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 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]

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]

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]

The purpose of this paper is to submit a project proposal regarding the publication of the Valencian Parliamentary papers in which we want to achieve three main goals: to digitize and transcribe the parliamentary sessions for later publication on the web, which will facilitate access to these texts for both the public and the scientific community;…[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]