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.

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.

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.

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]

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]

Volumen 18 de la revista chilena Papel Máquina, perteneciente a la editorial Palinodia, dedicado a la dimensión cultural y literaria del activismo político de Marta Lamas. Además de diversos ensayos a cargo de destacadas investigadoras feministas, el número incluye una entrevista con Marta Lamas y un recorte de su trabajo sobre la rabia, así como…[Read more]

La “profecía de Mar” de Jung: el materialismo académico impulsado por el escapismo extremo de los psicólogos materialistas
Pregunta de un periodista a Carl Jung: ¿Cree que, dentro de veinte años, a alguien le importará el espíritu de los símbolos, de lleno en la era de los viajes interplanetarios, con los Sputniks, los Gagarin y los Shephar…[Read more]

Pourquoi un sophisme est-il important ? Bouddha dit que « nous devenons ce que nous pensons ». Hier, je parlais à un diplômé philippin (je séjourne actuellement à Gneral Santos, aux Philippines). J’ai évoqué le principal argument martérialiste tel qu’expliqué par MIller et Thompson dans un article publié sur le site Web du NIH – Pubmed – qui affir…[Read more]

As the prominent social psychologists, Baumeister and Leary, point out, “Groups can share food, provide mates, and help care for offspring (including orphans). Some survival tasks such as hunting large animals or maintaining defensive vigilance against predatory enemies, are best accomplished by group cooperation…. Competition for limited res…[Read more]

As the prominent social psychologists, Baumeister and Leary, point out, “Groups can share food, provide mates, and help care for offspring (including orphans). Some survival tasks such as hunting large animals or maintaining defensive vigilance against predatory enemies, are best accomplished by group cooperation…. Competition for limited res…[Read more]

La théorie du chaos n’est pas aussi complexe qu’on le prétend souvent Comme l’observe Robert Juliano, le principe sous-jacent est que “dans le caractère aléatoire apparent des systèmes complexes chaotiques, il existe des modèles sous-jacents, des interconnexions, des boucles de rétroaction constantes, la répétition, l’auto-similarité , fractales…[Read more]

Equity value at risk (VaR) model requires implied volatilities with respect to various indices and maturities, which range from three months to five years. A model is presented for generating a term-structure of implied equity index volatilities for use in calculating VaR.

Equity value at risk (VaR) model requires implied volatilities with respect to various indices and maturities, which range from three months to five years. A model is presented for generating a term-structure of implied equity index volatilities for use in calculating VaR.

Since 2016, the academic narrative emerging from the Zora Neale Hurston Festival of the Arts and Humanities in Eatonville, Florida, has increasingly relied on a public scholarship model to bridge the gap between institutional practice and community knowledge. Inspired by Zora Neale Hurston’s legacy as an interdisciplinary scholar, these a…[Read more]

Since 2016, the academic narrative emerging from the Zora Neale Hurston Festival of the Arts and Humanities in Eatonville, Florida, has increasingly relied on a public scholarship model to bridge the gap between institutional practice and community knowledge. Inspired by Zora Neale Hurston’s legacy as an interdisciplinary scholar, these a…[Read more]

A model is used to price a derivative whose payoff depends on returns over N periods on a shrinking basket of originally N assets. Each period, the worst return is added to the cumulative sum after being capped and floored, and the corresponding asset removed from the basket (hence a shrinking basket). The cap and floor rates are given for each…[Read more]

A model is used to price a derivative whose payoff depends on returns over N periods on a shrinking basket of originally N assets. Each period, the worst return is added to the cumulative sum after being capped and floored, and the corresponding asset removed from the basket (hence a shrinking basket). The cap and floor rates are given for each…[Read more]