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]

Objetivo: determinar las formas en las que las métricas de evaluación soportan la gestión editorial de las revistas científicas en Colombia. Diseño/Metodología/Enfoque: la investigación clasificó como descriptiva documental. El diseño permitió el análisis de métricas utilizadas en la gestión editorial de revistas clasificadas por Publindex de…[Read more]

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]

La revista Márgenes inicia su volumen once, número tres con colaboraciones científicas orientadas a temas del desarrollo local y los objetivos de desarrollo sostenible (ODS). Esto con la asunción de la importancia que tienen en la construcción de sociedades más equitativas y sustentables. En este número, ofrece una variedad de artículos que abo…[Read more]

In today’s digital age, where the amount of information generated and stored is overwhelming, the challenge of preserving and accessing it in an efficient and lasting manner arises. Persistent identifiers hold promise as a solution to address this challenge by providing a unique and enduring way to identify and access digital resources. They are…[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]

La ciencia y la producción científica desempeñan un papel fundamental en el avance del conocimiento. Sin embargo, incluso en este ámbito aparentemente objetivo, existe un fenómeno conocido como el efecto sombra que tiene implicaciones mucho más lejos que la coautoría entre unos y otros investigadores; parte de la falta de visibilidad o recono…[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.

En la producción científica no se visualiza un marco teórico sólido que oriente a la gestión documental en la administración pública. Se carece de lineamientos claros y precisos sobre cómo organizar, clasificar y preservar los documentos generados en el ejercicio de las funciones públicas. La falta de políticas y herramientas adecuadas para su g…[Read more]

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]

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]

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]

Los libros científicos con fines docentes o para el aprendizaje, muestran resultados de investigación, experimentos y contenidos que permiten a los estudiantes adquirir conocimientos. En la literatura científica publicada se evidencia una carencia de publicaciones que fundamente los medios y formas que permitan realizar una correcta so…[Read more]

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]

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]

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.