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Soft default, defined as a delinquency of 90 days or more, is a relatively common event in the credit market, in 2010 such episodes affected about 3 million individuals. Yet we lack a detailed understanding of what happens afterward. We use…
We discuss the binary nature of funding impact in derivative valuation. Under some conditions, funding is either a cost or a benefit, i.e., one of the lending/borrowing rates does not play a role in pricing derivatives. When derivatives are…
Managing technical debt (TD) is essential for maintaining long-term software projects. Nonetheless, the time and cost involved in technical debt management (TDM) are often high, which may lead practitioners to omit TDM tasks. The adoption…
Transformers are unable to model long-term memories effectively, since the amount of computation they need to perform grows with the context length. While variations of efficient transformers have been proposed, they all have a finite…
A maxitive measure is the analogue of a finitely additive measure or charge, in which the usual addition is replaced by the supremum operation. Contrarily to charges, maxitive measures often have a density. We show that maxitive measures…
This paper addresses the problem of adding redundancy to a collection of physical objects so that the overall system is more robust to failures. In contrast to its information counterpart, which can exploit parity to protect multiple…
Self-Admitted Technical Debt (SATD) refers to instances where developers knowingly introduce suboptimal solutions into code and document them, often through textual artifacts. This paper provides a comprehensive state-of-practice report on…
Currency crises are frequently discussed retrospectively as a necessary and deterministic outcome of a finite sequence of fiscal decisions, monetary manoeuvres, and limited exogenous inputs. Parallelly, the Twin Deficits Hypothesis (TDH)…
Monitoring means to observe a system for any changes which may occur over time, using a monitor or measuring device of some sort. In this paper we formulate a problem of monitoring dates of maximal risk of a financial position. Thus, the…
Component substitution has numerous practical applications and constitutes an active research topic. This paper proposes to enrich an existing component-based framework--a model with dynamic reconfigurations making the system evolve--with a…
American and Bermudan-type financial instruments are often priced with specific Monte Carlo techniques whose efficiency critically depends on the effective dimensionality of the problem and the available computational power. In our work we…
A negative basis trade enters a long bond position and buys protection on the issuer of the bond through credit default swap (CDS), aiming at arbitrage profit due to the bond-CDS basis. To classic reduced form model theorists, the existence…
Context: Technical lag accumulates when software systems fail to keep pace with technological advancements, leading to a deterioration in software quality. Objective: This paper aims to consolidate existing research on technical lag,…
A new financial instrument (a new kind of a loan) is introduced. The loan-stock instrument (LSI) combines fixed rate instruments (loans, etc.) with other financial instruments that have higher volatilities and returns (stocks, mutual funds,…
A new derivative, called deformable derivative, is introduced here which is equivalent to ordinary derivative in the sense that one implies other. The deformable derivative is defined using limit approach like that of ordinary one but with…
In this study, we investigate asset price bubbles in a discrete-time, discrete-state market under model uncertainty and short sales prohibitions. Building on a new fundamental theorem of asset pricing and a superhedging duality in this…
This paper investigates and compares currency substitution between the currencies of Central and Eastern European (CEE) countries and the euro. In addition, we develop a model with microeconomic foundations, which identifies difference…
A storage system where a k units stock is replaced instantaneously, when required,is presented in this work. It is also supposed a Poisson demand. It is proved that the storage system replenishment cost expected present value function…
When performing Bayesian inference, we frequently need to work with conditional probability densities. For example, the posterior function is the conditional density of the parameters given the data. Some might worry that conditional…
We obtain an explicit formula for the bilateral counterparty valuation adjustment of a credit default swaps portfolio referencing an asymptotically large number of entities. We perform the analysis under a doubly stochastic intensity…