Abstract—In this paper the CVA computation of interest rate swap is presented based on its rating. Rating and probability default given by Moody’s Investors Service are used to calculate our CVA for a specific swap with different maturities. With this computation the influence of rating variation can be shown on CVA. Application is made to the analysis of Greek CDS variation during the period o...

This paper examines whether higher order multifactor models, with state variables linked solely to the full set of underlying LIBOR-swap rates, are by themselves capable of explaining and hedging interest rate derivatives, or whether models explicitly exhibiting features such as unspanned stochastic volatility are necessary. Our research shows that swaptions and even swaption straddles can be w...

This contribution gives an introduction to an integrated vehicle routing and resource allocation problem. We refer to it as the Swap Trailer Problem and formulate the mathematical model. After the analysis of dynamic decision problems and the development of a framework for this problem, we highlight the dynamic aspect of the problem. Two different solution strategies are supposed. Special prope...

The Even Swap method, originally outlined by Benjamin Franklin 230 years ago, is a rational way of finding the best alternative by evenly swapping decision criteria. This study develops a Decision Ball model to assist a decision maker in ranking alternatives and visualizing decision process based on the Even Swap concept. By viewing the moving trajectories of alternatives on spheres, a decision...

This paper investigates dislocations in the foreign exchange (FX) swap market between the US dollar and three major European currencies. After the failure of Lehman Brothers in September 2008, deviations from covered interest parity (CIP) were negatively associated with the creditworthiness of US financial institutions (as well as that of European institutions), consistent with the deepening of...

We study a three-firm contagion model with counterparty risk and apply this model to price defaultable bonds and credit default swap CDS . This model assumes that default intensities are driven by external common factors as well as other defaults in the system. Using the “total hazard” approach, default times can be generated and the joint density function is obtained. We represent the pricing ...

We propose a direct and robust method for quantifying the variance risk premium on financial assets. We show that the risk-neutral expected value of return variance, also known as the variance swap rate, is well approximated by the value of a particular portfolio of options.We propose to use the difference between the realized variance and this synthetic variance swap rate to quantify the varia...

Laptop computers and tablet PCs currently exploit swap system with their second storage media as a cost effective solution to extend limited memory space. The rapidly evolving flash memory technology starts to replace the magnetic disks of these computers by flash memory due to its advantageous characteristics such as energy efficiency and mechanical shock resistance. Thus, we can imagine that ...