相关论文: The Validity of Company Valuation Using Discounted…

Due to the recent increase in interest in Financial Technology (FinTech), applications like credit default prediction (CDP) are gaining significant industrial and academic attention. In this regard, CDP plays a crucial role in assessing the…

We study the pricing problem for corporate defaultable bond from the viewpoint of the investors outside the firm that could not exactly know about the information of the firm. We consider the problem for pricing of corporate defaultable…

Data valuation -- quantifying the contribution of individual data sources to certain predictive behaviors of a model -- is of great importance to enhancing the transparency of machine learning and designing incentive systems for data…

With the rise of renewable energy sources and their high variability in generation, the management of power grids becomes increasingly complex and computationally demanding. Conventional AC-power-flow simulations, which use the…

The pressure-correction method is a well established approach for simulating unsteady, incompressible fluids. It is well-known that implicit discretization of the time derivative in the momentum equation e.g. using a backward…

Derivative pricing is about cash flow discounting at the riskfree rate. This teaching has lost its meaning post the financial crisis, due to the addition of extra value adjustments (XVA), which also made derivatives pricing and valuation a…

The basic financial purpose of an enterprise is maximization of its value. Trade credit management should also contribute to realization of this fundamental aim. Many of the current asset management models that are found in financial…

The plethora of comparison shopping agents (CSAs) in today's markets enables buyers to query more than a single CSA when shopping, and an inter-CSAs competition naturally arises. We suggest a new approach, termed "selective price…

The control flow graph (CFG) representation of a procedure used by virtually all flow-sensitive program analyses, admits a large number of infeasible control flow paths i.e., these paths do not occur in any execution of the program. Hence…

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…

Material Flow Analysis (MFA) is used to quantify and understand the life cycles of materials from production to end of use, which enables environmental, social and economic impacts and interventions. MFA is challenging as available data is…

Credit Value Adjustment (CVA) is the difference between the value of the default-free and credit-risky derivative portfolio, which can be regarded as the cost of the credit hedge. Default probabilities are therefore needed, as input…

The scope for the accurate calculation of the Loss Given Default (LGD) parameter is comprehensive in terms of financial data. In this research, we aim to explore methods for improving the approximation of realized LGD in conditions of…

Credit Valuation Adjustment captures the difference in the value of derivative contracts when the counterparty default probability is taken into account. However, in the context of a network of contracts, the default probability of a direct…

In this paper we aim to find a measure for the diversity of cash flows between agents in an economy. We argue that cash flows can be linked to probabilities of finding a currency unit in a given cash flow. We then use the information…

The article reviews fluid flow models implemented in the leading CFD software tools and designed for simulation of multi-component and multi-phase flows, compressible flows, flows with heat transfer, cavitation and other phenomena. The…

With the explosive growth of e-commerce, online transaction fraud has become one of the biggest challenges for e-commerce platforms. The historical behaviors of users provide rich information for digging into the users' fraud risk. While…

Data valuation is a ML field that studies the value of training instances towards a given predictive task. Although data bias is one of the main sources of downstream model unfairness, previous work in data valuation does not consider how…

Cost-of-capital valuation is a well-established approach to the valuation of liabilities and is one of the cornerstones of current regulatory frameworks for the insurance industry. Standard cost-of-capital considerations typically rely on…

The valuation of over-the-counter derivatives is subject to a series of valuation adjustments known as xVA, which pose additional risks for financial institutions. Associated risk measures, such as the value-at-risk of an underlying…