Equity Protection Swaps: A New Type of Investment Insurance for Holders of Superannuation Accounts

no code implementations • 12 Apr 2023 • Huansang Xu, Ruyi Liu, Marek Rutkowski

A numerical study based on the Black-Scholes model and empirical tests based on market data for S\&P~500 and S&P/ASX~200 indices for 2020-2022 demonstrates the benefits of an EPS as an efficient investment insurance tool for superannuation accounts.

Vulnerable European and American Options in a Market Model with Optional Hazard Process

no code implementations • 25 Dec 2022 • Libo Li, Ruyi Liu, Marek Rutkowski

We study the upper and lower bounds for prices of European and American style options with the possibility of an external termination, meaning that the contract may be terminated at some random time.

Pricing and Hedging of SOFR Derivatives under Differential Funding Costs and Collateralization

no code implementations • 28 Dec 2021 • Marek Rutkowski, Matthew Bickersteth

Since the 1970s, the LIBOR has served as a fundamental measure for floating term rates across multiple currencies and maturities.