A response to the decision of Wiley Global to “disappear” 1,300+ of their ebooks in the ProQuest catalog at the beginning of the Fall 2022 term without any communication to university libraries at all, thus taking libraries by surprise and indicating Wiley’s move away from libraries as repositories and lenders of their ebooks, passing on costs to…[Read more]

“In Beautiful Terrible Ruins: Detroit and the Anxiety of Decline, Dora Apel goes on the offensive against the myriad myths and delusions peddled about the Motor City; not only that, she rebuffs the blame and shame that have traditionally been directed at the Detroit citizenry, and redirects our attention to the corporations and bureaucrats who…[Read more]

This article represents an attempt at re-examining some critical issues that are related to progress. There are several questions to be addressed in the following pages: Is progress really necessary? What fundamental purpose does it serve? Can our civilization survive without progressing? Does progress have roots in nature or is it merely a human…[Read more]

In the current social and political turmoil, few issues are more divisive and cause more controversy than issues related to the rights of sexual minorities and gender dissidents. The polarizing impact of these issues is really astounding given the size of these two groups. Explanations for this divisiveness of LGBTQ rights focus on either the…[Read more]

Publication cultures in academia are as diverse as their underlying research cultures. In today’s often normative discourse on Open Access, there is a danger that this diversity will be neglected or even lost in the medium term in favor of techno-solutionist implementations. In the following, I will therefore take a closer look at the approach of…[Read more]

Publication cultures in academia are as diverse as their underlying research cultures. In today’s often normative discourse on Open Access, there is a danger that this diversity will be neglected or even lost in the medium term in favor of techno-solutionist implementations. In the following, I will therefore take a closer look at the approach of…[Read more]

Publication cultures in academia are as diverse as their underlying research cultures. In today’s often normative discourse on Open Access, there is a danger that this diversity will be neglected or even lost in the medium term in favor of techno-solutionist implementations. In the following, I will therefore take a closer look at the approach of…[Read more]

A selection of more than 5000 place Spanish Names from the Iberian Peninsula, presented in alphabetic order and showing their meaning when well established, or listing the known alternatives in cases where a single etymology cannot be ascertained.

A series of sketches written in 1924 during an ocean crossing from New York to Tilbury, “Passage to England” was published only in 1998 by the Thomas Wolfe Society and is hardly Wolfe’s most popular or most accomplished work. Nonetheless I always felt that Passage to England had something unique and idiosyncratic and that despite a certain a…[Read more]

LIBOR Rate Model is used for pricing Libor-rate based derivative securities. The model is applied, primarily, to value instruments that settle at a Libor-rate reset point. In order to value instruments that settle at points intermediate to Libor resets, we calculate the numeraire value at the settlement time by interpolating the numeraire at…[Read more]

We priced the payer swaption using our benchmark Black’s model and then priced the same swaption, using our benchmark HW trinomial tree model, based on the corresponding HW volatility.

A daily digital swap that has two legs. One leg is a regular floating leg and the other leg is a Libor-based, daily digital leg. The daily digital leg is weighted by the ratio of the number of calendar days in the period that the reference rate sets below an upper level to the total number of calendar days in the period.

A quanto total return Libor Swap is a swap where one leg is a regular floating leg paying LIBOR less a constant spread and the other leg makes a single payment at the swap’s maturity equal to a leveraged non-negative return on USD-for-EURO exchange rate paid in CAD. The main focus of the valuation model is the quantoed total return on the FX rate.

Early start swaps are a series of 10-year interest rate swaps. Each swap has an American style option for the counterparty of starting the swap early, within a period of three month. Otherwise, the swaps are plain vanilla fixed-for-floating swaps.

A constant maturity swap (CMS) spread option makes payments based on a bounded spread between two index rates (e.g., a GBP CMS rate and a EURO CMS rate). We assume that both the forward GBP and EURO CMS rates follow geometric Brownian motion under their respective T-forward measures.

Variable rate swap is an interest rate swap that has two legs: one fixed rate leg and a variable rate leg. The variable leg involves fixed rate payments for an initial period of time and a floating rate for the rest. The floating rate on that portion is defined as a minimum of two index rates.

The Black-Karasinski model is a short rate model that assumes the short-term interest rates to be log-normally distributed. We implement the one factor Black-Karasinski model as a binomial or trinomial tree.

An arrear quanto constant-maturity-swap (CMS) is a swap that pays coupons in a different currency from the notional and in arrears. The underlying swap rate is computed from a forward starting CMS.

We propose a three-factor tree model that implements the Hull-White and Black-Karasinski models. The new tree model does preserve the martingale property of the stock for sufficiently long terms (with accuracy better that 10-8 for terms of at least 10 years).

A valuation model is presented for pricing an American style call option on the yield of Treasury bond. The payoff is positive if the yield exceeds a predetermined strike level. The model assumes the yield of an American Treasury bond to be a log-normally distributed stochastic process and uses Monte-Carlo simulation to price the deal as a…[Read more]