La ciencia y la producción científica desempeñan un papel fundamental en el avance del conocimiento. Sin embargo, incluso en este ámbito aparentemente objetivo, existe un fenómeno conocido como el efecto sombra que tiene implicaciones mucho más lejos que la coautoría entre unos y otros investigadores; parte de la falta de visibilidad o recono…[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.

En la producción científica no se visualiza un marco teórico sólido que oriente a la gestión documental en la administración pública. Se carece de lineamientos claros y precisos sobre cómo organizar, clasificar y preservar los documentos generados en el ejercicio de las funciones públicas. La falta de políticas y herramientas adecuadas para su g…[Read more]

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]

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]

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]

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.

Extreme Individualism & Dawkins Fallacy Dawkins argues that “gene selfishness will usually give rise to selfishness in individual behaviour” – That is an excellent illustration in academia of what David Hay referred to as “Extreme Individualism” – a problem in Western Academia which Virgilio Enriquez also brought to light. Virgilio Enriquez…[Read more]

En la era digital actual, donde la cantidad de información generada y almacenada es abrumadora, surge el desafío de preservar y acceder a esta de manera eficiente y duradera. Los identificadores persistentes se presentan como una solución prometedora para abordar este desafío, al proporcionar una forma única y perdurable de identificar y acce…[Read more]