UBI) mechanism raises unresolved…
The aim of the present article is to treat the Greek public debt issue strictly as a curve fitting problem. Thus, based on Eurostat data and using the Mathematica technical computing software, an exponential function that best fits the data…
Debt aversion can have severe adverse effects on financial decision-making. We propose a model of debt aversion, and design an experiment involving real debt and saving contracts, to elicit and jointly estimate debt aversion with…
In this paper, we present a summary of the design and implementation of a simulation of post-trade services for interest rate swaps, from execution to maturity. We use an authoritative data store (ADS) and the International Swaps and…
The study analyzed the impact of financial inclusion on the effectiveness of monetary policy in developing countries. By using a panel data set of 10 developing countries during 2004-2020, the study revealed that the financial inclusion…
Technical Debt (TD) refers to non-optimal decisions made in software projects that may lead to short-term benefits, but potentially harm the system's maintenance in the long-term. Technical debt management (TDM) refers to a set of…
We show that the martingale component in the long-term factorization of the stochastic discount factor due to Alvarez and Jermann (2005) and Hansen and Scheinkman (2009) is highly volatile, produces a downward-sloping term structure of bond…
Technical debt (TD) is a metaphor to describe the trade-off between short-term workarounds and long-term goals in software development. Despite being widely used to explain technical issues in business terms, industry and academia still…
Context. Technical Debt (TD) refers to short-term beneficial software solutions that impede future changes, making TD management essential. However, establishing a TD management (TDM) process is one of the most pressing concerns in…
A new procedure is presented for the objective comparison and evaluation of default definitions. This allows the lender to find a default threshold at which the financial loss of a loan portfolio is minimised, in accordance with Basel II.…
In fixed income sector, the yield curve is probably the most observed indicator by the market for trading and fifinancing purposes. A yield curve plots interest rates across different contract maturities from short end to as long as 30…
This paper elaborates on the validation requirements for rating systems and probabilities of default (PDs) which were introduced with the New Capital Standards (Basel II). We start in Section 2 with some introductory remarks on the topics…
We consider a general discrete-time financial market with proportional transaction costs as in [Kabanov, Stricker and R\'{a}sonyi Finance and Stochastics 7 (2003) 403--411] and [Schachermayer Math. Finance 14 (2004) 19--48]. In addition to…
Non-fungible tokens or NFTs are the digital assets on a blockchain. NFTs are unique and they cannot be divided like cryptocurrencies. NFTs could store digital ownership of an artwork or collections or can be fan tokens or tickets for clubs.…
The development of Machine Learning (ML)- and, more recently, of Deep Learning (DL)-intensive systems requires suitable choices, e.g., in terms of technology, algorithms, and hyper-parameters. Such choices depend on developers' experience,…
Composite likelihoods are a class of alternatives to the full likelihood which are widely used in many situations in which the likelihood itself is intractable. A composite likelihood may be computed without the need to specify the full…
Atomic swaps enable the transfer of value between the cryptocurrencies of various blockchains without the need to trust an intermediary. In this paper, we propose the concept of atomic loans, which utilize atomic swap technology to allow…
The properties of statistical tests for hypotheses concerning the parameters of the multifractal model of asset returns (MMAR) are investigated, using Monte Carlo techniques. We show that, in the presence of multifractality, conventional…