Knowledge Commons | Briann Greenfield | Group Activity https://hcommons.org/members/bgreenfield/activity/groups/ Public group activity feed of which Briann Greenfield is a member. Sat, 04 Apr 2026 08:42:45 -0400 https://buddypress.org/?v=10.6.0 en-US 30 hourly 2 6503d8924e45fecf71ea6aeb36dc755f Gennady Shkliarevsky created the doc REFLECTIONS ON THE WAR IN UKRAINE AND THE EMERGING WORLD ORDER in the group Public Humanities https://hcommons.org/activity/p/1904705/ Wed, 13 Nov 2024 17:01:01 -0500 a41e0d796fa99f200f352ca10a7088bb John Mark R. Asio deposited Comparative Analysis of the In-House Review (Revalida) Program and the Student's Performance in the Licensure Examination for Midwives: Inputs for Program Enhancement in the group Public Humanities https://hcommons.org/activity/p/1903331/ Wed, 30 Oct 2024 03:00:11 -0400 This paper aimed to analyze the effectiveness of the in-house review (Revalida) program among midwifery graduates of batch 2022 in the previous licensure board exams for midwives last 2023. This study used a descriptive-comparative research design. One hundred thirty-five graduate midwives participated voluntarily in the study using a purposive…[Read more]

]]> 0 a902f3a270ac99043ff50a1920686f2e Ali Shehzad Zaidi deposited Dreamer of Tomorrow in the group Public Humanities https://hcommons.org/activity/p/1901089/ Tue, 08 Oct 2024 03:01:08 -0400 This essay examines the stellar, wind, eagle, and light imagery in Muneer Niazi’s “Futility,” “Now is Not the Time,” “Signaling to a Friendly Star to Keep Shining,” and “Horizons.

]]> 0 5661597c8b20f309488b693b6f5802ae Ali Shehzad Zaidi deposited Voice of the Forgotten in the group Public Humanities https://hcommons.org/activity/p/1898199/ Mon, 09 Sep 2024 03:00:26 -0400 This article discusses the sea imagery in Ahmed Faraz’s poem “Spray on the Eagle’s Pinion,” which appears here in a previously unpublished translation by Daud Kamal. Two other poems, “Siege” and “Remorse” exemplify the defiance and revolt that characterizes Faraz’s dissident poetry during the eleven years of General Zia-ul-Haq’s military regime.

]]> 0 cc07ab667a3b931944da0b2e46fa3a7b Maurizio Brancaleoni deposited Three Poems from Amelia Rosselli’s “Appunti sparsi e persi” (English Translation by Maurizio Brancaleoni) in the group Public Humanities https://hcommons.org/activity/p/1886470/ Sat, 18 May 2024 03:01:09 -0400 Amelia Rosselli (1930-1996) is considered one of the most important Italian poets of the past century. Born in Paris, she had to flee to Switzerland and then to the U.S. after the murder of her father and her uncle at the hands of Fascist militias. Back in Italy in the late 40s, in 1950 she settled in Rome, where she would spend the rest of her…[Read more]

]]> 0 5ca41fc113e64dee87f5b6c4cf99614e Gennady Shkliarevsky deposited RESOLVING THE CRISIS: FROM TURMOIL TO NEW PRACTICE in the group Public Humanities https://hcommons.org/activity/p/1886036/ Mon, 13 May 2024 03:00:26 -0400 The main focus of this study is the current crisis that rocks our civilization and poses a threat to its survival. It is a very broad phenomenon that has many aspects; and one study is not enough to cover it. For this reason, this study has chosen to focus on one segment of this broad phenomenon—the turmoil on student campuses in America. The s…[Read more]

]]> 0 2fbbfe02557020e21d726fdc84baa367 Pramod Ranjan deposited राम के महल में आग लगाता हनुमान in the group Public Humanities https://hcommons.org/activity/p/1886033/ Mon, 13 May 2024 03:00:13 -0400 चर्चित सोशल मीडिया इनफ्लुएंसर दिलीप मंडल ने अचानक राजनीतिक पलटी मारी है और राजद-सपा-स्टालिन आदि के खेमे को छोड़ कर राष्ट्रीय स्वयंसेवक संघ के लिए बैटिंग करने लगे हैं। कई लोगों में उनके कथित पतन से दु:ख खीज और गुस्सा है।

लेकिन सवाल यह है कि दिलीप ने ऐसा किया क्यों? पिछले लगभग डेढ़ दशक में उन्होंने जो भी कमाया था, क्यों उसे गंवाने पर तुले हैं?

]]> 0 e30fb995036dfce6dec3250207eaf09e Christopher Michaelson started the topic It's launch day for "Is Your Work Worth It?" in the discussion Public Humanities https://hcommons.org/groups/public-humanities/forum/topic/its-launch-day-for-is-your-work-worth-it/ Tue, 07 May 2024 14:53:07 -0400 Dear Working People,
In the worthy words of Talking Heads, you may ask yourself: Well, how did I get here? How do I work this? Am I right, am I wrong? My God, what have I done?
And: Why am I receiving this email? I can’t answer the other questions for you, but the answer to this one is that I thought you’d be interested because of our past wor…[Read more]

]]> fb2c0484efdda8b22ffcdc383fc7f1bd TALOS-AI4SSH (ERA Chair in Artificial Intelligence for Humanities and Social Sciences) posted an update in the group Public Humanities: 🤖🆘 European Parliament’s Terminology Coordination Unit p […] https://hcommons.org/activity/p/1885032/ Fri, 03 May 2024 15:13:34 -0400 🤖🆘 European Parliament’s Terminology Coordination Unit posts on TOTh 2024 conference. 🆘🤖
•
See the post here: https://termcoord.eu/2024/04/unlocking-knowledge-toth-2024-conference-on-site-and-online-june-6th-and-7th-2024/.
•
Register here: toth.…[Read more]

]]> 0 d9082ead40d471303e7df528a552015c Pramod Ranjan deposited क्योंकर गायब है गोडसे का नाम [Why is Godse's name missing?} in the group Public Humanities https://hcommons.org/activity/p/1884682/ Wed, 01 May 2024 03:29:48 -0400 प्रमोद रंजन का यह सम्पादकीय सन् 2002 में शिमला से प्रकाशित होने वाले साध्य दैनिक अखबार भारतेन्दु शिखर में छपा था। इसमें सवाल उठाया गया है कि एनसीआरटी की पुस्तकों को नए सिरे से लिखवाने के बाद सरकार ने नौवीं कक्षा के पाठ्यक्रम से महात्मा गाँधी के के हत्यारे नाथूराम गोडसे का नाम क्यों हटा दिया। उस समय भारतीय जनता पार्टी की सरकार थी, और मुरली मनोहर…[Read more]

]]> 0 60891e2ee3203e254f0c84a4700bba82 Pramod Ranjan deposited बिल गेट्स की भारत यात्रा : व्यावसायिक अनुदानों की राजनीति [“Bill Gates’ visit to India: The politics of business grants.”] in the group Public Humanities https://hcommons.org/activity/p/1884589/ Wed, 01 May 2024 03:22:07 -0400 प्रमोद रंजन द्वारा यह लेख बिल 'गेट्स की भारत यात्रा' पर दो भागो में लिखा गया है, पहला भाग 22 नवम्बर को और दूसरा भाग 23 नवम्बर 2002 को शिमला से प्रकाशित साध्य दैनिक अखबार भारतेन्दु शिखर में छपा है।

प्रमोद रंजन ने वर्ष 2002 में बिल गेट्स की भारत यात्रा के अवसर पर “छोटी चाहतों के संगीन निहितार्थ- बिल गेट्स की भारत यात्रा: व्यवसायिक अनुदानों…[Read more]

]]> 0 50b6ce4b99e5f0161ea355adb5753adb Pramod Ranjan deposited हिंदी भवन: बौद्धिक विमर्श के लिए जरुरी [Hindi Bhavan: Necessary for Intellectual Discourse] in the group Public Humanities https://hcommons.org/activity/p/1882462/ Sun, 07 Apr 2024 03:00:09 -0400 जर्मन विचारक जुगरेन हेबरमास की अवधारणा 'पब्लिक स्फीयर' के अनुसार, 'हिंदी भवन' जैसा उपक्रम एक ऐसा स्थान प्रदान कर सकता है जहां हम अपनी भाषा, संस्कृति और विचारों का स्वतंत्र रूप से आदान-प्रदान कर सकें।

इस लेख में पटना के हिंदी भवन के महत्व की चर्चा की गई है, जो बौद्धिक विमर्श और सांस्कृतिक विनिमय के लिए एक महत्वपूर्ण केंद्र के रूप में काम क…[Read more]

]]> 0 10d00451ba78270355853e7576d66e63 Pramod Ranjan deposited पिछड़ी हुई हिंदी आलोचना बनाम हिंदी वैचारिकी in the group Public Humanities https://hcommons.org/activity/p/1880298/ Fri, 22 Mar 2024 03:01:20 -0400 यह बात पहले भी कही जाती रही है कि हिंदी आलोचना की स्थिति दयनीय है। लेकिन इस आरोप का दायरा रचनात्मक साहित्य की अच्छी समीक्षाएं नहीं आने तक ही सीमित रहा है। प्रमोद रंजन अपने इस आलेख में बताते हैं कि किस प्रकार हिंदी आलोचना की अकर्मण्यता सांप्रदायिक तत्वों को सत्ता तक पहुंचाने में सहायक हुई। साथ ही वे प्रस्तावित करते हैं कि ‘हिंदी आलोचना’ जै…[Read more]

]]> 0 5a7f9eb02d419019d5b30727901395ce Katja Thieme deposited Expressive Freedom and Ethical Responsibility at Canadian Universities in the group Public Humanities https://hcommons.org/activity/p/1878945/ Fri, 08 Mar 2024 03:01:22 -0500 This article reviews recent government incursions on questions of free speech at universities and colleges in Ontario and Alberta and presents the challenge they pose to university autonomy. Inherent in university autonomy is the possibility—or the obligation—that universities make decisions based on ethical responsibilities that can extend bey…[Read more]

]]> 0 29f1d865372bc211a89ffc5c09a4d1a4 Pramod Ranjan deposited मणिपुर हिंसा: खनिज, तेल और अफीम in the group Public Humanities https://hcommons.org/activity/p/1878942/ Fri, 08 Mar 2024 03:00:21 -0500 मणिपुर में 2023 में शुरु हुई हिंसा के बारे में स्थानीय स्तर जो चर्चाएं थीं, उनमें तीन चीजों की मुख्य भूमिका बताई जा रही है। इनमें पहला है मणिपुर की पहाड़ियों में मौजूद बेशकीमती खनिज, दूसरा है पाम तेल के वृक्ष की खेती का मसला, और तीसरा है अफीम का अवैध कारोबार।

इस लेख में इनके पीछे के विभिन्न कारकों पर प्रकाश डाला गया है।

]]> 0 a9c006b62eef54c2b859b49464f5f96c Pramod Ranjan deposited संक्रामक बीमारियों के भारतीय महासागर में कोरोना कितनी जगह घेरता है? in the group Public Humanities https://hcommons.org/activity/p/1878450/ Mon, 04 Mar 2024 03:01:45 -0500 इस लेख में बताया गया है कि किसी प्रकार कोविड 19 अन्य कई बीमारियों की तुलना में बहुत कम घातक था, इसके बावजूद इसका हौव्वा बनाया गया, जिससे अफरातफरी मची और अधिक मौतें हुई। ऐसा इसलिए हुआ क्योंकि विश्व स्वास्थ संगठन ने बीमारियों से होने वाली मौतों का आंकड़ा जमा करने की विधि में कोविड के मामले में बदलाव कर दिया था।

इस लेख में आंकड़ों के साथ बताया…[Read more]

]]> 0 b3cfe011eb717f4874d9518b14e6254a Pramod Ranjan deposited अनूपातहीन भय के कथासूत्र in the group Public Humanities https://hcommons.org/activity/p/1878448/ Mon, 04 Mar 2024 03:01:32 -0500 इस लेख में विस्तार से बताया गया है कि किसी प्रकार कोविड 19 के बारे में अतिशयोक्तिपूर्ण सूचनाएं फैलाईं गईं, जिससे और अधिक मौतें हुई।

The article details how exaggerated information about COVID-19 was somehow deliberately spread, leading to more deaths.

]]> 0 22f7d2298a965e928c0eb6cda29622e8 Pramod Ranjan deposited कोविड-19 का टीका: क्या हम सही सवाल पूछ पा रहे हैं? in the group Public Humanities https://hcommons.org/activity/p/1878446/ Mon, 04 Mar 2024 03:01:17 -0500 वर्ष 2021 में कोविड 19 के टीके के संबंध में काफी वाद-विवाद हुआ था।

प्रमोद रंजन इस लेख में बताते हैं कि उस समय कोविड-19 के टीके से संबंधित अनेक भ्रामक प्रश्न जनता के सामने रख दिए गए थे, जिससे चर्चा की दिशा की बदली जा सके।.

इस लेख में कहा गया है कि टीका से संबंधित असली सवाल ये तीन थे। पहला सवाल यह कि, टीकों के निर्माण और वितरण में…[Read more]

]]> 0 2d4cd85c7c67ccdd03b1a9a5a1648ea0 Pramod Ranjan deposited पूर्वोत्तर के आदिवासी और आरएसएस in the group Public Humanities https://hcommons.org/activity/p/1876990/ Mon, 19 Feb 2024 03:00:20 -0500 कारबीअनलांग असम के अन्य भागों से सांस्कृतिक रूप से काफी भिन्न है। कारबी, दिमाशा बोडो, कुकी, थाई आयटन, गारो आदि यहां रहने वाली जनजातियां हैं, जो मंगोलियन नस्ल की हैं। भाषाई रूप से यह तिब्बती-बर्मी भाषा परिवार का इलाका है,जिसमें अरुणाचल प्रदेश, नागलैंड से लेकर मिजोरम तक का इलाका आता है।

यहां की देशज जातियों में से कुछ क…[Read more]

]]> 0 73705b47665155c099b19c768ba919ca Ali Shehzad Zaidi deposited Ahmed Faraz, Poet of Love and Hope in the group Public Humanities https://hcommons.org/activity/p/1874088/ Wed, 31 Jan 2024 03:00:19 -0500 This article discusses the themes of love and hope in the poetry of the Urdu-language Ahmed Faraz. It introduces two unpublished Faraz translations by Daud Kamal, examining the marine imagery in “Dawn-Birds” and the drought imagery in “Boulders of Clay.” The article also introduces Kamal’s translation of Afzal Arish’s “The Heave of Mud,” highlig…[Read more]

]]> 0 94b56b9f3a831e5a4566611dd1a6b146 Eileen A. Fradenburg Joy deposited What is Your Threshold? The Economics of Open Access Scholarly Book Publishing, the “Business” of Care, and the Case of punctum books in the group Public Humanities https://hcommons.org/activity/p/1867393/ Sun, 10 Dec 2023 03:01:02 -0500 In this essay, we share how a small, independent, academic open access (OA) press, punctum books, has survived and can maybe thrive financially, but also in terms of human quality of life dividends, in the very precarious landscape of making and funding open books. Tracing the history of the press and our bumpy road to better financial…[Read more]

]]> 0 4cc09556729d40089dad7b0dd94cb277 David A. Wacks deposited Francisco Núñez Muley, Memorial (Granada, 1566) in the group Public Humanities https://hcommons.org/activity/p/1864675/ Wed, 15 Nov 2023 03:04:20 -0500 Núñez-Muley abstract

The Edict of 1567, or Anti-Morisco Edict, was promulgated by Spanish King Philip II on January 1, after being approved in Madrid on November 17, 1566. Its purpose was to eliminate specific Morisco customs, such as their language, dress, and dances. Núñez Muley’s Petition is an attempt to persuade Christian authorities to de…[Read more]

]]> 0 c1f2e8b43e92dcd75fdf66c7499d7c15 David Lee deposited Calculating Risk Sensitivities for Monte Carlo Approach in the group Public Humanities https://hcommons.org/activity/p/1864374/ Mon, 13 Nov 2023 03:03:01 -0500 This article presents a model for pricing complex CDO structures and compute the sensitivities of the risk factors. The complex CDO structures need to be priced using the market information on tranche losses at multiple points of time. Currently, the model is being used for the valuation of forward starting CDO trades (FSCDO) and loss-trigger…[Read more]

]]> 0 a40799a1bfa63786e50adf419276dac3 David Lee deposited Binary Return Note Valuation in the group Public Humanities https://hcommons.org/activity/p/1864176/ Sat, 11 Nov 2023 03:00:05 -0500 The structure of a Binary Return Note is similar to the one of a regular note, but the coupons are
contingent on return rates on stocks. Quasi-Monte Carlo simulation is used for pricing the product.

]]> 0 56ccdb9a804c04d4d25f659361c91b0d David Lee deposited Fade Option Valuation in the group Public Humanities https://hcommons.org/activity/p/1863676/ Mon, 06 Nov 2023 03:00:05 -0500 We present a pricing model for fade option. A fade option can be more precisely named as “point-barrier option”. The fade option is a vanilla option that exists or dies if a barrier is breached on a single preset date, which is prior or equal to the contract maturity.

]]> 0 a48fc8049bea9800f09ace1c3cf0f49d Ana Dumitran deposited Russian Icons from Transylvania. Exhibition Catalogue in the group Public Humanities https://hcommons.org/activity/p/1862615/ Thu, 26 Oct 2023 03:00:44 -0400 This publication is part of the project “Ricontrans – Visual Culture, Piety and Propaganda. Transfer and Reception of Russian Religious Art in the Balkans and the Eastern Mediterranean (16th to Early 20th Century)”, funded from the European Research Council (erc) under the European Union’s Horizon 2020 research and innovation programme (grant…[Read more]

]]> 0 8a72c704f47e418555a841640b3d9768 David Lee deposited Asian Futures Option Valuation in the group Public Humanities https://hcommons.org/activity/p/1862278/ Sat, 21 Oct 2023 03:01:53 -0400 Average rate or Asian options have a payoff function proportional to an average rate or price. The average price is calculated over a sampling of specified dates that need not be equally spaced in time. The average price or rate tends to be less volatile than a single underlying price and hence, an option on the underlying average price should be…[Read more]

]]> 0 6c81399cea59bb0d4469d4a97af60a5e Samuel Adu-Gyamfi deposited Cerebrospinal meningitis in the Colonial History of the Asante of Ghana in the group Public Humanities https://hcommons.org/activity/p/1862104/ Thu, 19 Oct 2023 03:01:01 -0400 The incidence of diseases in the Gold Coast (now Ghana) shaped encounters between colonial officials and indigenous people, yet this subject has merited minimum attention in the Ghanaian historiography. This paper examines the colonial healthcare interventions to combat the outbreak of cerebrospinal meningitis (CSM) in Asante and
how the presence…[Read more]

]]> 0 74d7b719f7e052b11468c3868db42f23 Samuel Adu-Gyamfi deposited A Discourse on Individuals Value for Herbal Medicine in Asante since the Pre-Colonial Era in the group Public Humanities https://hcommons.org/activity/p/1862102/ Thu, 19 Oct 2023 03:00:40 -0400 This study highlights the transitions that indigenous medicine and indigenous medical practices have undergone in Asante. It uses a qualitative approach anchored on both primary and secondary sources. The primary data sources include interviews and documentary data derived from reports in historical archives. Anchored on rational choice contingent…[Read more]

]]> 0 78cfb635c15c3218024d319acb806f08 David Lee deposited Power Swap Valuation in the group Public Humanities https://hcommons.org/activity/p/1861659/ Sat, 14 Oct 2023 03:00:05 -0400 The article discusses valuation models for the following products: power financial indices swap contracts (PWR-SWAP), power financial transmission rights contracts (PWRSWAP- FTR), power physical delivery contracts (PWR-PHYS) and power physical transmission contracts (PWR-TR-SPREAD). All products have similar valuation structure – index swap (or s…[Read more]

]]> 0 042d9673d38ca76299cf0f5bd769d73e Dora Apel deposited Memory and the Arts: Justice, Environment and Ruin - Dora Apel in Conversation with Martin Pogacar in the group Public Humanities https://hcommons.org/activity/p/1861244/ Tue, 10 Oct 2023 03:00:26 -0400 This conversation revolves around Dora Apel’s work in the field of art and memory. Memory, in its mediating force, is critical for our understanding of the present and the construction of a future, or, rather, as Dora Apel posits it in her recent book Calling Memory Into Place: “Memory effects are not about the past. How do they shape the pre…[Read more]

]]> 0 273404b56c86871ed2c7de6e1f926279 David Lee deposited Double Window Barrier Option Valuation in the group Public Humanities https://hcommons.org/activity/p/1861033/ Sat, 07 Oct 2023 03:01:17 -0400 We offer a hybrid (trinomial tree plus semi-analytic formulas) pricing method for FX Double Window Double Barrier option . Currently, the model uses spot implied volatility for the first time window, and forward implied volatility for the second time window. These are Black-Scholes implied volatilities from traded vanilla European options, but,…[Read more]

]]> 0 05ad8a8f846d3f7026845448d17f0191 David Lee deposited Index Tranches and Bespoke CDOs in the group Public Humanities https://hcommons.org/activity/p/1860270/ Sun, 01 Oct 2023 03:01:22 -0400 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]

]]> 0 43e1824f5ff360239a920b1fb9740bfe David Lee deposited Capped Accumulated Return Call Option in the group Public Humanities https://hcommons.org/activity/p/1859976/ Thu, 28 Sep 2023 03:17:06 -0400 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]

]]> 0 aa1d287c62213cab1f28eb9d7c76064c David Lee deposited CDS Index Basis Adjustment in the group Public Humanities https://hcommons.org/activity/p/1859618/ Mon, 25 Sep 2023 18:02:44 -0400 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]

]]> 0 44a131c1eef35c6499a50c73b5a50f4f David Lee deposited Reverse Convertible Pricing Model in the group Public Humanities https://hcommons.org/activity/p/1859034/ Wed, 20 Sep 2023 01:06:42 -0400 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.

]]> 0 de5eed4f4f79f98905be77f61be16161 David Lee deposited Conduit Fees Introduction in the group Public Humanities https://hcommons.org/activity/p/1858688/ Sat, 16 Sep 2023 01:35:00 -0400 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]

]]> 0 57ea504e9f3059c051d1ed119953dd0f David Lee deposited Digital Barrier Basket Note Valuation in the group Public Humanities https://hcommons.org/activity/p/1857165/ Fri, 01 Sep 2023 01:13:12 -0400 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]

]]> 0 a74bddbf17a87775456dd51b4ed2cb15 David Lee deposited Pricing Asian Option on a Basket of Averages in the group Public Humanities https://hcommons.org/activity/p/1856726/ Mon, 28 Aug 2023 01:11:50 -0400 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]

]]> 0 917aba3b4451178e48f934b46c962751 David Lee deposited Equity Asian Swap Model in the group Public Humanities https://hcommons.org/activity/p/1856529/ Sat, 26 Aug 2023 01:15:48 -0400 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]

]]> 0 f46c95fa40dd7dc2026dc32c7f3eec8d David Lee deposited Variance and Volatility Swap Model in the group Public Humanities https://hcommons.org/activity/p/1856266/ Thu, 24 Aug 2023 01:09:14 -0400 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.

]]> 0 be581b56d12bf45f7ffc3652fe6b1a17 David Lee deposited Equity Forwards and Futures Valuation in the group Public Humanities https://hcommons.org/activity/p/1856263/ Thu, 24 Aug 2023 01:09:03 -0400 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.

]]> 0 aeab864a0c9c79d9c22ff4bfea8f8e49 David Lee deposited Forward Starting Option Model in the group Public Humanities https://hcommons.org/activity/p/1856260/ Thu, 24 Aug 2023 01:08:53 -0400 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.

]]> 0 22f15ff4a60d81c07c7ec90ff182b3d3 David Lee deposited Loan Commitment Analytics in the group Public Humanities https://hcommons.org/activity/p/1856256/ Thu, 24 Aug 2023 01:08:14 -0400 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]

]]> 0 4105594d962cbc2e3d636544c8f7b87a David Lee deposited Term of Structure of Implied Volatility Model in the group Public Humanities https://hcommons.org/activity/p/1855385/ Thu, 17 Aug 2023 01:11:07 -0400 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.

]]> 0 56c164994e955cc13662fb1b15800f7c David Lee deposited Valuation of Shrinking Basket Option Based on the Worst Return. in the group Public Humanities https://hcommons.org/activity/p/1855379/ Thu, 17 Aug 2023 01:10:10 -0400 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]

]]> 0 c70ea0a4e8d1feb38833c58a71bae6aa David Lee deposited Credit VaR Model in the group Public Humanities https://hcommons.org/activity/p/1855376/ Thu, 17 Aug 2023 01:09:56 -0400 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.

]]> 0 919214c7537f00ca711a71aa1dee4673 David Lee deposited Default Put Protection Derivative Analytics in the group Public Humanities https://hcommons.org/activity/p/1851993/ Mon, 17 Jul 2023 02:29:57 -0400 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]

]]> 0 051b731c61566aa75a4be8188df10b4b David Lee deposited Gold Option Pricing Model in the group Public Humanities https://hcommons.org/activity/p/1851910/ Sun, 16 Jul 2023 02:27:16 -0400 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.

]]> 0 c3ec9b8795daabeb0d8628cf9844cd79 David Lee deposited Pricing Path Dependent Derivative Note in the group Public Humanities https://hcommons.org/activity/p/1851835/ Sat, 15 Jul 2023 02:28:09 -0400 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.

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