We present a method for bootstrapping a set of zero rates from an input set of US government money market securities and bonds. We detail the calculations used to convert ACT/365 continuously compounded zero rates to the rates.

We present an approach that calculates the Hull White (HW) volatility to make the swaption price calculated on a HW tree match Black’s price for the same swaption at each grid point. We priced the payer swaption using our benchmark Black’s model and then priced the same swaption, using our benchmark HW trinomial tree model, based on the c…[Read more]

The valuation makes the assumption that the future values of these parameters will be unchanged until the final payment date. Subsequently, the calculator performs a deterministic computation consisting of calculating the future cashflows in the waterfall and discounting them.

A convertible bond with exchangeable feature, which can be converted into a stock issued by a party different from the bond issuer. Assume that the stock conversion is vulnerable. If the bond-issuer has defaulted by a time, t , then the stock price is zero. If, on the other hand, the bond-issuer has not defaulted by time t , then the stock price…[Read more]

मार्च, 2022 में एक अमेरिकी कॉलेज में 50 साल की सजा काट कर जेल से पेरोल पर छूटे ब्लैक पैंथर के सदस्य को भाषण देने के लिए बुलाया गया था। श्वेत-श्रेष्ठतावादियों ने कार्यक्रम का जोरदार विरोध किया, लेकिन कॉलेज ने कार्यक्रम रद्द करने से इंकार कर दिया। कालेज ने इस कार्यक्रम से कथित तौर अपनी भावनाएं आहत होने का आरोप लगाने वालों को मान…[Read more]

The Brownian Bridge algorithm belongs to the family of Monte Carlo or Quasi-Monte Carlo methods with reduced variance. It generates sample paths which all start at the same initial point and end, at the same moment of time, at the same final point.

Based on the Hull-White single-factor tree building approach, respective trinomial trees are constructed for the short-term interest rate and stock’s price processes. Using the Hull-White two-factor tree building procedure, a combined tree is constructed by matching the mean, variance and correlation corresponding to each combined tree node. T…[Read more]

Two parties have established Securitization Partnership (the “Partnership”), to distribute and administer the mutual funds. Under the agreement the Partnership will finance the commissions to brokers selling mutual fund units on a deferred sales charge basis and, in exchange, will receive mutual fund distribution, administrative and redemption fees.

We propose a model for pricing a convertible bond (CB) where the issuer’s stock price is possibly denominated in a different currency from the bond’s coupon currency. We use a three factor, trinomial tree based model for pricing the CB.

A forward starting option is an option whose strike price is not fully determined until an intermediate date before expiration. A model is used to compute option price, Delta, Gamma, Hedge Rho, Discount Rho, Vega and Theta.

We present a model for calculating the price of European call and put options in the domestic currency on an underlying foreign equity with tenor up to 7 years. The calculation include option price, Delta, Gamma, Hedge Rho, Discount Rho, Vega, Theta.

This article presents analytics for pricing quanto Himalayan options on equity, where the single best return is locked in each fixing period. Specifically, we considered the impact of the quanto adjustment term on calibration and the computation of option premium and hedge ratios

The valuation methodology is based on the Monte Carlo spot LIBOR rate model. The model generates spot rates which log-normally distributed at each reset date. These spot rates are derived from corresponding forward rates whose stochastic behavior is constructed in an arbitrage-free manner. Outcomes for the spot rate are generated for each reset…[Read more]

Payoff for equity GIC requires a dynamically created basket such that the weight factors incorporate a division by the spot levels on the issue date, which converts the payoff to one based on a basket of comparative returns (rather than basket returns). To automate feeds on a daily basis we will need to create new baskets on a daily basis.

The connection between warfare and an increased wolf presence or even wolf attacks is a recurrent theme in European narrative sources. Many historical studies have also commented on the widespread belief in this connection and suggested that armed conflicts instigated a breakdown of the standard wolf-human relationship. In peacetime, wolves…[Read more]

Using the ecosystem concept as his starting point, the author examines the complex relationship between premodern armed forces and their environment at three levels: landscapes, living beings, and diseases. The study focuses on Europe’s Meuse Region, well-known among historians of war as a battleground between France and Germany. By analyzing s…[Read more]

La formación del ser humano constituye una de las acciones más amplias y complejas, constituida como un acto multidimensional de maestros y discípulos que animan a una comunidad, en este caso, la universidad. Esta institución es un espacio de búsqueda del saber y el conocimiento. Su esencia de enseñanza y aprendizaje ha construido unive…[Read more]

Purpose: This study aims at justifying the affiliation of the massive transformative purpose as an important item in the aggregate of the proclaimed corporate culture elements. For this reason the bundle of shades in the meaning for the massive transformative purpose will be explored, bearing in mind the main researcher’s interest in outlining t…[Read more]

The Gothic clings to Irish and Welsh coasts and finds voice through strange stories. Centuries of accumulated death and tragedy forms a dense web of sorrow with particularly prolific roots in the literature, songs, and stories of the eighteenth and nineteenth centuries. These traditions resonate within the longer history of lives and vessels lost…[Read more]