The RENEW project has its foundations in interdisciplinary and transdisciplinary collaboration, that is, research reaching across disciplines and beyond academia. This document aims to facilitate consideration of, and guide, collaborative practices within and around RENEW. It will act as a ‘living’ resource for RENEW members and partners to use…[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]

Respondiendo al creciente interés por cuestiones de diversidad en la cultura y el entretenimiento actual, las instituciones académicas y artísticas dedicadas al teatro clásico español buscan reflejar estas nuevas tendencias en su selección de obras para ser estudiadas y/o representadas. Este esfuerzo de cambiar de aires plantea ciertos probl…[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]

यह मणिपुर में 2023 में हुई हिंसा पर केंद्रित प्रमोद रंजन के रिपोर्ताजों का पहला भाग है।

प्रमोद रंजन इसमें पूर्वोत्तर भारत के इतिहास, संस्कृति और समाज में आ रहे परिवर्तनों को चिन्हित किया है तथा उसका संवेदनशील, मर्मस्पर्शी और विचारोत्तेजक चित्र प्रस्तुत किया है।

उन्होंने इस रिपोर्ताज में यह भी बताया है कि हिंसा के दौरान मैतेई महिलाओं के…[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]

La théorie du chaos n’est pas aussi complexe qu’on le prétend souvent Comme l’observe Robert Juliano, le principe sous-jacent est que “dans le caractère aléatoire apparent des systèmes complexes chaotiques, il existe des modèles sous-jacents, des interconnexions, des boucles de rétroaction constantes, la répétition, l’auto-similarité , fractales…[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.

Since 2016, the academic narrative emerging from the Zora Neale Hurston Festival of the Arts and Humanities in Eatonville, Florida, has increasingly relied on a public scholarship model to bridge the gap between institutional practice and community knowledge. Inspired by Zora Neale Hurston’s legacy as an interdisciplinary scholar, these a…[Read more]

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.

Chaos theory is not as complex as it si often made out to be As Robert Juliano observes, the underlying principle is that “within the apparent randomness of chaotic complex systems, there are underlying patterns, interconnectedness, constant feedback loops, repetition, self-similarity, fractals, and self-organization.”

“Chaos has been for…[Read more]

Ang pagtanggi na ang “pagkamakasarili” ay ang laganap na pamantayan at mayroon lamang “limitadong mga anyo ng altruismo” Upang magsimula, idiin ko na, “Kahit na ang bakterya ay mas matagumpay sa pagpaparami sa presensya ng iba sa kanilang sariling mga species.” Ang ibig kong sabihin ay may connectivity ang bacteria para sa Diyos!
1. Sa isang araw…[Read more]