Results 51 to 60 of about 96,143 (293)
Multi-asset Generalised Variance Swaps in Barndorff-Nielsen and Shephard model [PDF]
arXiv, 2020 This paper proposes swaps on two important new measures of generalized variance, namely the maximum eigenvalue and trace of the covariance matrix of the assets involved. We price these generalized variance swaps for Barndorff-Nielsen and Shephard model used in financial markets.
arxiv
Analisis Yuridis Atas Tukar Guling (Ruilslag) Antara Tanah Aset Milik Kodam I/bukit Barisan Dengan PT Citra Agung Sejahtera Dan PT Globalindo Anugerah Lestari [PDF]
, 2016 Land and building exchanging or swap owned by the State (ruilslag) is one of the alternatives made by the government agency; in this case, Kodam I/Bukit Barisan, in order to meet the needs of unit facilities in which the asset of Kodam I/Bukit Barisan is
RIYADI, S. (SLAMET)
core
Advanced Functional Materials, EarlyView.In this work, a magnetic core‐shell catalyst (HOF‐on‐Fe3O4/ZIF‐67) is successfully synthesized, consisting of a metal–organic framework (ZIF‐67) with magnetic Fe3O4 as the core and a porous hydrogen‐bonded organic framework (HOF) as the shell. The catalyst efficiently activated peroxymonosulfate, resulting in rapid and effective removal of water ...
Yingying Du +4 more
wiley +1 more source
The Impact of Default Dependency and Collateralization on Asset Pricing and Credit Risk Modeling [PDF]
, 2013 This article presents a comprehensive framework for valuing financial instruments subject to credit risk and collateralization. In particular, we focus on the impact of default dependence on asset pricing, as correlated default risk is one of the most ...
Xiao, Tim
core +1 more source
Advanced Functional Materials, EarlyView.This study demonstrates that in sputter‐deposited Tb3Fe5O12 (TbIG)/nonmagnetic metal (NM) heterostructures, the interfacial Dzyaloshinskii–Moriya Interaction (DMI) originates at the TbIG/NM interface. Furthermore, measurements suggest a significant interfacial DMI arising from a second non‐local interface, created by inserting a Cu spacer layer between
Stefano Fedel +6 more
wiley +1 more source
Liability-side Pricing of Swaps and Coherent CVA and FVA by Regression/Simulation [PDF]
Liability-side pricing of swaps, RISK, April 2016, pp 66-71, 2015 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.
arxiv
LIBOR additive model calibration to swaptions markets [PDF]
, 2008 In the current paper, we introduce a new calibration methodology for the LIBOR market model driven by LIBOR additive processes based in an inverse problem.
Colino, Jesús P. +2 more
core +1 more source
, 2008 In [10] we presented a reduced form of risky bond pricing. At default date, a bond seller fails to continue fulfilling his obligation and the price of the bond sharply drops. For nodefault scenarios, if the face value of the defaulted bond is $1 then the
Gikhman, Ilya
core +3 more sources
Advanced Functional Materials, EarlyView.A materials and device design concept that comprises a self‐assembled ultra‐thin epitaxial ion‐transporting layer, an amorphous oxide overcoat oxygen‐blocking layer, and a partial filament formed during an electroforming step is proposed for low‐current multilevel resistive switching devices.
Ming Xiao +17 more
wiley +1 more source
Arbitrage Bounds for Prices of Weighted Variance Swaps
, 2012 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
Davis, Mark H. A. +2 more
core +1 more source