The credit derivatives market has experienced remarkable growth over the past decade. As such, there is a growing interest in tools for pricing of the most prominent credit derivative, the credit default swap (CDS). In this paper, we propose a heuristic algorithm for pricing of basket default swaps (BDS). For this purpose, genetic network programming (GNP), which is one of the recent evolutiona...

In this paper we introduce the notion of best swap for a failing edge of a single source shortest paths tree (SPT) S(r) rooted in r in a weighted graph G = (V, E). Given an edge e ∈ S(r), an edge e′ ∈ E \{e} is a swap edge if the swap tree Se/e′(r) obtained by swapping e with e′ in S(r) is a spanning tree of G. A best swap edge for a given edge e is a swap edge minimizing some distance function...

Unsaturated zone models are useful tools in predicting effects of measures and can be used to optimise agricultural practice aiming to minimise the impact on the environment. However, current soil models have a varying degree of abstraction level referring to simulated processes in time and space. In the framework of an EU funded project the SWAP (Soil-Water-Atmosphere-Plant) and ANIMO (Agricul...

In this paper, we study the implications for hedging Bermudan swaptions of the choice of the instantaneous volatility for the driving Markov process of the one-dimensional swap Markov-functional model. We find that there is a strong evidence in favour of what we term “parametrization by time” as opposed to “parametrization by expiry”. We further propose a new parametrization by time for the dri...

SWAP-70, a phosphatidylinositol trisphosphate (PtdIns(3,4,5)P(3)) binding protein, has been suggested to be involved in transformation of mouse embryo fibroblasts (MEFs) as well as membrane ruffling after growth factor stimulation of the cells. A mutant, SWAP-70-374, was found to be able to bind to F-actin in vitro, whereas wild-type SWAP-70 failed to do so. This mutant was present at the plasm...

Detection of progression is paramount to the clinical management of glaucoma. Our goal is to compare the performance of standard automated perimetry (SAP), short-wavelength automated perimetry (SWAP), and frequency-doubling technology (FDT) perimetry in monitoring glaucoma progression.Longitudinal data of paired SAP, SWAP, and FDT from 113 eyes with primary open-angle glaucoma enrolled in the D...

In this paper, we revisit the much studied problem of Pattern Matching with Swaps (Swap Matching problem, for short). We first present a graph-theoretic model, which opens a new and so far unexplored avenue to solve the problem. Then, using the model, we devise two efficient algorithms to solve the swap matching problem. The resulting algorithms are adaptations of the classic shift-and algorith...

Clustering is an unsupervised learning method widely used in many fields, such as machine learning, pattern recognition, data mining and image analysis. The goal of this study is to investigate swap-based clustering and its application to location-based services. Swap-based clustering is a local search heuristic trying to find the optimal centroid locations by performing a sequence of centroid ...

Recently, Diebold and Li (2003) obtained good forecasting results for yield curves in a reparametrized Nelson-Siegel framework. We analyze similar modeling approaches for price curves of variance swaps that serve nowadays as hedging instruments for options on realized variance. We consider the popular Heston model, reparametrize its variance swap price formula and model the entire variance swap...