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]

In 2023, a new museum opened in Tbilisi, at the Writer’s House of Georgia that previously house the Soviet Writers’ Union: The Museum of Repressed Writers. The museum honours the executed poets from Georgia’s Soviet past, poets whose identities Soviet authorities tried to destroy. This article examines the story the museum tells about Soviet l…[Read more]

This paper compares psychostasia and/or kerostasia concepts from Indo-European, Semitic and adjacent cultures, and relates them to Cognitive Metaphor Theory. In the context of metaphysical weighing, the religions of ancient Egypt, Greece and Rome all associated lightness with goodness and/or a favourable outcome; Hinduism does likewise. The…[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]

CAMDEN HISTORY, Journal of the Camden Historical Society Inc.
Ian Willis (editor)
Contents
Ian Willis, ‘Graeme Clark, a world-famous Camden identity’. p237
Graeme Clark, ‘Laureate Professor Graeme Clark AC, Pioneer of the Multi-channel Cochlear Implant /Bionic Ear’. p3242
Julianne Figar, ‘Yellamundie (the storyteller)’ p 255
Aidan Whittard,…[Read more]

Two colourful mural artworks are along the Queen Street frontage of Narellan Library. These artworks were commissioned by Camden Council in 2017 as a collaboration between mural artist Mandy Salter and the area’s young artists as part of a Youth Participation Public Art Project.

More detailed discussions on Thomas Biggs: Sown Men and Rome’s Civil Wars. Rethinking the End of Melinno’s Hymn to Rome (Mnemosyne 76.3) and Gerlinde Bretzigheimer: Intertextualität und Intratextualität in Ausonius’ Epitaphia heroum (Wiener Studien 135).

The article presents a model for pricing digital-type barrier options on baskets of equity stocks. Within each payment period, there is a series of basket observation times. If at each observation time we observe that all basket constituent stocks remain between their lower and upper barriers, we receive a fixed coupon amount on the payment date…[Read more]

Small museums contribute considerable value to the economy through unpaid voluntary labour. According to the latest research, unpaid voluntary labour to the Camden Museum is worth around A$580,000 a year. Volunteers completely run the Camden Museum and the Camden Historical Society. They are some of the many voluntary community organisations in…[Read more]

We present a model for pricing an exotic swap where one party receives a fixed amount and makes a series of variable payments at the end of each pre-defined calculation period. The variable payments can be modeled as Asian put option payoffs on the weighted sum of two respective commodity basket levels. Furthermore, each basket level consists of a…[Read more]

New research shows that cultural and heritage tourism is worth around $6.3 million per year to the Camden Local Government Area.
Within cultural and heritage tourism storytelling is an essential feature of the visitor experience.

A model is present for pricing an Equity Asian Swap. One leg of the swap pays the return from a monthly average of the S&P TSE60 index less a constant strike. The payment from the other leg is similarly defined for a stock. The payments are tied to notional amounts that are specified according to two pre-determined monthly schedules. Most of the…[Read more]

Unlock Camden is a history festival celebrating the Camden story through walks, art, images, stories, and other activities. Events are centred around the Alan Baker Art Gallery Macaria in the historic John Street precinct, Camden NSW.

Tulad ng naobserbahan ng mga may-akda ng artikulong “Beyond the Group Mind: A Quantitative Review of the Interindividual–Intergroup Discontinuity Effect” na inilathala sa Psychological Bulletin, Tinatayang sa huling dekada pa lamang ng ikadalawampu siglo, ang mga nakamamatay na digmaan ng mga lugar tulad ng Rwanda, Bosnia, at Ethiopia ay kumitil n…[Read more]

A variance/volatility swap is an instrument that allows explicit exposure to the realized variance/volatility of an index, stock, etc., without exposure to other risks commonly encountered with derivatives: delta, gamma, etc.

We review the equity forward and futures pricing models. Consider an index level, I, at a future time, T. With respect to I, we calculate 1) the forward price, 2) the futures price, and 3) delta.

A valuation model is presented to calculate price, hedge ratio, and implied volatility for forward starting European calls and puts. The model focuses on the numerical accuracy of the implementation.

The model calculates numbers that characterize the effect of adding an extra instrument to a portfolio of loan commitments. To be useful, these numbers should be additive with respect to the facilities making up the portfolio, so that their total would have the same meaning for the portfolio as each individual number has for the respective…[Read more]