This paper examines the causal relationship between euro and sterling swap spreads during the period January, 1999 to March, 2003. The absence of any correlation between changes in the two swap spreads would indicate that credit risk factors are country-specific. But euro swap spreads showed some correlation with the interest rate differentials between the two markets. Both spreads follow a GAR...

In this paper, we revisit the much studied problem of Pattern matching with Swaps (Swap Matching problem, for short). We first present a new graph-theoretic approach to model the problem, which opens a new and so far unexplored avenue to solve the problem. Then, using the model, we devise an efficient algorithm to solve the swap matching problem. The resulting algorithm is an adaptation of the ...

This paper mainly discusses the pricing of credit default swap (CDS) in the fractional dimension environment. We assume that the default intensity of a firm depends on the default states of counterparty firms and the term structure of interest rates, but the contagious impact of the counterparty firm is decreasing over time, until disappears. The interest rate risk is reflected by the fractiona...

The arbitrage-free range of values of the loss leg of an nth-to-default swap, and the arbitrage-free range of premium payments for such a swap, are derived for homogeneous baskets of arbitrary numbers of reference entities. Elementary arbitrage arguments are given which show that arbitrage opportunities exist if the prices lie outside of the bounds, and analyses of both a discrete-time model an...

Following the guidelines of Basel III agreement (2013), large financial institutions are forced to incorporate additional collateral, known as Initial Margin, in their transactions OTC markets. Currently, computation such collateral is performed following Standard Margin Model (SIMM) methodology. Focusing on a portfolio consisting an interest rate swap, we propose use Artificial Neural Networks...

SWAP-70 is a protein that has been suggested to be involved in regulation of actin rearrangement. Having discovered that an artificially-derived mutant of SWAP-70 can transform mouse embryo fibroblasts, we searched for naturally-occurring mutations in the SWAP-70 gene, finding listings for several on the Web at www.sanger.ac.uk/genetics/CGP/cosmic/, including three mutations found in ovarian ca...

Osteoclasts are bone resorbing cells acting as key mediators of bone disorders. Upon adhesion to bone, osteoclasts polarize and reorganize their cytoskeleton to generate a ring-like F-actin-rich structure, the sealing zone, wherein the osteoclast's resorptive organelle, the ruffled border, is formed. The dynamic self-organization of actin-rich adhesive structures, the podosomes, from clusters t...

BACKGROUND In the past decade the sector-wide approach (SWAp) model has been promoted by donors and adopted by governments in several countries. The purpose of this study is to look at how partners involved in the health SWAp in Bangladesh define ownership and coordination, in their daily work and to analyse the possible implications of these definitions. METHODOLOGY The study object was a pr...

In this work we analyze the concept of swap-invariance, which is a weaker variant of exchangeability. An integrable random vector ξ in R is called swap-invariant if E ∣∣∑ j ujξj ∣∣ is invariant under all permutations of the components of ξ for each u ∈ R. Further a random sequence is swap-invariant if its finite-dimensional distributions are swap-invariant. Two characterizations of large classe...

The traditional Distributed Shared Memory (DSM) model provides atomicity at levels of read and write on single objects. Therefore, multi-object operations such as double compare and swap, and atomic m-register assignment cannot be eeciently expressed in this model. We extend the traditional DSM model to allow operations to span multiple objects. We show that memory consistency conditions such a...