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]

With the climate of Brexit, xenophobia and white supremacy on the rise, health and safety of Black and Global Majority people under threat during the spread of Covid in the UK and elsewhere, a discussion of colonialism, migration, borders, and equality – in the classrooms and outside – is more pertinent than ever. Situating the ongoing Dec…[Read more]

With the climate of Brexit, xenophobia and white supremacy on the rise, health and safety of Black and Global Majority people under threat during the spread of Covid in the UK and elsewhere, a discussion of colonialism, migration, borders, and equality – in the classrooms and outside – is more pertinent than ever. Situating the ongoing Dec…[Read more]

Against the background of the often female-focused view of sexual abuse victims, this paper addresses the issue of male-identifying victims of sexual violence through the lens of the Bible. I tackle one particular form of sexual abuse: female-on-male sexual violence, of the “forced/made to penetrate” type through a re-reading of Genesis 19:…[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]

Volumen 18 de la revista chilena Papel Máquina, perteneciente a la editorial Palinodia, dedicado a la dimensión cultural y literaria del activismo político de Marta Lamas. Además de diversos ensayos a cargo de destacadas investigadoras feministas, el número incluye una entrevista con Marta Lamas y un recorte de su trabajo sobre la rabia, así como…[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.

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]