How Swap Execution Facilities will Reshape the OTC Derivative Swap Market

The Lévy swap market model

Models driven by Lévy processes are attractive since they allow for better statistical fitting compared to classical diffusion models. We derive the dynamics of the forward swap rate process in a semimartingale setting and introduce a Lévy swap market model. In order to guarantee positive rates, we model the swap rates as ordinary exponentials. We start with the most distant rate which is drive...

Market Models of Libors and Swap Rates

LIBOR and swap market models and measures

A self-contained theory is presented for pricing and hedging LIBOR and swap derivatives by arbitrage. Appropriate payoff homogeneity and measurability conditions are identified which guarantee that a given payoff can be attained by a self-financing trading strategy. LIBOR and swap derivatives satisfy this condition, implying they can be priced and hedged with a finite number of zero-coupon bond...

Swap logic

We investigate dynamic modal operators that can change the model during evaluation. We define the logic SL by extending the basic modal language with the ♦ modality, which is a diamond operator that in addition has the ability to invert pairs of related elements in the domain while traversing an edge of the accessibility relation. SL is very expressive: it fails to have the finite and the tree ...

Swap Bribery

In voting theory, bribery is a form of manipulative behavior in which an external actor (the briber) offers to pay the voters to change their votes in order to get her preferred candidate elected. We investigate a model of bribery where the price of each vote depends on the amount of change that the voter is asked to implement. Specifically, in our model the briber can change a voter’s preferen...