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.

Makes use of the opportunity of the release of “Oppenheimer” to explore how Gene Wolfe uses his texts as factories into which guilt is inserted, but emerge ameliorated. Narrative serving the primary purpose of restructuring subconscious memory.

This paper proposes that there are a number of historical television dramas which make use of the aesthetics of the Gothic in order to signal their focus on historical traumas which still have contemporary resonance. This is part of a wider use of a Gothic mode in these dramas in presenting and considering these traumas, not just as the individual…[Read more]

Television historical dramas take on a number of different modes, which inflect how they are interpreted. The Gothic mode, signalled in part by aesthetics and a focus on trauma, encourages audiences to engage with the past as a place of horror and darkness. Through intentional anachronism and the presentation of contemporary parallels, these…[Read more]

The aesthetics of early feature-film scores were shaped by narrational problems introduced by multi-reel features and their longer durations. Using The Patchwork Girl of Oz, I show how stylistic devices like silences and musical pun- ctuation were used to address the coherence and pacing of multi-reel storytelling.

This article details the historical factors that shaped Hollywood’s adoption of magnetic recording during the late 1940s and early 1950s. It draws upon economic theories of technological change, archival correspondence, technical records, analyses of postproduction workflows, and delineations of the structural constraints that limited how the f…[Read more]

This chapter investigates how the introduction of stereo complicated Hollywood’s vococentric practices. It also reveals how sound technicians developed mixing techniques that preserved the salience of dialogue in multi-channel soundscapes. The author refers to such techniques as monocentrism and illustrates monocentric norms by analyzing the c…[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]

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.

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]

1. Motivation: Spiritual beliefs as a Drive or Motivation.
When you talk to “spiritual people” – spiritual beliefs are not just a motivation but a very profound source of inspiration and a powerful drive. In contrast spirituality as a motivation is conspicuously absent from much of academia proper. Beginning in 2017, I did substantial research.…[Read more]