Paper proposes quantum methods for optimizing machine learning functions.
problem Machine learning optimization problem
method Average approach and Partial Swap Test Cut-off method (PSTC)
result Potential to improve PSTC to
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Equity Protection Swaps: A New Type of Investment Insurance for Holders of Superannuation Accountsq-fin.PR
New EPS insurance offers partial protection against superannuation losses.
problem Lack of efficient investment insurance for superannuation holders.
method Developed a new financial derivative, equity protection swap (EPS), and derived a fair pricing formula.
result EPS can be an efficient investment insurance tool for superannuation accounts.
A new permutation method improves two-sample testing power.
problem Two-sample testing with improved power and validity.
method Structured block-restricted cross-swaps.
result Block-restricted permutations achieve higher power than full permutations.
The third moment variation of a financial asset return process is defined by the quadratic covariation between the return and square return processes. The skew and fat tail risk of an underlying asset can be hedged using a third moment variation swap under which a predetermined fixed leg and the floating leg of the rea…
In this paper, a pricing formula for volatility swaps is delivered when the underlying asset follows the stochastic volatility model with jumps and stochastic intensity. By using Feynman-Kac theorem, a partial integral differential equation is obtained to derive the joint moment generating function of the previous mode…
DGNN predicts financial margin calls under stress tests.
problem Forecasting margin calls in dynamic financial networks.
method Dynamic Graph Neural Network (DGNN) architecture.
result DGNN produces accurate forecasts up to 21 days.
An uncollateralized swap hedged back-to-back by a CCP swap is used to introduce FVA. The open IR01 of FVA, however, is a sure sign of risk not being fully hedged, a theoretical no-arbitrage pricing concern, and a bait to lure market risk capital, a practical business concern. By dynamically trading the CCP swap, with t…
Proposes a new method for completing swap cycles in decentralized exchanges.
problem Completing swap cycles in decentralized exchanges efficiently and without slippage.
method Introduces an asset matrix formulation to verify and complete CoW cycles using graph traversal and imbalance correction.
result Demonstrates efficient discovery and insertion of synthetic orders for atomic cycle closure.
Empirical study finds variance swap rate is affine in spot variance for S&P500 data.
problem Investigating the relationship between variance swap rate and spot variance.
method Empirical analysis using S&P500 data from 2006-2018, testing different models.
result Affine relationship between variance swap rate and spot variance is supported.
Develops a novel framework for pricing variance swaps in multi-asset stochastic volatility models.
problem Pricing variance swaps in multi-asset stochastic volatility models.
method Determinant-based instantaneous generalized variance, Heston and BNS stochastic volatility frameworks.
result Analytical pricing expressions for multi-asset Heston and BNS formulations.
We develop an efficient method to calibrate CDS spreads using asymptotic approximations.
problem Calibrating CDS spreads in the SSRD model with correlated processes.
method Asymptotic coefficient expansion to approximate solutions of nonlinear PDEs.
result Our approximation does not require uncorrelated interest rate and default intensity processes.
Derives formulae linking SABR model parameters to ATM and option prices.
problem Characterizing SABR model parameters from option prices.
method Analytic formulae linking , , and to ATM price and option prices at strikes.
result Characterization of SABR parameters from swap rate probability density function derivatives.
Hedging under rough volatilityq-fin.MF
Perfect hedging of options with a dynamic portfolio in rough volatility models.
problem Hedging options in rough volatility models.
method Presented a simple but general result showing perfect hedging with a dynamic portfolio of underlying and variance swap.
result Rough volatility models significantly reduce hedging error compared to diffusion-based models.
Investors optimize equity and CDS trading to mitigate default risk.
problem Optimizing investment in equity and CDS markets to manage default risk.
method Semi-linear PDE for certainty equivalent, proving existence and optimality of policies.
result Optimal CDS policies cover both equity and future trading losses, increasing investor utility.
Numerical analysis of an extended structural default model with mutual liabilities and jump riskq-fin.CP
We consider a structural default model in an interconnected banking network as in Lipton [International Journal of Theoretical and Applied Finance, 19(6), 2016], with mutual obligations between each pair of banks. We analyse the model numerically for two banks with jumps in their asset value processes. Specifically, we…
Debt swaps improve financial networks by optimizing clearing payments and stability.
problem Improving financial network stability and efficiency through debt swaps.
method Analyzing computational complexity of debt swaps, focusing on semi-positive swaps and v-improving swaps.
result Polynomial length of sequences of semi-positive v-improving swaps for ranking-based clearing, but NP-hard for arbitrary v-improving swaps.
Paper generalizes pricing and hedging of volatility swaps in stochastic models.
problem Pricing and hedging of volatility swaps in stochastic volatility models.
method Generalizes zero vanna approximation to seasoned swaps, derives hedges using vanilla options and variance swaps.
result Pricing and hedging of volatility swaps are made practical and robust.
Swapping debt contracts can mitigate risk in financial networks.
problem Mitigating risk in financial networks through debt swaps.
method Analysis of debt swapping operations in financial networks under various conditions.
result Positive debt swaps can exist in worst-case shock models to minimize losses.
Revisits Jarrow & Turnbull model for credit and liquidity risk.
problem Modeling credit and liquidity risk in financial markets.
method Uses foreign exchange analogy and partially observable exchange rate.
result Derives tractable term structure models and explicit valuation formulae.
Recovery Swapsq-fin.PR
We derive an arbitrage free relationship between recovery swap rates, digital default swap spreads and conventional CDS spreads, and argue that the fair forward recovery rate used in recovery swaps must contain a convexity premium over the expected recovery value.
The paper prices swaps on generalized variance measures for multiple assets.
problem Hedging risk in financial markets with multi-asset swaps.
method Pricing generalized variance swaps using Barndorff-Nielsen and Shephard model.
result Results have implications for commodity sector risk management.
This study reviews techniques to estimate volatility and price Variance Swaps.
problem Estimating historical volatility and pricing Variance Swaps.
method Review of existing techniques.
result Discussion of various methods to estimate volatility and price Variance Swaps.
F. Labourie [arXiv:1212.5015] characterized the Hitchin components for for any by using the swapping algebra, where the swapping algebra should be understood as a ring equipped with a Poisson bracket. We introduce the rank swapping algebra, which is the quotient of the swap…
In this paper, we model financial markets with semi-Markov volatilities and price covarinace and correlation swaps for this markets. Numerical evaluations of vari- nace, volatility, covarinace and correlations swaps with semi-Markov volatility are presented as well. The novelty of the paper lies in pricing of volatilit…
New metrics improve quantum ensemble learning efficiency and power.
problem Quantum ensembles' distances poorly understood due to measurement constraints.
method Introduce MMD- hierarchy of integral probability metrics for quantum ensembles.
result MMD- requires fewer samples for full discriminative power at higher .
Exact relationships found between ATM slope, volatility swap, and zero vanna.
problem Understanding relationships between implied volatilities and swaps.
method Analyzes exact relationships between ATM slope, volatility swap, and zero vanna.
result Exact relationships between ATM slope, volatility swap, and zero vanna.
Paper derives formulas for volatility swap strike and zero vanna implied volatility.
problem Relationship between volatility swap strike and zero vanna implied volatility.
method Applied Malliavin calculus to derive exact formulas.
result Zero vanna implied volatility is a better approximation for volatility swap strike.
A note on setting swap parameters for traders.
problem Determining optimal slippage parameters and trade size for wealth swapping.
method Theoretical solution and framework for optimal slippage parameters and trade size.
result Offers a method to solve optimal slippage parameters and trade size for wealth swapping.
Develops new e-processes and confidence sequences for Gaussian means with unknown variance.
problem Constructing valid t-tests and confidence sequences for Gaussian means with unknown variance.
method Explores generalized nonintegrable martingales and extended Ville's inequality, developing two new e-processes and confidence sequences.
result Analyzes the width of resulting confidence sequences with a polynomial dependence on error probability, proving it to be unavoidable and even better than classical fixed-sample t-tests.
Paper solves no-swap regret minimization for combinatorial bandits with polylogarithmic dependence on N.
problem Design efficient no-swap regret algorithms for combinatorial bandits with exponentially large action space.
method Introduces a no-swap-regret learning algorithm with polylogarithmic dependence on N and demonstrates efficient implementation.
result Achieves no-swap regret with polylogarithmic dependence on N, resolving an open problem.
We consider the high-dimensional sparse linear regression problem of accurately estimating a sparse vector using a small number of linear measurements that are contaminated by noise. It is well known that the standard cadre of computationally tractable sparse regression algorithms---such as the Lasso, Orthogonal Matchi…
The paper extends the market price of risk for electricity swap contracts, incorporating jump risk.
problem Pricing electricity swap contracts with consideration of jump risk.
method Introducing a Merton type model with jumps and transferring to the physical measure, comparing arithmetic and geometric averaging.
result A decomposition of swap's market price of risk into classical and market price of risk components.
The Market Price of Risk for Delivery Periods: Pricing Swaps and Options in Electricity Marketsq-fin.PR
Paper introduces a new pricing method for electricity swaps and options.
problem Pricing electricity swaps and options in markets with varying delivery periods.
method Introduces a weighted geometric averaging of futures prices over delivery periods.
result Arbitrage-free pricing framework for derivatives in electricity markets.
Improved bounds for multicalibration and omniprediction in online and distributional settings.
problem Achieving efficient multicalibration and omniprediction in fairness and loss minimization.
method Proposed an efficient algorithm achieving improved rates for multicalibration and omniprediction.
result Achieved -swap multicalibration error for convex Lipschitz functions.
Unified formula for arbitrary liquidity operations in weighted AMMs
problem Decentralized resource allocation in intelligent transportation systems
method Weighted invariant adapted from Balancer-type AMMs
result Unified formula for four resource allocation operations
A variance swap is a derivative with a path-dependent payoff which allows investors to take positions on the future variability of an asset. In the idealised setting of a continuously monitored variance swap written on an asset with continuous paths it is well known that the variance swap payoff can be replicated exact…
The SABR model is shortly presented and the volatility swap explained. The fair value for a volatility swap is then computed using the usual theory in financial mathematics. An analytical solution using confluent hypergeometric functions is found. The solution is then verified using Rama Cont's functional calculus.
Paper examines pricing and hedging for cross-currency swaps referencing backward-looking rates.
problem Pricing and hedging cross-currency swaps with backward-looking rates.
method Uses interest rate and currency futures for hedging, analyzes arbitrage-free multi-curve setting.
result Explicit pricing and hedging results for CCBS with backward-looking rates.
Lower bound found for volatility swap in SABR model.
problem Finding a lower bound for volatility swap in SABR model.
method Short time to maturity limit analysis of conditionally lognormal SABR model.
result Zero vanna implied volatility is a lower bound for volatility swap strike.
This paper proposes swaps on two important new measures of generalized variance, namely the maximum eigen-value and trace of the covariance matrix of the assets involved. We price these generalized variance swaps for financial markets with Markov-modulated volatilities. We consider multiple assets in the portfolio for …
We study the fair strike of a discrete variance swap for a general time-homogeneous stochastic volatility model. In the special cases of Heston, Hull-White and Schobel-Zhu stochastic volatility models we give simple explicit expressions (improving Broadie and Jain (2008a) in the case of the Heston model). We give condi…
This paper investigates the pricing and hedging of variance swaps under a volatility model. Explicit pricing and hedging formulas of variance swaps are obtained under the benchmark approach, which only requires the existence of the numéraire portfolio. The growth optimal portfolio is the numéraire portfolio and u…
Study finds discrepancies in open interest reporting for Bitcoin perpetual swaps.
problem Misquoted open interest in perpetual swaps leads to liquidity and solvency concerns.
method Analyzed tick-by-tick data from seven exchanges to identify discrepancies.
result Open interest reported by exchanges varies widely, some implausible.
There are many studies on development of models for analyzing some derivatives such as credit default swaps .
Expands weak supervision by allowing partial labels from multiple noisy sources.
problem Creating models without labeled data using heuristic labelers.
method Probabilistic generative model estimating partial label accuracies.
result Improved model accuracy on various tasks (8.6% on text, comparable to zero-shot methods on images).
In this paper, we consider the problem of pricing discretely-sampled variance swaps based on a hybrid model of stochastic volatility and stochastic interest rate with regime-switching. Our modelling framework extends the Heston stochastic volatility model by including the CIR stochastic interest rate and model paramete…
In this article, we combine replication pricing with expectation pricing for derivative trades that are partially collateralized by cash. The derivatives are replicated by underlying assets and cash, using repurchasing agreement (repo) and margining, which incur funding costs. We derive a partial differential equation …
Paper explores volatility swaps in rough volatility models.
problem Understanding volatility swaps in rough volatility models.
method Examines the relationship between forward start volatility swaps and implied volatilities in rough volatility models.
result The leading term approximation error in the correlated case does not depend on the time to forward start date.