arXiv subjects

Ryan Parker

Publications and source records attributed to Ryan Parker.

2 recordsLinked to original sources

arXiv2026

Semi-Analytical Pricing for General Default Intensity Models

Using the path-integral formalism, we develop an accurate and easy-to-compute semi-analytical approximation for a general class of {default intensity} models. We illustrate the accuracy of the method by presenting results for the Black-Karasinski model for which the proposed approximation provides remarkably accurate results, even in regimes of high volatility and multi-year time horizons. The accuracy and the computational efficiency of the proposed approximation makes it a viable alternative to fully numerical schemes for a variety of applications in econometrics and derivatives pricing, including the computation of XVA for credit products. As a practical example, we consider the pricing of a quanto Credit Default Swap (CDS) under stochastic intensity of default and an FX devaluation model.

q-fin.CP↗

arXiv2025

French Onion Soup, Ipelets for Points and Polygons

There are many structures, both classical and modern, involving point-sets and polygons whose deeper understanding can be facilitated through interactive visualizations. The Ipe extensible drawing editor, developed by Otfried Cheong, is a widely used software system for generating geometric figures. One of its features is the capability to extend its functionality through programs called Ipelets. In this media submission, we showcase a collection of new Ipelets that construct a variety of geometric based structures based on point sets and polygons. These include quadtrees, trapezoidal maps, beta skeletons, floating bodies of convex polygons, onion graphs, fractals (Sierpi\'nski triangle and carpet), simple polygon triangulations, and random point sets in simple polygons. All of our Ipelets are programmed in Lua and are freely available.

cs.CG↗