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]

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]

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]

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.

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]

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]

This paper aims to analyze the depiction of pedophilia in Humayun Ahmed’s film ‘Pleasure Boy Kômola.’ It concentrates on the social and psychological reasons for this rarely existing sexual practice or perversion and the oppressive consequences it causes on the subalterns in Bangladesh during the colonial period.

This book points out new ways to identify and resolve human rights and improve the competencies of urban poor communities in Vancouver, Canada.

Cognitive science can help literary scholars formulate specific questions to be answered by archival research. This essay takes as its starting point embedded mental states (that is, mental states about mental states) and their role in generating literary subjectivity. It then follows the transformation of embedded mental states throughout several…[Read more]

This essay exemplifies a cognitive approach to literary and film studies, with particular emphasis on fictional reimagining of legal institutions. It draws on research of cognitive scientists who study metacognition—specifically, the difference between reflective and intuitive beliefs—to suggest that courtroom dramas, such as Billy Wilder’s Witne…[Read more]

This essay exemplifies a cognitive approach to literary and film studies, with particular emphasis on fictional reimagining of legal institutions. It draws on research of cognitive scientists who study metacognition—specifically, the difference between reflective and intuitive beliefs—to suggest that courtroom dramas, such as Billy Wilder’s Witne…[Read more]

This essay exemplifies a cognitive approach to literary and film studies, with particular emphasis on fictional reimagining of legal institutions. It draws on research of cognitive scientists who study metacognition—specifically, the difference between reflective and intuitive beliefs—to suggest that courtroom dramas, such as Billy Wilder’s Witne…[Read more]

In his writing, Cultural theorist Stuart Hall has often argued that an image or a set of images has the capability of condensing a number of attributes into a single picture, producing a misleading representation of what other people and cultures are like. As a result, multiple stories evolve into the one story that is told repeatedly and usually…[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]

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]

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]

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]