Results 71 to 80 of about 96,143 (293)
Change of Measure in Midcurve Pricing [PDF]
Wilmott, Volume 2020, Issue106, March 2020, Pages 76-81, 2018 We derive measure change formulae required to price midcurve swaptions in the forward swap annuity measure with stochastic annuities' ratios. We construct the corresponding linear and exponential terminal swap rate pricing models and show how they capture the midcurve swaption correlation skew.
arxiv
The Cash Flow Model with Float: A New Approach to Deal with Valuation and Agency Problems. [PDF]
In this paper we introduce a cash flow model with float to manage core issues in Corporate Finance. The float actually removes current hindrances pervading the standard cash flow model.
Rodolfo Apreda
core
Exact Pricing and Hedging Formulas of Long Dated Variance Swaps under a $3/2$ Volatility Model
, 2011 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 num\'{e}raire ...
Chan, Leunglung, Platen, Eckhard
core +1 more source
Scaling‐Up of Structural Superlubricity: Challenges and Opportunities
Advanced Functional Materials, EarlyView.At increasing length‐scales, structural superlubricity (SSL) faces challenges from physical and chemical energy dissipation pathways. This study reviews recent experimental and theoretical progress on these challenges facing the scaling‐up of SSL, as well as perspectives on future directions for realizing and manipulating macroscale superlubricity ...
Penghua Ying +4 more
wiley +1 more source
Pricing variance swaps in a hybrid model of stochastic volatility and interest rate with regime-switching [PDF]
arXiv, 2016 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 parameters that switch according to a ...
arxiv
Interest rate swaps and economic exposure [PDF]
The interest rate swap market has grown rapidly. Since the inception of the swap market in 1981, the outstanding notional principal of interest rate swaps has reached a level of $12.81 trillion in 1995.
Gautam Goswami, Milind Shrikhande
core
Islamic Currency Swap: Can Be the Best Way to Hedge Indonesia Hajj Fund? [PDF]
, 2018 The operational costs of Hajj in foreign currencies will always face the risk of changes in exchange rates. Hajj operational costs will continue to grow in line with the increasing number of pilgrims. But at present, the government (BPKH) does not have a
Maulana, I. (Irvan) +1 more
core
Exchangeability type properties of asset prices
, 2011 In this paper we analyse financial implications of exchangeability and similar properties of finite dimensional random vectors. We show how these properties are reflected in prices of some basket options in view of the well-known put-call symmetry ...
Molchanov, Ilya, Schmutz, Michael
core +1 more source
Photoswitchable Conductive Metal–Organic Frameworks
Advanced Functional Materials, EarlyView.A conductive material where the conductivity can be modulated remotely by irradiation with light is presented. It is based on films of conductive metal–organic framework type Cu3(HHTP)2 with embedded photochromic molecules such as azobenzene, diarylethene, spiropyran, and hexaarylbiimidazole in the pores.
Yidong Liu +5 more
wiley +1 more source
On the difference between the volatility swap strike and the zero vanna implied volatility [PDF]
arXiv, 2019 In this paper, Malliavin calculus is applied to arrive at exact formulas for the difference between the volatility swap strike and the zero vanna implied volatility for volatilities driven by fractional noise. To the best of our knowledge, our estimate is the first to derive the rigorous relationship between the zero vanna implied volatility and the ...
arxiv