The development of credit valuation adjustment (CVA) (valuation adjustments [XVA]) [Green] has increased the importance of simple interest rate models such as the Hull-White model [Tan14] [Tsuchiya]. This is because the XVA model is an FX hybrid model, and is tractable only when the interest rate part is a simple Gaussian model. For the XVA calculation of interest rate instruments, de-correlation of the yield curve can be important even for the swap portfolio. Capturing the correlation structure in the two-factor Hull-White model is an integral element of CVA (XVA) modeling. However, the correlation structure in two-factor Hull-White model has not studied enough except for the analysis in [AndersenPiterbarg]. In this study, the correlation structure of the two-factor Hull-White model is analyzed in detail. The correlation structure of co-initial swap rates is investigated using a combination of the approximation formula and Monte-Carlo simulation. The Hull-White model captures the de-correlation of the yield curve only when the parameters (volatilities and mean reversion strength) satisfy certain relationships, making the valuation of XVA by two-factor Hull-White model effective.
This paper proposes a new algorithm -- Trading Graph Neural Network (TGNN) that can structurally estimate the impact of asset features, dealer features and relationship features on asset prices in trading networks. It combines the strength of the traditional simulated method of moments (SMM) and recent machine learning techniques -- Graph Neural Network (GNN). It outperforms existing reduced-form methods with network centrality measures in prediction accuracy. The method can be used on networks with any structure, allowing for heterogeneity among both traders and assets.
I explore the relationship between investor emotions expressed on social media and asset prices. The field has seen a proliferation of models aimed at extracting firm-level sentiment from social media data, though the behavior of these models often remains uncertain. Against this backdrop, my study employs EmTract, an open-source emotion model, to test whether the emotional responses identified on social media platforms align with expectations derived from controlled laboratory settings. This step is crucial in validating the reliability of digital platforms in reflecting genuine investor sentiment. My findings reveal that firm-specific investor emotions behave similarly to lab experiments and can forecast daily asset price movements. These impacts are larger when liquidity is lower or short interest is higher. My findings on the persistent influence of sadness on subsequent returns, along with the insignificance of the one-dimensional valence metric, underscores the importance of dissecting emotional states. This approach allows for a deeper and more accurate understanding of the intricate ways in which investor sentiments drive market movements.
We study the influence of additional intermediate marginal distributions on the value of the martingale optimal transport problem. From a financial point of view, this corresponds to taking into account call option prices not only, as usual, for those call options where the respective future maturities coincide with the maturities of some exotic derivative but also additional maturities and then to study the effect on model-independent price bounds for the exotic derivative. We characterize market settings, i.e., combinations of the payoff of exotic derivatives, call option prices and marginal distributions that guarantee improved price bounds as well as those market settings that exclude any improvement. Eventually, we showcase in numerous examples that the consideration of additional price information on vanilla options may have a considerable impact on the resultant model-independent price bounds.
Apparue au milieu du xve siècle, la presse à caractères mobiles de Gutenberg fait rapidement de l’imprimé religieux un vecteur essentiel des idées de la Réforme et de la Contre-Réforme. Mais une autre révolution est en marche : on assiste à la naissance d’un véritable marché, dont s’emparent autant les hommes d’Église – qui multiplient les commandes, Luther en tête – que les professionnels de l’imprimerie et de la librairie, à l’instar de la dynastie des Cramoisy. Si les imprimeurs doivent faire face à de véritables défis techniques (imprimer en grande quantité, imprimer des illustrations ou des partitions), ils profitent aussi de la manne financière qui les accompagne. D’autre part, un véritable circuit de distribution voit le jour, parfois très officiellement (avec la mise en place de l’Imprimerie royale en France), parfois de façon clandestine (pour apporter en Angleterre les traductions interdites du Nouveau Testament). Enfin, la production se diversifie, fournissant aux fidèles des textes pour accompagner leur foi, comme les Gesangbücher allemands, et au clergé des ouvrages pour encadrer ses pratiques, comme les rituels français. De la France à l’Espagne en passant par l’Allemagne et l’Angleterre, onze spécialistes du fait religieux s’intéressent aux imprimés en tant qu’objets. Exemples à l’appui, ils présentent les différents acteurs qui ont favorisé la production et la diffusion de ces ouvrages, ainsi que la grande diversité des livres concernés.
A general model is presented for coupling of high-Q whispering-gallery modes in optical microsphere resonators with coupler devices that possess a discrete and continuous spectrum of propagating modes. By contrast to conventional high-Q optical cavities, in microspheres the independence of high intrinsic quality-factor and controllable parameters of coupling via an evanescent field offer a variety of regimes similar to those that are already available in rf devices. The theory is applied to data reported earlier on different types of couplers to microsphere resonators and is complemented by the experimental demonstration of enhanced coupling efficiency (∼80%) and variable loading regimes with Q>108 fused-silica microspheres.
In a context of illiquidity, the reservation price is a well-accepted alternative to the usual martingale approach which does not apply. However, this price is not available in closed form and requires numerical methods such as Monte Carlo or polynomial approximations to evaluate it. We show that these methods can be inaccurate and propose a deterministic decomposition of the reservation price using the Lambert function. This decomposition allows us to perform an improved Monte Carlo method, which we name Lambert Monte Carlo (LMC) and to give deterministic approximations of the reservation price and of the optimal strategies based on the Lambert function. We also give an answer to the problem of selecting a hedging asset that minimizes the reservation price and also the cash invested. Our theoretical results are illustrated by numerical simulations.
Using a combination of resist reflow to form a highly circular etch mask pattern and a low-damage plasma dry etch, high-quality-factor silicon optical microdisk resonators are fabricated out of silicon-on-insulator (SOI) wafers. Quality factors as high as Q = 5x10(6) are measured in these microresonators, corresponding to a propagation loss coefficient as small as alpha ~ 0.1 dB/cm. The different optical loss mechanisms are identified through a study of the total optical loss, mode coupling, and thermally-induced optical bistability as a function of microdisk radius (5-30 microm). These measurements indicate that optical loss in these high-Q microresonators is limited not by surface roughness, but rather by surface state absorption and bulk free-carrier absorption.