Economics and Finance

1909 Submissions

[8] viXra:1909.0306 [pdf] submitted on 2019-09-14 11:00:47

The Valuation of Financial Derivatives Subject to Counterparty Risk and Credit Value Adjustment

Authors: Xiao, Tim
Comments: 40 Pages.

This article presents a generic model for pricing financial derivatives subject to counterparty credit risk. Both unilateral and bilateral types of credit risks are considered. Our study shows that credit risk should be modeled as American style options in most cases, which require a backward induction valuation. To correct a common mistake in the literature, we emphasize that the market value of a defaultable derivative is actually a risky value rather than a risk-free value. Credit value adjustment (CVA) is also elaborated. A practical framework is developed for pricing defaultable derivatives and calculating their CVAs at a portfolio level.
Category: Economics and Finance

[7] viXra:1909.0302 [pdf] submitted on 2019-09-14 22:57:06

1 期間2項モデルを活用した失業保険の価格決定

Authors: Hiroki Tahara
Comments: 3 Pages. Japanese Only

I determined general fee of employment insurance. I used one-term binomial models in order to determine general fee of employment insurance.
Category: Economics and Finance

[6] viXra:1909.0296 [pdf] submitted on 2019-09-15 05:01:27

On the Estimation of the Economic Value of a Dash Proposal

Authors: Pablo Menéndez-Ponte Alonso
Comments: 16 Pages.

This paper is concerned with the derivation of a consistent formal method to allow for estimating the economic value of a Dash proposal. Standing on the Currency Fair Value[1] theory as rational financial pricing model of a currency, the paper will arrive at a straightforward and objective calculation tool, in the form of several simple equations. These will allow Masternode owners and individuals who submit proposals to the Dash treasury to estimate the expected value return of the economic proposals and thus, enable them to make more rational decisions. Development of this new model will require differential analysis of the fair value equation, as a basis for the analytical expressions expected by the main target audience. This analysis goes beyond the scope of Dash and many other currency research efforts may also drawn upon it. Keywords: Dash·Proposal·Quantitative Finance·Asset Pricing·Currency Fair Value·Investing
Category: Economics and Finance

[5] viXra:1909.0152 [pdf] submitted on 2019-09-07 14:18:19

The Valuation of Credit Default Swap with Counterparty Risk and Collateralization

Authors: Xiao, Tim
Comments: 26 Pages.

This article presents a new model for valuing a credit default swap (CDS) contract that is affected by multiple credit risks of the buyer, seller and reference entity. We show that default dependency has a significant impact on asset pricing. In fact, correlated default risk is one of the most pervasive threats in financial markets. We also show that a fully collateralized CDS is not equivalent to a risk-free one. In other words, full collateralization cannot eliminate counterparty risk completely in the CDS market.
Category: Economics and Finance

[4] viXra:1909.0132 [pdf] submitted on 2019-09-06 18:15:03

Freemium Model of Technology and Services.

Authors: Bheemaiah, Anil Kumar.
Comments: 6 Pages.

Abstract This paper describes a common business model in the software industry, the dual licensing model which we extend to the freemium and two-world model. This model is extended to the 3DP economy, housing, clothing, food and technology. The model combines the dual source licensing of resilient lego homes, MRE food and all weather clothing and designs. Several case studies are described, such as MRE food and the design of 3D printers to propagate 3DP. The freemium model is proven to increase product diffusion, overall sales and is a better promotional mechanism compared to internet and media advertising. Keywords: Freemium, Two-World, Dual- Licensing, 3DP, Case Studies.
Category: Economics and Finance

[3] viXra:1909.0129 [pdf] submitted on 2019-09-06 23:09:07

Refutation of the Innovation Contest in Two Sequential Stages

Authors: Colin James III
Comments: 1 Page. Copyright 2019 by Colin James III All rights reserved. Respond to author by email only: info@cec-services dot com. See updated abstract at

We evaluated the definition of the conjectured model for the innovation contest in two sequential stages as not tautologous, forming a non tautologous fragment of the universal logic VŁ4.
Category: Economics and Finance

[2] viXra:1909.0128 [pdf] replaced on 2019-09-08 03:39:56

Denial of a Conjectured Experimental Model for Search Fund Study

Authors: Colin James III
Comments: 1 Page. Copyright 2019 by Colin James III All rights reserved. Respond to author by email only: info@cec-services dot com. See updated abstract at

We evaluate the diagram of the search cycle for percentage of funds in each phase and returns for terminal funds. It is not tautologous, hence denying the conjectured model of the experiment. This forms a non tautologous fragment of the universal logic VŁ4.
Category: Economics and Finance

[1] viXra:1909.0020 [pdf] submitted on 2019-09-01 18:22:18

The Valuation of Interest Rate Swap with Bilateral Counterparty Risk

Authors: Xiao, Tim
Comments: 13 Pages.

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.
Category: Economics and Finance