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.

This preface introduces in the main issues of the volume.

This preface introduces in the main issues of the volume.

This paper presented at the Fourth International Conference and Industrial Exhibitoion on Dairy Science Park IV, Nov 1-5, 2017, Konya, Turkey, has reviewed the philosophy of Mevlana Jalal ud Din Rumi regarding love, tolerance, respect and spiritualism; appreciating each others and knowing the value of each other. Rumi (1230) told Iqbal (1930)…[Read more]

Historians have long argued that arbitration was the preferred means of
resolution for most disputes in later medieval England; but does this apply
also to the settlement of homicides? Despite the strenuous efforts of the
English legal system after the Norman Conquest to force homicides through
the royal courts, historians have argued that…[Read more]

Historians have long argued that arbitration was the preferred means of
resolution for most disputes in later medieval England; but does this apply
also to the settlement of homicides? Despite the strenuous efforts of the
English legal system after the Norman Conquest to force homicides through
the royal courts, historians have argued that…[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]

This dissertation explores metamodernism in contemporary culture, focusing on its manifestation in literature and its intersections with vaporwave and the music of Radiohead. It considers the novel Taipei by Tao Lin as a representation of metamodern sensibility, analysing its portrayal of a human subjectivity navigating a world shaped by…[Read more]

De entre las muchas y generosas lecciones que el maestro don Julio Valdeón ha brindado al medievalismo hispánico destacaremos aquella que fundamentará las páginas siguientes: la importancia de la propaganda ideológica favorable a la dinastía Trastámara durante la guerra civil castellana entre los años 1366 y 1371. Este conflicto fratric…[Read more]

De entre las muchas y generosas lecciones que el maestro don Julio Valdeón ha brindado al medievalismo hispánico destacaremos aquella que fundamentará las páginas siguientes: la importancia de la propaganda ideológica favorable a la dinastía Trastámara durante la guerra civil castellana entre los años 1366 y 1371. Este conflicto fratric…[Read more]

Aún en la actualidad, cinco siglos más tarde de que fuese escrito, todavía impresiona la honrada confesión con la que Juan Álvarez Gato cerraba su cancionero particular, rematando los folios en los que había recopilado todo su acervo lírico con una singular confidencia poética. A través de ella, el hombre maduro y el poeta veterano renegaba…[Read more]

Aún en la actualidad, cinco siglos más tarde de que fuese escrito, todavía impresiona la honrada confesión con la que Juan Álvarez Gato cerraba su cancionero particular, rematando los folios en los que había recopilado todo su acervo lírico con una singular confidencia poética. A través de ella, el hombre maduro y el poeta veterano renegaba…[Read more]

Quizá Don Eloy sea bastante ajeno a la admiración que despertaba entre los jóvenes estudiantes, allá por los años finales de la pasada centuria, uno de sus trabajos menores, entendiendo ‘menor’ no por lo que se refiere a su valía (que en absoluto es nimia), sino sólo para separarlo, en cuanto a extensión y objetivos, de su scripta maiora. Nos…[Read more]

Quizá Don Eloy sea bastante ajeno a la admiración que despertaba entre los jóvenes estudiantes, allá por los años finales de la pasada centuria, uno de sus trabajos menores, entendiendo ‘menor’ no por lo que se refiere a su valía (que en absoluto es nimia), sino sólo para separarlo, en cuanto a extensión y objetivos, de su scripta maiora. Nos…[Read more]

En uno de sus breves pero densos artículos, donde su siempre certera pluma se afilaba hasta el punto de transformarse con harta frecuencia en daga hiriente, Miguel de Unamuno realizaba una ácida declaración en contra de lo que él denominaba como «la plaga del literatismo», centrando sus críticas en las reuniones de literatos, bien fuese median…[Read more]