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Cross-Currency Basis Swaps Referencing Backward-Looking Rates
The financial industry has undergone a significant transition from the London Interbank Offered Rate (LIBOR) to Risk Free Rates (RFR) such as, e.g., the Secured Overnight Financing Rate (SOFR) in the U.S. and the AUD Overnight I ... Read More >
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First order Martingale model risk and semi-static hedging
We investigate model risk distributionally robust sensitivities for functionals on the Wasserstein space when the underlying model is constrained to the martingale class and/or is subject to constraints on the first marginal law ... Read More >
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Simulating and analyzing a sparse order book: an application to intraday electri ...
This paper presents a novel model for simulating and analyzing sparse limit order books (LOBs), with a specific application to the European intraday electricity market. In illiquid markets, characterized by significant gaps betw ... Read More >
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Quantum-Inspired Portfolio Optimization In The QUBO Framework
A quantum-inspired optimization approach is proposed to study the portfolio optimization aimed at maximizing the returns of investment portfolio while minimizing its risk by diversifying investment across different asset classes ... Read More >
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Hedging via Perpetual Derivatives: Trinomial Option Pricing and Implied Paramete ...
We introduce a fairly general, recombining trinomial tree model in the natural world. Market-completeness is ensured by considering a market consisting of two risky assets, a riskless asset, and a European option. The two risky ... Read More >
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Numerical analysis of American option pricing in a two-asset jump-diffusion mode ...
This paper addresses a significant gap in rigorous numerical treatments for pricing American options under correlated two-asset jump-diffusion models using the viscosity solution approach, with a particular focus on the Merton m ... Read More >
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Deviance Voronoi Residuals for Space-Time Point Process Models: An Application t ...
Insurance risk arising from catastrophes such as earthquakes a component of the Minimum Capital Test for federally regulated property and casualty insurance companies. Analyzing earthquake insurance risk requires well-fitted spa ... Read More >
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Cracking the code: Lessons from 15 years of digital health IPOs for the era of A ...
Introduction: As digital health evolves, identifying factors that drive success is crucial. This study examines how reimbursement billing codes affect the long-term financial performance of digital health companies on U.S. stock ... Read More >
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Efficient calibration of the shifted square-root diffusion model to credit defau ...
We derive a closed-form approximation for the credit default swap (CDS) spread in the two-dimensional shifted square-root diffusion (SSRD) model using asymptotic coefficient expansion technique to approximate solutions of nonlin ... Read More >
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Dynamic Portfolio Rebalancing: A Hybrid new Model Using GNNs and Pathfinding for ...
This paper introduces a novel approach to optimizing portfolio rebalancing by integrating Graph Neural Networks (GNNs) for predicting transaction costs and Dijkstra's algorithm for identifying cost-efficient rebalancing paths. U ... Read More >