An interest rate swap is a contract between two parties to exchange periodically fixed rate payments for floating rate payments based on an agreed-upon notional principal and maturity. The fixed rate is known as the swap rate and a swap curve can be constructed using swap rates of different maturities. The swap curve is widely used by financial market participants as the benchmark for the prici...

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...

The effects of dynamic quantum allocation and swap-time variability on central processing unit (CPU) behavior are investigated using a model that allows both quantum length and swap-time to be statedependent random variables. Effective CPU utilization is defined to be the proportion of a CPU busy period that is devoted to program processing, i.e. the time not spent in swapping. Using this measu...

In this paper a new credit risk model for credit derivatives is presented. The model is based upon the ‘Libor market’ modelling framework for default-free interest rates. We model effective default-free forward rates and effective forward credit spreads as lognormal diffusion processes, and recovery is modelled as a fraction of the par value of the defaulted claim. The newly introduced survival...

nowadays, it’s very usual to use these models in almost all sciences. use of these models has provided quick, appropriate and economic answers to many questions. modeling is developing in different fields of agriculture, including irrigation and drainage. field tests are useful to determine and analyze the different irrigation management but there are significant limitations. the most important...

In this paper we are concerned with the distributional difference of forward swap rates between the lognormal forward–Libor model (LFM) or “Libor market model” and the lognormal forward-swap model (LSM) or “swap market model”, the two fundamental models for interest-rate derivatives. To measure this distributional difference, we resort to a “metric” in the space of distributions, the well known...