The purpose of the model is to calculate the credit spread sensitivity, correlation sensitivity, and default sensitivity via analytic methods for index CDO trades and bespoke CDO trades. The credit spread sensitivity is defined as the change in the MTM by perturbing the credit spread by a small amount; the default sensitivity is calculated by…[Read more]

This year marks the tenth anniversary of PoLAR‘s publication of Ilana Gershon’s “Critical Review Essay: Studying Cultural Pluralism in Courts versus Legislatures.” This essay serves as a foundation for this conversation about anthropology’s interventions into legislative studies more broadly. Gershon’s argument that anything and anyone can…[Read more]

Just how bleak is the academic job market for anthropologists? Job ads over the past twenty years reveal some surprises and point to ways departments are seeking to change themselves and the discipline

Zoom is the least of our problems

Trump Gives Fascism a Bad Name

Pyramid Scheme. #hautalk

Forget the tut-tutting of politicians: The skills you learn in the humanities are exactly the skills you use in a job search.

The quitting economy

“A Friend of a Friend” Is No Longer the Best Way to Find a Job

Job Search 101: Debunking 5 Popular Myths that No Longer Apply

Don’t Post So Close To Me

A pricing model for capped-accumulated-return-call (CARC) with volatility surface is presented. Proprietary approaches to interpreting volatility surface are employed during pricing. To accelerate the convergence when low discrepancy sequences are used in Monte Carlo simulation (Quasi-Monte Carlo simulation), the Brownian Bridge Path…[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]

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]

In der Einleitung zum Sammelband Auditive Wissenskulturen – Das Wissen klanglicher Praxis stellen die Autoren zuerst die Diskrepanzen der jeweiligen Beziehungen des Visuellen und des Auditiven zu Wissen anhand einiger Beispiele vor. Sie exemplifzieren auch, wie sowohl auditive Praxis als auch die Hervorbringung und Vermittlung von Wissen in s…[Read more]

In this homage to David Graeber, I turn to Americans’ experiences working in person during the pandemic as an ethnographic lens for understanding how workers respond when implicit social contracts are violated and when ideas about the common good are being contested. Because the United States federal government and many state governments refused t…[Read more]