scholarly journals Bilateral Defaultable Financial Derivatives Pricing and Credit Valuation Adjustment

2019 ◽  
Author(s):  
Tim Xiao
Keyword(s):  
Interest Rates ◽  
Closed Form Solution ◽  
Financial Derivatives ◽  
Form Solution ◽  
Reduced Form ◽  
Derivatives Pricing ◽  
Default Time ◽  
Form Model ◽  
The One ◽  
The Impact

The one-side defaultable financial derivatives valuation problems have been studied extensively, but the valuation of bilateral derivatives with asymmetric credit qualities is still lacking convincing mechanism. This paper presents an analytical model for valuing derivatives subject to default by both counterparties. The default-free interest rates are modeled by the Market Models, while the default time is modeled by the reduced-form model as the first jump of a time-inhomogeneous Poisson process. All quantities modeled are market-observable. The closed-form solution gives us a better understanding of the impact of the credit asymmetry on swap value, credit value adjustment, swap rate and swap spread.

scholarly journals Bilateral Defaultable Financial Derivatives Pricing and Credit Valuation Adjustment

2019 ◽  
Author(s):  
Tim Xiao
Keyword(s):  
Interest Rates ◽  
Closed Form Solution ◽  
Financial Derivatives ◽  
Form Solution ◽  
Reduced Form ◽  
Derivatives Pricing ◽  
Default Time ◽  
Form Model ◽  
The One ◽  
The Impact

The one-side defaultable financial derivatives valuation problems have been studied extensively, but the valuation of bilateral derivatives with asymmetric credit qualities is still lacking convincing mechanism. This paper presents an analytical model for valuing derivatives subject to default by both counterparties. The default-free interest rates are modeled by the Market Models, while the default time is modeled by the reduced-form model as the first jump of a time-inhomogeneous Poisson process. All quantities modeled are market-observable. The closed-form solution gives us a better understanding of the impact of the credit asymmetry on swap value, credit value adjustment, swap rate and swap spread.

scholarly journals Bilateral Defaultable Financial Derivatives Pricing and Credit Valuation Adjustment

2019 ◽  
Author(s):  
Tim Xiao
Keyword(s):  
Interest Rates ◽  
Closed Form Solution ◽  
Financial Derivatives ◽  
Form Solution ◽  
Reduced Form ◽  
Derivatives Pricing ◽  
Default Time ◽  
Form Model ◽  
The One ◽  
The Impact

The one-side defaultable financial derivatives valuation problems have been studied extensively, but the valuation of bilateral derivatives with asymmetric credit qualities is still lacking convincing mechanism. This paper presents an analytical model for valuing derivatives subject to default by both counterparties. The default-free interest rates are modeled by the Market Models, while the default time is modeled by the reduced-form model as the first jump of a time-inhomogeneous Poisson process. All quantities modeled are market-observable. The closed-form solution gives us a better understanding of the impact of the credit asymmetry on swap value, credit value adjustment, swap rate and swap spread.

scholarly journals Bilateral Defaultable Financial Derivatives Pricing and Credit Valuation Adjustment

2019 ◽  
Author(s):  
Tim Xiao
Keyword(s):  
Interest Rates ◽  
Closed Form Solution ◽  
Financial Derivatives ◽  
Form Solution ◽  
Reduced Form ◽  
Derivatives Pricing ◽  
Default Time ◽  
Form Model ◽  
The One ◽  
The Impact

The one-side defaultable financial derivatives valuation problems have been studied extensively, but the valuation of bilateral derivatives with asymmetric credit qualities is still lacking convincing mechanism. This paper presents an analytical model for valuing derivatives subject to default by both counterparties. The default-free interest rates are modeled by the Market Models, while the default time is modeled by the reduced-form model as the first jump of a time-inhomogeneous Poisson process. All quantities modeled are market-observable. The closed-form solution gives us a better understanding of the impact of the credit asymmetry on swap value, credit value adjustment, swap rate and swap spread.

scholarly journals The Valuation of Interest Rate Swap with Bilateral Counterparty Risk

2019 ◽  
Author(s):  
Tim Xiao
Keyword(s):  
Interest Rate ◽  
Closed Form Solution ◽  
Form Solution ◽  
Reduced Form ◽  
Counterparty Risk ◽  
Interest Rate Swap ◽  
Interest Rate Swaps ◽  
Counterparty Credit Risk ◽  
Form Model ◽  
The Impact

This paper presents an analytical model for valuing interest rate swaps, subject to bilateral counterparty credit risk. The counterparty defaults are modeled by the reduced-form model as the first jump of a time-inhomogeneous Poisson process. All quantities modeled are market-observable. The closed-form solution gives us a better understanding of the impact of the credit asymmetry on swap value, credit value adjustment, swap rate and swap spread.

scholarly journals The Valuation of Interest Rate Swap with Bilateral Counterparty Risk

2019 ◽  
Author(s):  
Tim Xiao
Keyword(s):  
Interest Rate ◽  
Closed Form Solution ◽  
Form Solution ◽  
Reduced Form ◽  
Counterparty Risk ◽  
Interest Rate Swap ◽  
Interest Rate Swaps ◽  
Counterparty Credit Risk ◽  
Form Model ◽  
The Impact

This paper presents an analytical model for valuing interest rate swaps, subject to bilateral counterparty credit risk. The counterparty defaults are modeled by the reduced-form model as the first jump of a time-inhomogeneous Poisson process. All quantities modeled are market-observable. The closed-form solution gives us a better understanding of the impact of the credit asymmetry on swap value, credit value adjustment, swap rate and swap spread.

scholarly journals The Valuation of Interest Rate Swap with Bilateral Counterparty Risk

2019 ◽  
Author(s):  
Tim Xiao
Keyword(s):  
Interest Rate ◽  
Closed Form Solution ◽  
Form Solution ◽  
Reduced Form ◽  
Counterparty Risk ◽  
Interest Rate Swap ◽  
Interest Rate Swaps ◽  
Counterparty Credit Risk ◽  
Form Model ◽  
The Impact

This paper presents an analytical model for valuing interest rate swaps, subject to bilateral counterparty credit risk. The counterparty defaults are modeled by the reduced-form model as the first jump of a time-inhomogeneous Poisson process. All quantities modeled are market-observable. The closed-form solution gives us a better understanding of the impact of the credit asymmetry on swap value, credit value adjustment, swap rate and swap spread.

ANALYTICAL VALUATION OF VULNERABLE OPTIONS IN A DISCRETE-TIME FRAMEWORK

2016 ◽  
Vol 31 (1) ◽  
pp. 100-120 ◽  
Author(s):  
Xingchun Wang
Keyword(s):  
Discrete Time ◽  
Default Risk ◽  
Closed Form Solution ◽  
Form Solution ◽  
Reduced Form ◽  
Option Prices ◽  
Underlying Asset ◽  
Proposed Model ◽  
Form Model ◽  
Vulnerable Options

In this paper, we present a pricing model for vulnerable options in discrete time. A Generalized Autoregressive Conditional Heteroscedasticity process is used to describe the variance of the underlying asset, which is correlated with the returns of the asset. As for counterparty default risk, we study it in a reduced form model and the proposed model allows for the correlation between the intensity of default and the variance of the underlying asset. In this framework, we derive a closed-form solution for vulnerable options and investigate quantitative impacts of counterparty default risk on option prices.

scholarly journals On the impact of antenna diversity in IEEE 802.11b DCF with capture

2004 ◽  
Vol 17 (1) ◽  
pp. 41-52
Author(s):  
Zoran Velkov-Hadzi ◽  
Boris Spasenovski
Keyword(s):  
Closed Form ◽  
Closed Form Solution ◽  
Access Point ◽  
Form Solution ◽  
Capture Probability ◽  
Antenna Diversity ◽  
Ieee 802.11B ◽  
Selection Diversity ◽  
Maximum Selection ◽  
The Impact

In this paper, we examined the influence of capture effect with L-fold antenna diversity at the Access Point over IEEE 802.11b DCF. We obtained an exact closed-form solution for the conditional capture probability in case of ideal selection diversity, and an approximate closed-form solution for the conditional capture probability in case of maximum selection diversity in a Rayleigh-faded channel. Obtained analytical expressions have general significance and can be applied for any other multiple access wireless network. We also analytically evaluated saturation throughput increase of the IEEE 802.11b DCF protocol exposed to capture.

scholarly journals Measuring the Impact of Promotions on Brand Switching When Consumers Are Forward Looking

2003 ◽  
Vol 40 (4) ◽  
pp. 389-405 ◽  
Author(s):  
Baohong Sun ◽  
Scott A. Neslin ◽  
Kannan Srinivasan
Keyword(s):  
Structural Model ◽  
Simulated Data ◽  
Real Data ◽  
Reduced Form ◽  
Coefficient Estimates ◽  
Dynamic Structural Model ◽  
Brand Switching ◽  
Form Model ◽  
Reduced Form Model ◽  
The Impact

Logit choice models have been used extensively to study promotion response. This article examines whether brand-switching elasticities derived from these models are overestimated as a result of rational consumer adjustment of purchase timing to coincide with promotion schedules and whether a dynamic structural model can address this bias. Using simulated data, the authors first show that if the structural model is correct, brand-switching elasticities are overestimated by stand-alone logit models. A nested logit model improves the estimates, but not completely. Second, the authors estimate the models on real data. The results indicate that the structural model fits better and produces sensible coefficient estimates. The authors then observe the same pattern in switching elasticities as they do in the simulation. Third, the authors predict sales assuming a 50% increase in promotion frequency. The reduced-form models predict much higher sales levels than does the dynamic structural model. The authors conclude that reduced-form model estimates of brand-switching elasticities can be overstated and that a dynamic structural model is best for addressing the problem. Reduced-form models that include incidence can partially, though not completely, address the issue. The authors discuss the implications for researchers and managers.

Analysis of Simply-Supported Orthotropic Cylindrical Shells Subject to Lateral Impact Loads

1990 ◽  
Vol 57 (2) ◽  
pp. 376-382 ◽  
Author(s):  
A. P. Christoforou ◽  
S. R. Swanson
Keyword(s):  
Cylindrical Shells ◽  
Closed Form Solution ◽  
Double Fourier Series ◽  
Form Solution ◽  
Lateral Impact ◽  
Simply Supported ◽  
Response Characteristics ◽  
Simple Support ◽  
The Impact ◽  
Approximate Procedure

An analytic solution is given for the problem of simply-supported orthotropic cylindrical shells subject to impact loading. The closed-form solution has not been obtained previously. The analysis is based on an expansion of the loads, displacements, and rotations in a double Fourier series which satisfies the end boundary conditions of simple support. Each expansion is assumed to be separable into a function of time and a function of position. By neglecting in-plane and rotary inertia the problem becomes a second-order ordinary differential equation in time for the Fourier coefficients of the radial deflection. For a given loading impulse the solution can be found by invoking the convolution integral. The results show that for impact by a heavy mass, the solution is equivalent to that obtained by an approximate procedure of neglecting the mass of the shell, which leads to a simple simple-degree-of-freedom analysis. For problems of impact by smaller masses, the higher response frequencies of the cylinder become important. The results show the importance of dynamic effects in the predicted impact duration, peak force, and peak deflection relative to the quasi-static response. The results show that the response amplitude varies linearly with the impact velocity, but the response characteristics depend on the mass of the impactor and the mass and stiffness of the cylinder.

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