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q-fin.MF2026
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…
q-fin.MF2026
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…