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]

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]

In 2023, a new museum opened in Tbilisi, at the Writer’s House of Georgia that previously house the Soviet Writers’ Union: The Museum of Repressed Writers. The museum honours the executed poets from Georgia’s Soviet past, poets whose identities Soviet authorities tried to destroy. This article examines the story the museum tells about Soviet l…[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]

Kongruenz, Sorge und Technologie. Tricks des Verschwindens: Dienstleistung als eine Kulturtechnik des Delegierens. #Syllabi und Schattenbibliotheken: Mittel der kollektiven Gestaltung. Eine durch das Wissen um ihre Werkzeuge und Quellen definierte Gemeinschaft werden.

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 role of the internet in fomenting male supremacist ideology must be understood within the larger cultural context that undergirds and naturalizes such rhetoric. Traditional conservative (TradCon) sections of the manosphere valorize a patriarchal social order centering traditional gender roles. According to TradCon reasoning, men, under attack…[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]

यह मणिपुर में 2023 में हुई हिंसा पर केंद्रित प्रमोद रंजन के रिपोर्ताजों का पहला भाग है।

प्रमोद रंजन इसमें पूर्वोत्तर भारत के इतिहास, संस्कृति और समाज में आ रहे परिवर्तनों को चिन्हित किया है तथा उसका संवेदनशील, मर्मस्पर्शी और विचारोत्तेजक चित्र प्रस्तुत किया है।

उन्होंने इस रिपोर्ताज में यह भी बताया है कि हिंसा के दौरान मैतेई महिलाओं के…[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]

With the climate of Brexit, xenophobia and white supremacy on the rise, health and safety of Black and Global Majority people under threat during the spread of Covid in the UK and elsewhere, a discussion of colonialism, migration, borders, and equality – in the classrooms and outside – is more pertinent than ever. Situating the ongoing Dec…[Read more]

Against the background of the often female-focused view of sexual abuse victims, this paper addresses the issue of male-identifying victims of sexual violence through the lens of the Bible. I tackle one particular form of sexual abuse: female-on-male sexual violence, of the “forced/made to penetrate” type through a re-reading of Genesis 19:…[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]