5 papers
Valuation of Variable Annuities with Equity Protection Swaps under Jumps and Default Risks
Marek Rutkowski, Huansang Xu
This paper examines the valuation and hedging of standard equity protection swap (EPS) products proposed by Xu et al.. To account for financial crises and counterparty default risk…
Choice of Collateral Currency in Differential Swaps
Yining Ding, Ruyi Liu, Marek Rutkowski
The role of collateral in derivative pricing has evolved beyond credit risk mitigation, particularly following the global financial crisis, when funding costs and basis spreads bec…
Cross-Currency Basis Swaps Referencing Backward-Looking Rates
Yining Ding, Ruyi Liu, Marek Rutkowski
The financial industry has undergone a significant transition from the London Interbank Offered Rates (LIBORs) to Risk Free Rates (RFRs) such as, e.g., the Secured Overnight Financ…
Pricing and Hedging Strategies for Cross-Currency Equity Protection Swaps
Marek Rutkowski, Huansang Xu
In this paper, we explore the pricing and hedging strategies for an innovative insurance product called the equity protection swap(EPS). Notably, we focus on the application of EPS…
Equity Protection Swaps: A New Type of Investment Insurance for Holders of Superannuation Accounts
Huansang Xu, Ruyi Liu, Marek Rutkowski
We propose to develop a new class of investment insurance products for holders of superannuation accounts in Australia, which we tentatively call equity protection swaps (EPSs). An…