A variance swap is a derivative with a path-dependent payoff which allows investors to take positions on the future variability of an asset. In the idealised setting of a continuously monitored variance swap written on an asset with continuous paths it is well known that the variance swap payoff can be replicated exactly using a portfolio of puts and calls and a dynamic position in the asset. T...

A self-contained theory is presented for pricing and hedging LIBOR and swap derivatives by arbitrage. Appropriate payoff homogeneity and measurability conditions are identified which guarantee that a given payoff can be attained by a self-financing trading strategy. LIBOR and swap derivatives satisfy this condition, implying they can be priced and hedged with a finite number of zero-coupon bond...

Eosinophils are the predominant inflammatory cells recruited to allergic airways. In this article, we show that human and murine eosinophils express SWAP-70, an intracellular RAC-binding signaling protein, and examine its role in mediating eosinophil trafficking and pulmonary recruitment in a murine model of allergic airway inflammation. Compared with wild-type eosinophils, SWAP-70-deficient (S...

This paper presents a theoretical model of default risk in the context of the ``market'' model approach to interest rate dynamics. We propose a model for ®nite-interval interest rates (such as LIBOR) which explicitly takes into account the possibility of default through the in ̄uence of a point process with deterministic intensity. We relate the defaultable interest rate to the non-defaultable i...

We examine the influence of alternative ocean and atmosphere subcomponents on climate model simulation of transient sensitivities by comparing three GFDL climate models used for the CMIP5. The base model ESM2M is closely related to GFDL’s CMIP3 climate model CM2.1, and makes use of a depth coordinate ocean component. The second model, ESM2G, is identical to ESM2M but makes use of an isopycnal c...

In this paper, we focus on introducing the Variance Swap and estimating the portfolios. The portfolios of the Variance Swap are optimized based on maximizing the distorted expectation given the index of acceptability. The variance strike is calculated from the option surface calibration. The realized variance is constructed through Hardy-Littlewood transform considering the highly correlated au...

We study specific nonlinear transformations of the Black-Scholes implied volatility to show remarkable properties of the volatility surface. Model-free bounds on the implied volatility skew are given. Pricing formulas for the European options which are written in terms of the implied volatility are given. In particular, we prove elegant formulas for the fair strikes of the variance swap and the...

While Ising-type interactions are ideal for implementing controlled phase flip gates in one-way quantum computing, natural interactions between solid-state qubits are most often described by either the XY or the Heisenberg models. We show an efficient way of generating cluster states directly using either the imaginary SWAP (iSWAP) gate for the XY model, or the sqrt[SWAP] gate for the Heisenber...

Currently, there are two market models for valuation and risk management of interest rate derivatives, the LIBOR and swap market models. In this paper, we introduce arbitrage-free constant maturity swap (CMS) market models and generic market models featuring forward rates that span periods other than the classical LIBOR and swap periods. We develop generic expressions for the drift terms occurr...

The Face Swap algorithm uses Viola-Jones face detection, Active Shape Model fitting, and Laplacian Pyramids among other methods to locate faces in an image and swap them while maintaining a natural and realistic look. The main application of this this software is preventing unwanted online identification of people in photos, such as those on Google and Bing Maps.