Swap spreads, the interest rate differentials between the fixed rates on fixed-for-floating swap contracts and the yields-to-maturity on maturity-matched government bonds, define a market for one of the most actively transacted securities in the global fixed-income arena. A large universe of fixed-income securities including corporate bonds and mortgaged-back securities use interest rate swap s...

Optimizing operations at plug-in hybrid electric vehicle (PHEV) battery swap stations is internally motivated by the movement to make transportation cleaner and more efficient. A PHEV swap station allows PHEV owners to quickly exchange their depleted PHEV battery for a fully charged battery. The PHEV-Swap Station Management Problem (PHEV-SSMP) is introduced, which models battery charging and di...

We consider the high-dimensional sparse linear regression problem of accurately estimating a sparse vector using a small number of linear measurements that are contaminated by noise. It is well known that the standard cadre of computationally tractable sparse regression algorithms—such as the Lasso, Orthogonal Matching Pursuit (OMP), and their extensions—perform poorly when the measurement matr...

A variance swap is a derivative with a path-dependent payoff which allows investors to take positions on the future variability of an asset. In the idealised setting of a continuously monitored variance swap written on an asset with continuous paths it is well known that the variance swap payoff can be replicated exactly using a portfolio of puts and calls and a dynamic position in the asset. T...

We consider the high-dimensional sparse linear regression problem of accurately estimating a sparse vector using a small number of linear measurements that are contaminated by noise. It is well known that the standard cadre of computationally tractable sparse regression algorithms—such as the Lasso, Orthogonal Matching Pursuit (OMP), and their extensions—perform poorly when the measurement matr...

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...

abstract in this study, evaluation of swap model in simulating crop yield, water and salt movement in soil were investigated in the wheat- fodder maize cultivated units. the research was conducted in the voshmgir network, golestan province. the crop yield, soil humidity and moisture data in different times of agriculture year of 2007-2008 were measured. the measured and simulated data were anal...