The payoff at maturity from a GIC can be shown equal to the invested principal plus principal times the sum of the minimum guaranteed interest rate and the payoff from a European call option on the arithmetic average of the basket price, where the basket price is given by a weighted sum of the index levels.

We present a method for bootstrapping a set of zero rates from an input set of US government money market securities and bonds. We detail the calculations used to convert ACT/365 continuously compounded zero rates to the rates.

We present an approach that calculates the Hull White (HW) volatility to make the swaption price calculated on a HW tree match Black’s price for the same swaption at each grid point. 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 c…[Read more]

The valuation makes the assumption that the future values of these parameters will be unchanged until the final payment date. Subsequently, the calculator performs a deterministic computation consisting of calculating the future cashflows in the waterfall and discounting them.

A convertible bond with exchangeable feature, which can be converted into a stock issued by a party different from the bond issuer. Assume that the stock conversion is vulnerable. If the bond-issuer has defaulted by a time, t , then the stock price is zero. If, on the other hand, the bond-issuer has not defaulted by time t , then the stock price…[Read more]

This chapter analyses Global Byzantium by situating the medieval empire of New Rome in the history of statehood’s generalisation worldwide. Arguing that statehood remains the implicit mental furniture of History at a macro-civilizational scale, and so more or less at the micro too, the chapter proposes the dual concepts of hegemony and c…[Read more]

The Brownian Bridge algorithm belongs to the family of Monte Carlo or Quasi-Monte Carlo methods with reduced variance. It generates sample paths which all start at the same initial point and end, at the same moment of time, at the same final point.

Based on the Hull-White single-factor tree building approach, respective trinomial trees are constructed for the short-term interest rate and stock’s price processes. Using the Hull-White two-factor tree building procedure, a combined tree is constructed by matching the mean, variance and correlation corresponding to each combined tree node. T…[Read more]

Two parties have established Securitization Partnership (the “Partnership”), to distribute and administer the mutual funds. Under the agreement the Partnership will finance the commissions to brokers selling mutual fund units on a deferred sales charge basis and, in exchange, will receive mutual fund distribution, administrative and redemption fees.

We propose a model for pricing a convertible bond (CB) where the issuer’s stock price is possibly denominated in a different currency from the bond’s coupon currency. We use a three factor, trinomial tree based model for pricing the CB.

A forward starting option is an option whose strike price is not fully determined until an intermediate date before expiration. A model is used to compute option price, Delta, Gamma, Hedge Rho, Discount Rho, Vega and Theta.

We present a model for calculating the price of European call and put options in the domestic currency on an underlying foreign equity with tenor up to 7 years. The calculation include option price, Delta, Gamma, Hedge Rho, Discount Rho, Vega, Theta.

This article presents analytics for pricing quanto Himalayan options on equity, where the single best return is locked in each fixing period. Specifically, we considered the impact of the quanto adjustment term on calibration and the computation of option premium and hedge ratios

The valuation methodology is based on the Monte Carlo spot LIBOR rate model. The model generates spot rates which log-normally distributed at each reset date. These spot rates are derived from corresponding forward rates whose stochastic behavior is constructed in an arbitrage-free manner. Outcomes for the spot rate are generated for each reset…[Read more]

Payoff for equity GIC requires a dynamically created basket such that the weight factors incorporate a division by the spot levels on the issue date, which converts the payoff to one based on a basket of comparative returns (rather than basket returns). To automate feeds on a daily basis we will need to create new baskets on a daily basis.

Illustrated script of a stage play created by the author, a peace dialogue among an American Christian, an Israeli Jew, a Saudi Arabian Muslim, and a Japanese Buddhist. It draws from the conflict resolution process pioneered by Johan Galtung and practiced in Peace Studies classes taught by the author and others at Osaka Jogakuin University. It…[Read more]

[COMPLETE OPEN-ACCESS CURRICULUM INCLUDED] ReDesigning the Future is the second project in the ReImagining the Future series launched by Greenbacker Capital and Global Citizenship Experience Lab School. By asking “how can we design a sustainable future?,” the purpose of this project is to understand the grand challenges we must overcome to achieve…[Read more]

This 23-minute presentation at the University of Hyogo in Kobe goes more deeply into the biography of Steve McCarty than appears in his long chapter in the new book A Passion for Japan: A Collection of Personal Narratives. Formative influences discussed include Hermann Hesse’s Siddhartha, Tibetan yoga, and Zen. Places include Boston, the Taos P…[Read more]

Purpose: This study aims at justifying the affiliation of the massive transformative purpose as an important item in the aggregate of the proclaimed corporate culture elements. For this reason the bundle of shades in the meaning for the massive transformative purpose will be explored, bearing in mind the main researcher’s interest in outlining t…[Read more]

Purpose: This study aims at justifying the affiliation of the massive transformative purpose as an important item in the aggregate of the proclaimed corporate culture elements. For this reason the bundle of shades in the meaning for the massive transformative purpose will be explored, bearing in mind the main researcher’s interest in outlining t…[Read more]