A locally-built, LLM-digested index of recent arXiv papers in quant finance, geometry/topology, and statistical ML — keyword search served straight from SQLite on this machine.
Paper introduces a new pricing method for electricity swaps and options.
Swapping debt contracts can mitigate risk in financial networks.
The paper calculates fair strike for variance swaps on time-changed Markov processes.
Study finds discrepancies in open interest reporting for Bitcoin perpetual swaps.
New swap contracts avoid bias and numerical errors, offering fair values independent of monitoring.
Paper finds funding rates on BitMEX predict Bitcoin inverse swap contracts.
The paper extends the market price of risk for electricity swap contracts, incorporating jump risk.
The Wiener-Hopf factorization is obtained in closed form for a phase type approximation to the CGMY Lévy process. This allows, for the approximation, exact computation of first passage times to barrier levels via Laplace transform inversion. Calibration of the CGMY model to market option prices defines the risk neutral…
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…
New model values CDS contracts considering multiple credit risks and collateralization.
Proposes atomic swaptions for trustless cryptocurrency derivatives.
We derive a general multivariate theory for realised characteristics of `model-free discretisation-invariant swaps', so-called because the standard no-arbitrage assumption of martingale forward prices is sufficient to derive fair-value swap rates for such characteristics which have no jump or discretisation errors. Thi…
Debt swaps improve financial networks by optimizing clearing payments and stability.
Optimal execution strategy for merger & acquisition contracts with price impact.
New EPS insurance offers partial protection against superannuation losses.
The paper prices and replicates various financial contracts on a risky asset with stochastic volatility and jumps.
We develop robust pricing and hedging of a weighted variance swap when market prices for a finite number of co--maturing put options are given. We assume the given prices do not admit arbitrage and deduce no-arbitrage bounds on the weighted variance swap along with super- and sub- replicating strategies which enforce t…
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 CDS market can be designed to rewire the network of interbank exposures in a way…
The paper simplifies pricing for equity swaps by accounting for various costs.
We prove a version of First Fundamental Theorem of Asset Pricing under transaction costs for discrete-time markets with dividend-paying securities. Specifically, we show that the no-arbitrage condition under the efficient friction assumption is equivalent to the existence of a risk-neutral measure. We derive dual repre…
This paper studies the valuation of a class of default swaps with the embedded option to switch to a different premium and notional principal anytime prior to a credit event. These are early exercisable contracts that give the protection buyer or seller the right to step-up, step-down, or cancel the swap position. The …
A new permutation method improves two-sample testing power.
DGNN predicts financial margin calls under stress tests.
In the forthcoming ISDA Standard Credit Support Annex (SCSA), the trades denominated in non-G5 currencies as well as those include multiple currencies are expected to be allocated to the USD silo, where the contracts are collateralized by USD cash, or a different currency with an appropriate interest rate overlay to ac…
This paper studies game-type credit default swaps that allow the protection buyer and seller to raise or reduce their respective positions once prior to default. This leads to the study of an optimal stopping game subject to early default termination. Under a structural credit risk model based on spectrally negative Le…
It is commonly accepted that Commodities futures and forward prices, in principle, agree under some simplifying assumptions. One of the most relevant assumptions is the absence of counterparty risk. Indeed, due to margining, futures have practically no counterparty risk. Forwards, instead, may bear the full risk of def…
Paper evaluates different models for predicting credit default swap volatility.
The paper establishes axioms for AMMs to ensure fair pricing and fee structures.
Complex financial networks with CDSs make clearing after shocks NP-complete.
Improved hardness results for clearing payments in financial networks with CDSs.
The paper explains the concave shape of yield curves from trading perspectives.
The paper explores perpetual contracts in a financial market without arbitrage.
Abstract framework for cross-currency interest rate contracts.
Graph learning categorizes DeFi services into similar functionalities.
This paper optimizes callable credit default swap valuation under Lévy drawdown risk.
Paper generalizes pricing and hedging of volatility swaps in stochastic models.
The credit crisis and the ongoing European sovereign debt crisis have highlighted the native form of credit risk, namely the counterparty risk. The related Credit Valuation Adjustment, (CVA), Debt Valuation Adjustment (DVA), Liquidity Valuation Adjustment (LVA) and Replacement Cost (RC) issues, jointly referred to in t…
We propose a new method of measuring the third and fourth moments of return distribution based on quadratic variation method when the return process is assumed to have zero drift. The realized third and fourth moments variations computed from high frequency return series are good approximations to corresponding actual …
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.
This study models credit default swap premiums with a stochastic recovery rate.
The paper prices swaps on generalized variance measures for multiple assets.
This study reviews techniques 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…
We introduce the general arbitrage-free valuation framework for counterparty risk adjustments in presence of bilateral default risk, including default of the investor. We illustrate the symmetry in the valuation and show that the adjustment involves a long position in a put option plus a short position in a call option…
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…
Exact relationships found between ATM slope, volatility swap, and zero vanna.
Paper derives formulas for volatility swap strike and zero vanna implied volatility.