Unilateral CVA for CDS in Contagion model: With volatilities and correlation of spread and interest

The price of financial derivative with unilateral counterparty credit risk can be expressed as the price of an otherwise risk-free derivative minus a credit value adjustment(CVA) component that can be seen as shorting a call option, which is exercised upon default of counterparty, on MtM of the derivative. Therefore, modeling volatility of MtM and default time of counterparty is key to quantification of counterparty risk. This paper models default times of counterparty and reference with a particular contagion model with stochastic intensities that is proposed by Bao et al. 2010. Stochastic interest rate is incorporated as well to account for positive correlation between spread and interest. Survival measure approach is adopted to calculate MtM of risk-free CDS and conditional survival probability of counterparty in defaultable environment. Semi-analytical solution for CVA is attained. Affine specification of intensities and interest rate concludes analytical expression for pre-default value of MtM. Numerical experiments at the last of this paper analyze the impact of contagion, volatility and correlation on CVA.Credit Value Adjustment, Contagion Model, Stochastic Intensities and Interest, Survival Measure, Affine Specification

UWFormer: Underwater Image Enhancement via a Semi-Supervised Multi-Scale Transformer

Underwater images often exhibit poor quality, imbalanced coloration, and low contrast due to the complex and intricate interaction of light, water, and objects. Despite the significant contributions of previous underwater enhancement techniques, there exist several problems that demand further improvement: (i) Current deep learning methodologies depend on Convolutional Neural Networks (CNNs) that lack multi-scale enhancement and also have limited global perception fields. (ii) The scarcity of paired real-world underwater datasets poses a considerable challenge, and the utilization of synthetic image pairs risks overfitting. To address the aforementioned issues, this paper presents a Multi-scale Transformer-based Network called UWFormer for enhancing images at multiple frequencies via semi-supervised learning, in which we propose a Nonlinear Frequency-aware Attention mechanism and a Multi-Scale Fusion Feed-forward Network for low-frequency enhancement. Additionally, we introduce a specialized underwater semi-supervised training strategy, proposing a Subaqueous Perceptual Loss function to generate reliable pseudo labels. Experiments using full-reference and non-reference underwater benchmarks demonstrate that our method outperforms state-of-the-art methods in terms of both quantity and visual quality

ShaDocFormer: A Shadow-attentive Threshold Detector with Cascaded Fusion Refiner for document shadow removal

Document shadow is a common issue that arise when capturing documents using mobile devices, which significantly impacts the readability. Current methods encounter various challenges including inaccurate detection of shadow masks and estimation of illumination. In this paper, we propose ShaDocFormer, a Transformer-based architecture that integrates traditional methodologies and deep learning techniques to tackle the problem of document shadow removal. The ShaDocFormer architecture comprises two components: the Shadow-attentive Threshold Detector (STD) and the Cascaded Fusion Refiner (CFR). The STD module employs a traditional thresholding technique and leverages the attention mechanism of the Transformer to gather global information, thereby enabling precise detection of shadow masks. The cascaded and aggregative structure of the CFR module facilitates a coarse-to-fine restoration process for the entire image. As a result, ShaDocFormer excels in accurately detecting and capturing variations in both shadow and illumination, thereby enabling effective removal of shadows. Extensive experiments demonstrate that ShaDocFormer outperforms current state-of-the-art methods in both qualitative and quantitative measurements

DocDeshadower: Frequency-aware Transformer for Document Shadow Removal

The presence of shadows significantly impacts the visual quality of scanned documents. However, the existing traditional techniques and deep learning methods used for shadow removal have several limitations. These methods either rely heavily on heuristics, resulting in suboptimal performance, or require large datasets to learn shadow-related features. In this study, we propose the DocDeshadower, a multi-frequency Transformer-based model built on Laplacian Pyramid. DocDeshadower is designed to remove shadows at different frequencies in a coarse-to-fine manner. To achieve this, we decompose the shadow image into different frequency bands using Laplacian Pyramid. In addition, we introduce two novel components to this model: the Attention-Aggregation Network and the Gated Multi-scale Fusion Transformer. The Attention-Aggregation Network is designed to remove shadows in the low-frequency part of the image, whereas the Gated Multi-scale Fusion Transformer refines the entire image at a global scale with its large perceptive field. Our extensive experiments demonstrate that DocDeshadower outperforms the current state-of-the-art methods in both qualitative and quantitative terms

Unilateral CVA for CDS in Contagion Model_with Volatilities and Correlation of Spread and Interest

The price of financial derivative with unilateral counterparty credit risk can be expressed as the price of an otherwise risk-free derivative minus a credit value adjustment(CVA) component that can be seen as shorting a call option, which is exercised upon default of counterparty, on MtM of the derivative. Therefore, modeling volatility of MtM and default time of counterparty is key to quantification of counterparty risk. This paper models default times of counterparty and reference with a particular contagion model with stochastic intensities that is proposed by Bao et al. 2010. Stochastic interest rate is incorporated as well to account for positive correlation between spread and interest. Survival measure approach is adopted to calculate MtM of risk-free CDS and conditional survival probability of counterparty in defaultable environment. Semi-analytical solution for CVA is attained. Affine specification of intensities and interest rate concludes analytical expression for pre-default value of MtM. Numerical experiments at the last of this paper analyze the impact of contagion, volatility and correlation on CVA

Unilateral CVA for CDS in Contagion model: With volatilities and correlation of spread and interest

The price of financial derivative with unilateral counterparty credit risk can be expressed as the price of an otherwise risk-free derivative minus a credit value adjustment(CVA) component that can be seen as shorting a call option, which is exercised upon default of counterparty, on MtM of the derivative. Therefore, modeling volatility of MtM and default time of counterparty is key to quantification of counterparty risk. This paper models default times of counterparty and reference with a particular contagion model with stochastic intensities that is proposed by Bao et al. 2010. Stochastic interest rate is incorporated as well to account for positive correlation between spread and interest. Survival measure approach is adopted to calculate MtM of risk-free CDS and conditional survival probability of counterparty in defaultable environment. Semi-analytical solution for CVA is attained. Affine specification of intensities and interest rate concludes analytical expression for pre-default value of MtM. Numerical experiments at the last of this paper analyze the impact of contagion, volatility and correlation on CVA

Unilateral CVA for CDS in Contagion Model_with Volatilities and Correlation of Spread and Interest

The price of financial derivative with unilateral counterparty credit risk can be expressed as the price of an otherwise risk-free derivative minus a credit value adjustment(CVA) component that can be seen as shorting a call option, which is exercised upon default of counterparty, on MtM of the derivative. Therefore, modeling volatility of MtM and default time of counterparty is key to quantification of counterparty risk. This paper models default times of counterparty and reference with a particular contagion model with stochastic intensities that is proposed by Bao et al. 2010. Stochastic interest rate is incorporated as well to account for positive correlation between spread and interest. Survival measure approach is adopted to calculate MtM of risk-free CDS and conditional survival probability of counterparty in defaultable environment. Semi-analytical solution for CVA is attained. Affine specification of intensities and interest rate concludes analytical expression for pre-default value of MtM. Numerical experiments at the last of this paper analyze the impact of contagion, volatility and correlation on CVA

A numerical landslide-tsunami hazard assessment technique applied on hypothetical scenarios at Es Vedrà, offshore Ibiza

This study presents a numerical landslide-tsunami hazard assessment technique for applications in reservoirs, lakes, fjords, and the sea. This technique is illustrated with hypothetical scenarios at Es Vedrà, offshore Ibiza, although currently no evidence suggests that this island may become unstable. The two selected scenarios include two particularly vulnerable locations, namely: (i) Cala d’Hort on Ibiza (3 km away from Es Vedrà) and (ii) Marina de Formentera (23 km away from Es Vedrà). The violent wave generation process is modelled with the meshless Lagrangian method smoothed particle hydrodynamics. Further offshore, the simulations are continued with the less computational expensive code SWASH (Simulating WAves till SHore), which is based on the non-hydrostatic non-linear shallow water equations that are capable of considering bottom friction and frequency dispersion. The up to 133-m high tsunamis decay relatively fast with distance from Es Vedrà; the wave height 5 m offshore Cala d’Hort is 14.2 m, reaching a maximum run-up height of over 21.5 m, whilst the offshore wave height (2.7 m) and maximum inundation depth at Marina de Formentera (1.2 m) are significantly smaller. This study illustrates that landslide-tsunami hazard assessment can nowadays readily be conducted under consideration of site-specific details such as the bathymetry and topography, and intends to support future investigations of real landslide-tsunami cases

Unilateral CVA for CDS in contagion model: with volatilities and correlation of spread and interest

The price of financial derivative with unilateral counterparty credit risk can be expressed as the price of an otherwise risk-free derivative minus a credit value adjustment(CVA) component that can be seen as shorting a call option, which is exercised upon default of counterparty, on MtM of the derivative. Therefore, modeling volatility of MtM and default time of counterparty is key to quantification of counterparty risk. This paper models default times of counterparty and reference with a particular contagion model with stochastic intensities that is proposed by Bao et al. 2010. Stochastic interest rate is incorporated as well to account for positive correlation between spread and interest. Survival measure approach is adopted to calculate MtM of risk-free CDS and conditional survival probability of counterparty in defaultable environment. Semi-analytical solution for CVA is attained. Affine specification of intensities and interest rate concludes analytical expression for pre-default value of MtM. Numerical experiments at the last of this paper analyze the impact of contagion, volatility and correlation on CVA