We propose a new methodology for pricing options on flow forwards by applying infinite-dimensional neural networks. We recast the pricing problem as an optimization problem in a Hilbert space of real-valued function on the positive real line, which is the state space for the term structure...

For enthusiasts, distributed ledger technology and smart contract technology promise a future of frictionless interactions and decentralisation. In practice, however, it is widely acknowledged that this vision faces significant challenges. These include legal challenges, technological...

We analyze the lead-lag relationship between VIX futures and SPX futures on a sample of high-frequency data. We find that the two futures markets are weakly connected when market volatility is low. In contrast, when volatility is high, their prices are highly negatively correlated and with the...

Catastrophe (CAT) bond markets are incomplete and hence carry uncertainty in instrument pricing. As such various pricing approaches have been proposed, but none treat the uncertainty in catastrophe occurrences and interest rates in a sufficiently flexible and statistically reliable way within a...

Applying historical data from the USD LIBOR transition period, we estimate a joint model for SOFR, Fed Funds, and Eurodollar futures rates as well as spot USD LIBOR and term repo rates. The framework endogenously models basis spreads between each of the benchmark rates and allows for the...

Antibiotic residues in foods of animal origin have gained a lot of attention in recent years as public health and food safety concerns have grown. A cross-sectional study was conducted to investigate the antibiotic residues in animal-derived food commodities in Bangladesh. A number of 159 animal...

Inflation derivatives have been widely used by various institutions to transfer or hedge inflation risks. They have experienced substantial growth since early 2000s and a liquid market has been developing in both Europe and U.S. In order to price inflation derivatives, calculate their risks or...

Covered warrants are securities that confer on their holder a right (and not an obligation) over a certain financial asset (underlying asset).Warrants may confer the following rights (i) to buy the underlying asset; (ii) to subscribe to the underlying asset; (iii) to sell the underlying asset;...

Implicit finite difference approximations are derived for both the first and second derivatives. The boundary closures are based on the banded-norm summation-by-parts framework and the boundary conditions are imposed using a weak (penalty) enforcement. Up to 8th order global convergence is...

This work is based on finding the new and interesting travelling wave solutions of space-time fractional modified equal width equation, which is a pulse-like solitary wave nonlinear wave equation with cubic nonlinearity. The most efficient and reliable methodology, the unified method has been...