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]

The Baconian oeuvre remains the most extensive and influential assault on Aristotelianism in English writing of the early modern period. Where convention respected Aristotelian logic as a viable instrument for studying natural philosophy, Bacon instead sought to initiate an instauration, or restoration, of learning by proposing his inductive…[Read more]

The Baconian oeuvre remains the most extensive and influential assault on Aristotelianism in English writing of the early modern period. Where convention respected Aristotelian logic as a viable instrument for studying natural philosophy, Bacon instead sought to initiate an instauration, or restoration, of learning by proposing his inductive…[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.

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]

Credit value at risk (VaR) is used for measuring and analyzing credit risk of a portfolio. The basic methodology of the Credit VaR employs the credit migration approach spearheaded by RiskMetrics. It assumes that obligor’s credit quality is determined by the obligor’s asset value, which in turn is approximated by its standardized equity return.

Historians have long argued that arbitration was the preferred means of
resolution for most disputes in later medieval England; but does this apply
also to the settlement of homicides? Despite the strenuous efforts of the
English legal system after the Norman Conquest to force homicides through
the royal courts, historians have argued that…[Read more]

Alexa Alice Joubin’s entry expands the global scope of The Chaucer Encyclopedia (4 vols). This entry, in Volume 3, examines the work by the Chinese translator Lin Shu’s (1852-1924). Lin translated and rewrote several key stories from the Canterbury Tales. Joubin argues that Lin’s works exemplify early twentieth-century Chinese imaginaries of medie…[Read more]

We present a model for pricing a credit derivative product where party A has sold default put protection on a Euro denominated bond. Specifically, upon bond issuer default, party A must pay to party B a notional amount of 10 million USD (excluding accrued interest). In exchange, party B must pay a fixed rate to party A, on a quarterly basis,…[Read more]

The purpose of this paper is to submit a project proposal regarding the publication of the Valencian Parliamentary papers in which we want to achieve three main goals: to digitize and transcribe the parliamentary sessions for later publication on the web, which will facilitate access to these texts for both the public and the scientific community;…[Read more]

We present a valuation model for pricing a gold derivatives trade. The trade can be structured to synthesize a typical gold-miner’s hedge, specifically, a swap in which one party receives long-term interest rates and pays a blend of short-term interest rates and short-term gold lease rates.

A pesar de que se trate de una tremenda obviedad, es obligado comenzar estas líneas destacando la forma totalmente distinta en que los historiadores se aproximan a una fuente escrita, los cancioneros castellanos, que, en principio, está destinada a ser campo de trabajo para el filólogo. Por encima del texto, por encima de la indudable riqueza fi…[Read more]

We present a model for pricing a path-dependent, equity-linked payoff. Here a bounded price return is calculated from an underlying index at certain pre-specified dates. The total return at maturity is given by the sum of the bounded price returns above, but where a specified number of the highest of these returns are set to a cap value.

A model is presented for pricing an American call option on stock. The option tenor is n years, and its strike price is increased every anniversary. It has also the following feature: if the stock price stays in excess of 200% of the current strike price during 10 consecutive trading days. The seller can issue a notice to the buyer that one half…[Read more]

The Cathars became a major movement, while having some influence in the Rhineland, Northern Italy and Northern France the movement was strongest in southern France (especially the Languedoc region) and northern Italy. By the 12th century the Cathar popular movement had gained a substantial following in urbanized southern France.
The dualistic…[Read more]

After a lacklustre attempt to become a painter,William Kent (1685–1748) developed a career as a garden designer, working mainly for Lord Burlington and other patrons in his circle. His gardens represent some of the earliest gardens of a style that became known as the ‘English Landscape Garden’, exemplified by Stourhead in Wiltshire, Rousham in Ox…[Read more]