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]

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 epic opposite is the tenth of a series of ten collections that draw on material from notebooks I kept between 2004 and 2013. I returned to that material in 2021 with Basho and haibun in mind, as well as the prosimetrum tradition that flourished in medieval Europe. Both play off a tension between poetry and prose, and, looking back, that is…[Read more]

solitude is another matter is the ninth of a series of ten collections that draw on material from notebooks I kept between 2004 and 2013. I returned to that material in 2021 with Basho and haibun in mind, as well as the prosimetrum tradition that flourished in medieval Europe. Both play off a tension between poetry and prose, and, looking back,…[Read more]

a composition of fractions is the eighth of a series of ten collections that draw on material from notebooks I kept between 2004 and 2013. I returned to that material in 2021 with Basho and haibun in mind, as well as the prosimetrum tradition that flourished in medieval Europe. Both play off a tension between poetry and prose, and, looking back,…[Read more]

The seventh of ten notebooks, drafted between June 2008 and March 2009. Some of the material has appeared previously in poetry collections I have published since 2006, but I have gone back to the original drafts to rethink and reconfigure what appears here.

The sixth of ten notebooks, drafted between June 2007 and June 2008. Some of the material has appeared previously in poetry collections I have published since 2006, but I have gone back to the original drafts to rethink and reconfigure what appears here. Many of the poems in part two are included in a dim sum of the day before, published by Ink…[Read more]

The fifth of ten notebooks, drafted between April 2006 and June 2007. Some of the material has appeared previously in poetry collections I have published since 2006, but I have gone back to the original drafts to rethink and reconfigure what appears here. While particular places are referenced in the text of some of the poems in this volume, only…[Read more]

The fourth of ten notebooks, drafted between February and August 2006. Some of the material has appeared previously in poetry collections I have published since 2006, but I have gone back to the original drafts to rethink and reconfigure what appears here. This fourth volume differs from the first three in that all of the compositions are clearly…[Read more]

The third of a series of collections that draw on material from notebooks I kept between 2004 and 2013. I returned to that material in 2021 with Basho and haibun in mind, as well as the prosimetrum tradition that flourished in medieval Europe. Both play off a tension between poetry and prose, and, looking back, that is what I found myself doing…[Read more]

The second of a series of collections that draw on material from notebooks I kept between 2004 and 2013. I returned to that material in 2021 with Basho and haibun in mind, as well as the prosimetrum tradition that flourished in medieval Europe. Both play off a tension between poetry and prose, and, looking back, that is what I found myself doing…[Read more]

a tiny circle tessellated is the first of a series of collections that draw on material from notebooks I kept between 2004 and 2013. I returned to that material in 2021 with Basho and haibun in mind, as well as the prosimetrum tradition that flourished in medieval Europe. Both play off a tension between poetry and prose, and, looking back, that is…[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]