相关论文: Simulation of Derivatives Post-Trade Services usin…

In this paper we explore opportunities for the post-trade industry to standardize and simplify in order to significantly increase efficiency and reduce costs. We start by summarizing relevant industry problems (inconsistent processes,…

A new initiative from the International Swaps and Derivatives Association (ISDA) aims to establish a "Common Domain Model" (ISDA CDM): a new standard for data and process representation across the full range of derivatives instruments.…

This paper attempts to accurately model security requirements for computational grid environments with particular focus on authentication. We introduce the Audited Credential Delegation (ACD) architecture as a solution to some of the…

Recently, incomplete-market techniques have been used to develop a model applicable to credit default swaps (CDSs) with results obtained that are quite different from those obtained using the market-standard model. This article makes use of…

We present a new model for credit index derivatives, in the top-down approach. This model has a dynamic loss intensity process with volatility and jumps and can include counterparty risk. It handles CDS, CDO tranches, Nth-to-default and…

In this paper we develop a tractable structural model with analytical default probabilities depending on some dynamics parameters, and we show how to calibrate the model using a chosen number of Credit Default Swap (CDS) market quotes. We…

We study insolvency cascades in an interbank system when banks are allowed to insure their loans with credit default swaps (CDS) sold by other banks. We show that, by properly shifting financial exposures from one institution to another, a…

Derivative hedging and pricing are important and continuously studied topics in financial markets. Recently, deep hedging has been proposed as a promising approach that uses deep learning to approximate the optimal hedging strategy and can…

In this work we derive an approximated no-arbitrage market valuation formula for Constant Maturity Credit Default Swaps (CMCDS). We move from the CDS options market model in Brigo (2004), and derive a formula for CMCDS that is the analogous…

The 2008 financial crisis has been attributed to "excessive complexity" of the financial system due to financial innovation. We employ computational complexity theory to make this notion precise. Specifically, we consider the problem of…

We describe a new public-domain open-source simulator of an electronic financial exchange, and of the traders that interact with the exchange, which is a truly distributed and cloud-native system that been designed to run on widely…

This paper presents a new financial market simulator that may be used as a tool in both industry and academia for research in market microstructure. It allows multiple automated traders and/or researchers to simultaneously connect to an…

Vanilla unsupervised domain adaptation methods tend to optimize the model with fixed neural architecture, which is not very practical in real-world scenarios since the target data is usually processed by different resource-limited devices.…

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…

We propose a model which can be jointly calibrated to the corporate bond term structure and equity option volatility surface of the same company. Our purpose is to obtain explicit bond and equity option pricing formulas that can be…

Quantum dots must be tuned precisely to provide a suitable basis for quantum computation. A scalable platform for quantum computing can only be achieved by fully automating the tuning process. One crucial step is to trap the appropriate…

In this study, we developed a computational framework for simulating large-scale agent-based financial markets. Our platform supports trading multiple simultaneous assets and leverages distributed computing to scale the number and…

In this tutorial paper, we will firstly review some basic simulation concepts and then introduce the parallel and distributed simulation techniques in view of some new challenges of today and tomorrow. More in particular, in the last years…

Developing business-logic-rich microservices requires navigating complex trade-offs between data consistency and distributed coordination. Although patterns like Sagas and Transactional Causal Consistency (TCC) provide mechanisms to manage…

Derivative traders are usually required to scan through hundreds, even thousands of possible trades on a daily basis. Up to now, not a single solution is available to aid in their job. Hence, this work aims to develop a trading…