Results 21 to 30 of about 96,143 (293)

Debt Swapping for Risk Mitigation in Financial Networks [PDF]

, 2021
We study financial networks where banks are connected by debt contracts. We consider the operation of debt swapping when two creditor banks decide to exchange an incoming payment obligation, thus leading to a locally different network structure. We say that a swap is positive if it is beneficial for both of the banks involved; we can interpret this ...
arxiv   +1 more source

Debt-for-Nature Swaps in Action: Two Case Studies in Peru

Ecology and Society, 2011
Debt-for-nature swaps are a major source of global funding for nature conservation and have been touted as a win-win solution to the problem of how to finance conservation.
Catherine Kilbane. Gockel, Leslie C. Gray   +1 more
doaj   +1 more source

Reconciling Open Interest with Traded Volume in Perpetual Swaps [PDF]

Ledger, Volume 9 (2024), 1-15, 2023
Perpetual swaps are derivative contracts that allow traders to speculate on, or hedge, the price movements of cryptocurrencies. Unlike futures contracts, perpetual swaps have no settlement or expiration in the traditional sense. The funding rate acts as the mechanism that tethers the perpetual swap to its underlying with the help of arbitrageurs.
arxiv   +1 more source

Optional Defaultable Markets

Risks, 2017
The paper deals with defaultable markets, one of the main research areas of mathematical finance. It proposes a new approach to the theory of such markets using techniques from the calculus of optional stochastic processes on unusual probability spaces ...
Mohamed N. Abdelghani, Alexander V. Melnikov   +1 more
doaj   +1 more source

The Impact of the Prior Density on a Minimum Relative Entropy Density: A Case Study with SPX Option Data

Entropy, 2014
We study the problem of finding probability densities that match given European call option prices. To allow prior information about such a density to be taken into account, we generalise the algorithm presented in Neri and Schneider (Appl. Math. Finance
Cassio Neri, Lorenz Schneider
doaj   +1 more source

Fractional Barndorff-Nielsen and Shephard model: applications in variance and volatility swaps, and hedging [PDF]

Annals of Finance, 2021, 2021
In this paper, we introduce and analyze the fractional Barndorff-Nielsen and Shephard (BN-S) stochastic volatility model. The proposed model is based upon two desirable properties of the long-term variance process suggested by the empirical data: long-term memory and jumps.
arxiv   +1 more source

Estimation of Historical volatility and Allocation strategies using Variance Swaps [PDF]

arXiv, 2022
In this memorie de fin d'etudes, we review some techniques to estimate historical volatility and to price Variance ...
arxiv  

Monetary policy shocks and the signaling channel of monetary policy in China

China Economic Quarterly International, 2023
This paper identifies exogenous monetary policy shocks based on the high frequency transaction data of China's interest rate swap market, and explores the ‘signaling channel’ of monetary policy by investigating the transmission of different monetary ...
Zhenzhu Chen, Li Li, Changhua Yu
doaj  

The ATM implied volatility slope, the (dual) volatility swap, and the (dual) zero vanna implied volatility [PDF]

arXiv, 2022
Exact relationships between the short time-to-maturity ATM implied volatility slope, the (dual) volatility swap, and the (dual) zero vanna implied volatility are given.
arxiv  

A Short Note on Setting Swap Parameters [PDF]

arXiv, 2023
This short note illustrates the theoretical solution to a trader determining how to optimally swap her wealth into a target asset through on-chain operations. It offers the framework to solve optimal slippage parameters and optimal trade size.
arxiv