The study investigates whether the financial liberalization undertaken in India has resulted in integration of Indian markets with global markets. First, we investigate covered interest rate parity (CIP) between India and the US using 3 month interbank interest rates and 1 year swap rates. The results show little evidence of a long term equilibrium relationship between the domestic interest rat...

In this paper we consider an analytical valuation of Basket Default Swaps. Our solution is based on a continuous-time model in a conditional independence framework. We use the order statistics of the default times of the names in the basket to find a recursive algorithm for computation of the risk-neutral distribution of the default process of the basket. We derive an analytical expression for ...

The forensics community is increasingly embracing the use of memory analysis to enhance traditional storage-based forensics techniques, because memory analysis yields a wealth of information not available on non-volatile storage. Memory analysis involves capture of a system's physical memory so that the live state of a system can be investigated, including executing and terminated processes, ap...

We present a multi-dimensional jump-diffusion version of a structural default model and show how to use it in order to value the credit value adjustment for a credit default swap. We develop novel analytical and numerical methods for solving the corresponding boundary value problem with a special emphasis on the role of negative asset value jumps. Using recent market data, we show that under re...

Superior to the variance, "swap variance (SwV)" summarizes the entire probability distribution of returns and is unbiased to distributional asymmetry. Retaining the same simplicity as meanvariance (MV) model, the efficiency of mean-swap variance (MSwV) is necessary and sufficient conditions for that of stochastic dominance. The SwV is composed of a quadratic volatility and a proxy of asymmetric...

This paper tests a model based on Wall's (Wall, L., 1989. Journal of Banking and Finance 13, 261±270) hypothesis of agency cost reduction using interest rate swaps. We ®nd a signi®cant positive relationship between the risk of the ®rm and the reduction of agency costs measured by the continuously compounded excess return (CAR) of the ®rm. Our ®ndings are consistent with WallÕs hypothesis and ot...

In this paper, we focus on the calibration of affine stochastic mortality models using insurance contracts premiums. Viewing insurance contracts as “market products,” we propose fitting stochastic models on the quotes of insurance policies. For this purpose, insurance contracts are viewed as a “swap” in which policyholders exchange cash flows (premiums vs. benefits) with an insurer analogous to...