"Deep fake" technologies are often associated with face-swapping algorithms based on images or videos. Although much research is focused on developing these techniques, there is still room for improvement, especially in human and visual assessment. In this study, we present an innovative approach to the problem of face replacement based on one model while preserving background features. Our model uses the Adaptive Attentional Denormalization method from FaceShifter while integrating identity features from the ArcFace and BiSeNet models to support the attribute extraction process. We used Fast GAN as a generative model to optimize and accelerate the training process on smaller data sets. Our research proves the effectiveness of the proposed approach by combining innovative methods and architectures in one coherent solution.

We propose a novel credit risk measurement model for Corporate Default Swap spreads, that combines vector autoregressive regression with correlation networks. We focus on the sovereign CDS spreads of a collection of countries, that can be regarded as idiosyncratic measures of credit risk. We model them by means of a vector autoregressive regression model, composed by a time dependent country specific component, and by a contemporaneous component that describes contagion effects among countries. To disentangle the two components, we employ correlation networks, derived from the correlation matrix between the reduced form residuals. The proposed model is applied to ten countries that are representative of the recent financial crisis: top borrowing/lending countries, and peripheral European countries. The empirical findings show that the proposed model is a good predictor of CDS spreads movements, and that the contemporaneous component decreases prediction errors with respect to a simpler autoregressive model. From an applied viewpoint, core countries appear to import risk, as contagion increases their CDS spread, whereas peripheral countries appear as exporters of risk. Greece is an unfortunate exception, as its spreads seem to increase for both idiosyncratic factors and contagion effects.

By reinterpreting the calibration of structural models, a reassessment of the importance of the input variables is undertaken. The analysis shows that volatility is the key parameter to any calibration exercise by several orders of magnitude. In order to maximize the sensitivity to volatility, a simple formulation of Merton’s model is proposed that employs deep out-of-the-money option implied volatilities. The methodology also eliminates the use of historic data to specify the default barrier thereby leading to a full risk neutral calibration. Subsequently, a new technique for identifying and hedging capital structure arbitrage opportunities is illustrated. The approach seeks to hedge the volatility risk, or vega, as opposed to the exposure from the underlying equity itself, or delta. The results question the efficacy of the common arbitrage strategy of only executing the delta hedge.

In this paper, the connections between quantum non-locality and permutation symmetries are explored. This includes two types of symmetries: permutation across a superposition and permutation of qubits in a quantum system. An algorithm is proposed for nding the separability class of a quantum state using a method based on factorizing an arbitrary multipartite state into possible partitions, cyclically permuting qubits of the vectors in a superposition to check which separability class it falls into and thereafter using a reduced density-matrix analysis of the system is proposed. For the case of mixed quantum states, conditions for separability are found in terms of the partial transposition of the density matrices of the quantum system. One of these conditions turns out to be the Partial Positive Transpose (PPT) condition. A graphical method for analyzing separability is also proposed. The concept of permutation of qubits is shown to be useful in dening a new entanglement measure in the `engle'.

This paper attempts to assess the economic significance and implications of collateralization in different financial markets, which is essentially a matter of theoretical justification and empirical verification. We present a comprehensive theoretical framework that allows for collateralization adhering to bankruptcy laws. As such, the model can back out differences in asset prices due to collateralized counterparty risk. This framework is very useful for pricing outstanding defaultable financial contracts. By using a unique data set, we are able to achieve a clean decomposition of prices into their credit risk factors. We find empirical evidence that counterparty risk is not overly important in credit-related spreads. Only the joint effects of collateralization and credit risk can sufficiently explain unsecured credit costs. This finding suggests that failure to properly account for collateralization may result in significant mispricing of financial contracts. We also analyze the difference between cleared and OTC markets.