Книга представляет собой первый на русском языке систематический обзор метаэтики – дисциплины, которая пытается ответить на наиболее важные и глубокие вопросы относительно морали. Существуют ли моральные ценности? Какова их природа? Объективны ли они? Что означают наши моральные высказывания? При ответе на данные вопросы затрагиваютс…[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.

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]

In this provocation, I investigate the notion of long term thinking, as a notion of ‘sustaining time’, which identifies failures in dominant conceptions of time and proposes an alternative that is thought to be better suited for responding to current environmental crises. Drawing on close analyses of two examples, I argue for a deeper und…[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]

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]

In this paper, the author introduces and explores the concept of synesthetic language, a multisensory linguistic system that integrates various sensory experiences into fundamental units called “synesthemes.” The author argues that synesthetic language forms the foundation of our internal thought processes, while communication with others involves…[Read more]

Tulad ng naobserbahan ng mga may-akda ng artikulong “Beyond the Group Mind: A Quantitative Review of the Interindividual–Intergroup Discontinuity Effect” na inilathala sa Psychological Bulletin, Tinatayang sa huling dekada pa lamang ng ikadalawampu siglo, ang mga nakamamatay na digmaan ng mga lugar tulad ng Rwanda, Bosnia, at Ethiopia ay kumitil n…[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]

En los últimos meses se ha exponenciado el discurso fetichista de la llamada inteligencia artificial. La ausencia de crítica propicia a no ver las condiciones materiales que la propician y el trabajo detrás de ella. Además, los escenarios futuristas, distópicos impiden ver lo que ya se hace con la tecnología. Quienes mueven y fomentan las aplic…[Read more]

The term ‘affective politics’ is sometimes used to dismiss political strategies as being directed merely at affects at the expense of rational analysis (Massumi 2015: 65f). While such uses are meant to criticize certain politics, appeals to the affects – and consequently, forms of propaganda or populism – do not have to be bad at all. The point h…[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.

Dawkins felslutning – vederläggning av att “egoism” är den vanliga normen och att det bara finns “begränsade former av altruism” Till att börja med vill jag betona att “även bakterier är mer reproduktivt framgångsrika i närvaro av andra av sin egen art.” Jag menar att bakterier har anslutningsmöjligheter för guds skull!
1. På en dag i slaget vid…[Read more]