The structure of a Binary Return Note is similar to the one of a regular note, but the coupons are
contingent on return rates on stocks. Quasi-Monte Carlo simulation is used for pricing the product.

A comprehensive exams reading list for the history of Empire in the Modern World.

A comprehensive exams reading list for the history of Modern Europe

The reading list for a comprehensive exams major field in the history of Modern France and the French Colonial Empire.

A syllabus for a 200-level history course on global colonialism and imperialism taught at Northeastern University.

We present a pricing model for fade option. A fade option can be more precisely named as “point-barrier option”. The fade option is a vanilla option that exists or dies if a barrier is breached on a single preset date, which is prior or equal to the contract maturity.

This publication is part of the project “Ricontrans – Visual Culture, Piety and Propaganda. Transfer and Reception of Russian Religious Art in the Balkans and the Eastern Mediterranean (16th to Early 20th Century)”, funded from the European Research Council (erc) under the European Union’s Horizon 2020 research and innovation programme (grant…[Read more]

Average rate or Asian options have a payoff function proportional to an average rate or price. The average price is calculated over a sampling of specified dates that need not be equally spaced in time. The average price or rate tends to be less volatile than a single underlying price and hence, an option on the underlying average price should be…[Read more]

The article discusses valuation models for the following products: power financial indices swap contracts (PWR-SWAP), power financial transmission rights contracts (PWRSWAP- FTR), power physical delivery contracts (PWR-PHYS) and power physical transmission contracts (PWR-TR-SPREAD). All products have similar valuation structure – index swap (or s…[Read more]

We offer a hybrid (trinomial tree plus semi-analytic formulas) pricing method for FX Double Window Double Barrier option . Currently, the model uses spot implied volatility for the first time window, and forward implied volatility for the second time window. These are Black-Scholes implied volatilities from traded vanilla European options, but,…[Read more]

आस्ट्रेलिया ने 2021 में मीडिया संस्थानों के हितों की रक्षा के लिए ‘समाचार मीडिया और डिजिटल प्लेटफ़ॉर्म अनिवार्य सौदेबाजी कानून’ बनाया था। 2023 में ऐसा ही कानून कैनेडा में बनाया गया। भारत समेत कई अन्य देश भी ऐसे कानून बनाने पर विचार कर रहे हैं। टेक-कंपनियां ऐसे कानूनों का विरोध करती हैं तथा अपनी शर्तें न माने जाने की स्थिति में अपनी…[Read more]

आस्ट्रेलिया ने 2021 में मीडिया संस्थानों के हितों की रक्षा के लिए ‘समाचार मीडिया और डिजिटल प्लेटफ़ॉर्म अनिवार्य सौदेबाजी कानून’ बनाया था। 2023 में ऐसा ही कानून कैनेडा में बनाया गया। भारत समेत कई अन्य देश भी ऐसे कानून बनाने पर विचार कर रहे हैं। टेक-कंपनियां ऐसे कानूनों का विरोध करती हैं तथा अपनी शर्तें न माने जाने की स्थिति में अपनी…[Read more]

The purpose of the model is to calculate the credit spread sensitivity, correlation sensitivity, and default sensitivity via analytic methods for index CDO trades and bespoke CDO trades. The credit spread sensitivity is defined as the change in the MTM by perturbing the credit spread by a small amount; the default sensitivity is calculated by…[Read more]

This paper was presented at “Encounters with the Uncanny in Education” seminar organized by Antti Saari, Jan Varpanen, and Johanna Kallio at University of Tampere. The seminar was part of their EnAct – Researching Environmental Activism and Self-Cultivation research project.

A pricing model for capped-accumulated-return-call (CARC) with volatility surface is presented. Proprietary approaches to interpreting volatility surface are employed during pricing. To accelerate the convergence when low discrepancy sequences are used in Monte Carlo simulation (Quasi-Monte Carlo simulation), the Brownian Bridge Path…[Read more]

The model serves the purpose of computing basis adjustments for credit spread curves of the constituent obligors of the indexes such that the market price of the index can be repriced exactly. These adjusted index constituent curves are then used to compute index base correlations and mapped base correlations for bespoke trades, price the standard…[Read more]

The payoff of reverse convertible product involves returns on multiple assets and is conditional on hitting of continuous barriers. The Monte Carlo methodology employed by ESP is an efficient conditioning technique.

Accounting requires the ability to forecast conduit administration fees. a simple stationary lognormal model for the fees is presented. Initially, the stationarity of the sweep fees is tested by measuring the level of mean reversion. Using a Dickey-Fuller statistical test the conduits are checked for approximate stationarity. Next, assuming the…[Read more]