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]

Los libros científicos con fines docentes o para el aprendizaje, muestran resultados de investigación, experimentos y contenidos que permiten a los estudiantes adquirir conocimientos. En la literatura científica publicada se evidencia una carencia de publicaciones que fundamente los medios y formas que permitan realizar una correcta so…[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]

The article takes account of the colonial archives and analyses the strategies of colonizers, which brought about not only the new forms of knowledge in India but also restructured the society and statecraft here. I argue that the colonial administration developed the public instruction department to impart a new character to the natives and used…[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]

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]