Related papers: A Simple Factoring Pricing Model
In this note we show how to replicate a stylized CDS with a repurchase agreement and an asset swap. The latter must be designed in such a way that, on default of the issuer, it is terminated with a zero close-out amount. This break clause…
In this paper we investigate the pricing problem of a pure endowment contract when the insurer has a limited information on the mortality intensity of the policyholder. The payoff of this kind of policies depends on the residual life time…
We consider the valuation of contingent claims with delayed dynamics in a Black&Scholes complete market model. We find a pricing formula that can be decomposed into terms reflecting the market values of the past and the present, showing how…
We study a class of iterative combinatorial auctions which can be viewed as subgradient descent methods for the problem of pricing bundles to balance supply and demand. We provide concrete convergence rates for auctions in this class,…
The objective of this paper is to provide a comprehensive study no-arbitrage pricing of financial derivatives in the presence of funding costs, the counterparty credit risk and market frictions affecting the trading mechanism, such as…
We present here an original application of the non-negative matrix factorization (NMF) method, for the case of extra-financial data. These data are subject to high correlations between co-variables, as well as between observations. NMF…
In this article, we study the problem of pricing defaultable bond with discrete default intensity and barrier under constant risk free short rate using higher order binary options and their integrals. In our credit risk model, the risk free…
Non-negative matrix factorization is a popular tool for decomposing data into feature and weight matrices under non-negativity constraints. It enjoys practical success but is poorly understood theoretically. This paper proposes an algorithm…
We provide analytical pricing formula of corporate defaultable bond with both expected and unexpected default in the case with stochastic default intensity. In the case with constant short rate and exogenous default recovery using PDE…
Generally accepted depreciation methods do not compute the intrinsic value of an asset, as they do not factor for the Time Value of Money, a key principle within financial theory. This is disadvantageous, as knowing the intrinsic value of…
Bank behaviour is important for pricing XVA because it links different counterparties and thus breaks the usual XVA pricing assumption of counterparty independence. Consider a typical case of a bank hedging a client trade via a CCP. On…
The principle of finding an integrating factor for a none exact differential equations is extended to a class of third order differential equations. If the third order equation is not exact, under certain conditions, an integrating factor…
High-dimensional tensor-valued data have recently gained attention from researchers in economics and finance. We consider the estimation and inference of high-dimensional tensor factor models, where each dimension of the tensor diverges.…
Invoice or payment dilution is the gap between the approved invoice amount and the actual collection is a significant source of non credit risk and margin loss in supply chain finance. Traditionally, this risk is managed through the buyer's…
In the information-based approach to asset pricing the market filtration is modelled explicitly as a superposition of signals concerning relevant market factors and independent noise. The rate at which the signal is revealed to the market…
Given a non-contracting trajectory of a nonlinear system, we consider the question of designing an input perturbation that makes the perturbed trajectory contracting. This paper stresses the analogy of this question with the classical…
We show how the cost of funding the collateral in a particular set up can be equal to the Bilateral Valuation Adjustment with the "funded" probability of default, leading to the definition of a Funded Bilateral Valuation Adjustment (FBVA).…
We introduce a new approach to an enumerative problem closely linked with the geometry of branched coverings; that is, we study the number of ways a permutation can be decomposed into a product of a given number of 2-cycles, 3-cycles, etc.…
This paper considers a variant of the classical Cram\'er-Lundberg model that is particularly appropriate in the credit context, with the distinguishing feature that it corresponds to a finite number of obligors. The focus is on computing…
When arranging for third-party data annotation, it can be hard to compare how well the competing providers apply best practices to create high-quality datasets. This leads to a "race to the bottom," where competition based solely on price…