arXiv research

F. Labourie [arXiv:1212.5015] characterized the Hitchin components for $\operatorname{PSL}(n, \mathbb{R})$ for any $n>1$ by using the swapping algebra, where the swapping algebra should be understood as a ring equipped with a Poisson bracket. We introduce the rank $n$ swapping algebra, which is the quotient of the swap…

Injective map found between Poisson algebras.

We define a Poisson Algebra called the {\em swapping algebra} using the intersection of curves in the disk. We interpret a subalgebra of the fraction algebra of the swapping algebra -- called the {\em algebra of multifractions} -- as an algebra of functions on the space of cross ratios and thus as an algebra of functio…

The {\em rank $n$ swapping algebra} is a Poisson algebra defined on the set of ordered pairs of points of the circle using linking numbers, whose geometric model is given by a certain subspace of $(\mathbb{K}^n \times \mathbb{K}^{n*})^r/\operatorname{GL}(n,\mathbb{K})$. For any ideal triangulation of $D_k$---a disk wit…

We induce a Poisson algebra $\{\cdot,\cdot\}_{\mathcal{C}_{n,N}}$ on the configuration space $\mathcal{C}_{n,N}$ of $N$ twisted polygons in $\mathbb{RP}^{n-1}$ from the swapping algebra \cite{L12}, which is found coincide with Faddeev-Takhtajan-Volkov algebra for $n=2$. There is another Poisson algebra $\{\cdot,\cdot\}…

The latest generation of volatility derivatives goes beyond variance and volatility swaps and probes our ability to price realized variance and sojourn times along bridges for the underlying stock price process. In this paper, we give an operator algebraic treatment of this problem based on Dyson expansions and moment …

Debt swaps improve financial networks by optimizing clearing payments and stability.

Paper generalizes pricing and hedging of volatility swaps in stochastic models.

Swapping debt contracts can mitigate risk in financial networks.

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.

This study reviews techniques to estimate volatility and price Variance Swaps.

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…

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.

A note on setting swap parameters for traders.

The paper proposes pricing methods for multi-asset generalized variance swaps.

Paper solves no-swap regret minimization for combinatorial bandits with polylogarithmic dependence on N.

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.

Paper introduces a new pricing method for electricity swaps and options.

Improved bounds for multicalibration and omniprediction in online and distributional settings.

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.

Lower bound found for volatility swap in SABR model.

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 $3/2$ 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.

There are many studies on development of models for analyzing some derivatives such as credit default swaps .

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…

Paper explores volatility swaps in rough volatility models.

Italian banks use swaps to hedge against rising interest rates, offsetting losses on debt securities.

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…

A financial swap reduces skew and fat tails in a portfolio's performance.

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…

This paper considers the case of pricing discretely-sampled variance swaps under the class of equity-interest rate hybridization. Our modeling framework consists of the equity which follows the dynamics of the Heston stochastic volatility model, and the stochastic interest rate is driven by the Cox-Ingersoll-Ross (CIR)…

Interest rate market models, like the LIBOR market model, have the advantage that the basic model quantities are directly observable in financial markets. Inflation market models extend this approach to inflation markets, where zero-coupon and year-on-year inflation-indexed swaps are the basic observable products. For …

Proposes a new method for completing swap cycles in decentralized exchanges.

Empirical study finds variance swap rate is affine in spot variance for S&P500 data.

DECS tool assesses swap rates of DEXes and Fusion outperforms competitors.

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 of the formula for constant maturity swaps in the default free swap market unde…

Develops a novel framework for pricing variance swaps in multi-asset stochastic volatility models.

We introduce here for the first time the long-term swap rate, characterised as the fair rate of an overnight indexed swap with infinitely many exchanges. Furthermore we analyse the relationship between the long-term swap rate, the long-term yield, see Biagini et al. [2018], Biagini and Härtel [2014], and El Karoui et a…

In this theoretical paper, I propose creation of a venture bank, able to multiply the capital of a venture capital firm by at least 47 times, without requiring access to the Federal Reserve or other central bank apart from settlement. This concept rests on obtaining default swap instruments on loans in order to create …

Study on collateral currency impact in differential swaps valuation.

We introduce trading fees into AMM models and analyze their impact on swap rates and profits.