This conversation revolves around Dora Apel’s work in the field of art and memory. Memory, in its mediating force, is critical for our understanding of the present and the construction of a future, or, rather, as Dora Apel posits it in her recent book Calling Memory Into Place: “Memory effects are not about the past. How do they shape the pre…[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]

Historical Synergy: Mannheim holds that historical and political thought is determined by the socio-historical location of the thinker and the political aspirations and material ambitions of the group or groups to which he belongs.
2. Prehistoric Artic Hunter-Gatherer Synergy of Beliefs in Animal Spirits w/ Economic-Political Realities Erica Hill…[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]

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]

This essay reads Raphael, the principal expositor of scientific knowledge in Milton’s Paradise Lost, as embodying divergent, virtually antithetical, dispositions towards the prospect of free engagement with natural philosophy within the public sphere. At once stimulating Adam’s curiosity about the natural world while also overzealously cur…[Read more]

This article examines how Thomas Hughes’s “The Misfortunes of Arthur” pays homage to Elizabeth I through its eclectic use of Arthurian traditions and deployment of imagery centered on corrupted sexuality and the body politic.

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]

From antiquity, Galenic physicians extensively discussed the active powers of simple and compound drugs. In their views, simple drugs, that is, single ingredients, acted according to their material qualities and the properties of their substance. As for compound drugs, their efficacy resulted from the mutual interaction of their ingredients and…[Read more]

From antiquity, Galenic physicians extensively discussed the active powers of simple and compound drugs. In their views, simple drugs, that is, single ingredients, acted according to their material qualities and the properties of their substance. As for compound drugs, their efficacy resulted from the mutual interaction of their ingredients and…[Read more]

This work won the ‘XX Premio de Investigación Fernando Jiménez de Gregorio’, awarded by the City Council of Talavera de la Reina in 2011. Reviews: 1) Reseña de Josep Maria Gregori Cifré en Critica Bibliographica (vol. C, febrero 2013): http://www.academiaeditorial.com/web/talavera 2) Reseña de Leticia Yustos en DoceNotas. Revista de Música y Danza…[Read more]

This essay, which expands on my talk at the Colors and Cultures / Couleurs et Cultures conference in April 2021, charts the history and my plans for a broad exploration of Turkey red as both subject and as object in global history. In it, I move between the personal—the compulsions that led me to undertake this series of studies, and which c…[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]

Este artículo visibiliza el uso que se le puede dar a una serie de proyectos de Humanidades Digitales, como son las bases de datos de Rolecall, DICAT y CATCOM o la biblioteca digital EMOTHE, a la hora de analizar las dinámicas escenográficas en el teatro español de finales del siglo XVI y principios del siglo XVII, coincidiendo con las déc…[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]

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]