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A Review of the Vasicek & Hull-White Models & the Likelihood of Negative Rates

Burgess, Nicholas - 2018

In this paper we review the Vasicek and Hull-White 1 factor (HW1F) models. For each model we summarize the model stochastic process, solution and Gaussian or normal dynamics. For pricing purposes we might opt to use more advanced models, however for risk management and complex calculations such...

Persistent link: https://www.econbiz.de/10012928144

Cash-Settled Swaptions - A Review of Cash-Settled Swaption Pricing

Burgess, Nicholas - 2018

In this paper we provide an outline of interest rate swaptions and how to price swaptions with different payoff or settlement types. Firstly we review the different settlement styles commonplace in financial markets. Secondly we review the swaption pricing formulae corresponding to each...

Persistent link: https://www.econbiz.de/10012929438

Interest Rate Swaptions - A Review & Derivation of Swaption Pricing Formulae

Burgess, Nicholas - 2018

In this paper we outline the European interest rate swaption pricing formula from first principles using the Martingale Representation Theorem and the annuity measure. This leads to an expression that allows us to apply the generalized Black-Scholes result. We show that a swaption pricing...

Persistent link: https://www.econbiz.de/10012931188

A Review of the Generalized Black-Scholes Formula & It’s Application to Different Underlying Assets

Burgess, Nicholas - 2018

The Black-Scholes (1973) formula is well used for pricing vanilla European options. There are several different variations used by market practitioners dependent on the underlying asset being modelled. In this brief paper we present the generalized Black-Scholes representation, outline it's...

Persistent link: https://www.econbiz.de/10012933073

The Role of Seminars, Conferences and Workshops in the History of Economics

Cherrier, Beatrice; Saïdi, Aurélien - 2021

This paper introduces twin special issues of the Revue d’Economie Politique on the role that seminars, workshops and conferences have played in the history of economics in the 20th century. Our goal is to turn what have been a systematic background feature in the history of key concepts,...

Persistent link: https://www.econbiz.de/10013221338

Understanding Big Data : Data Calculus in the Digital Era

Luohan Academy, Report - 2021

Information processing has been defined as “the change (processing) of information in any manner detect- able by an observer, a process that describes everything that happens in the universe, from the falling of a rock to the printing of a text file from a digital computer system.” Human...

Persistent link: https://www.econbiz.de/10013238901

Imperatives for post COVID-19 recovery of Indonesia's education, labor, and SME sectors

Jameaba, Muyanja-Ssenyonga - In: Cogent economics & finance 9 (2021) 1, pp. 1-51

participation in global value chains; and low education effectiveness. Policy recommendations to nudge the economy and society back … support business and society in education, labor and employment, and SME and trade. The thrust of the pathways stresses the …

Persistent link: https://www.econbiz.de/10013183885

Method for forming of teams of collaborators to develop knowledge about threats to Humanity

Shiyan (Shyian), Anatoliy A. (Anatolii) - 2022

[The current stage of Humanity development is accompanied by an increasing number of threats to its existence. Unfortunately, to eliminate these threats, the efforts and resources of all Humanity as a whole are needed. However, in order to not only eliminate, but even detect these threats, it is...

Persistent link: https://www.econbiz.de/10013291520

Effects of Implicit Socioeconomic Biases on Disparities in Wealth

Rozario, Deven; Dumesh, Eri; Haisler, Ryan; Patibandla, … - 2021

years with resources like access to education, jobs, healthcare, etc. becoming less and less available to the general public … parental education level, income, and resources available to their child, representing student backgrounds and demographics in … person like job security, education healthcare, food security, along with other resources, will provide an in-depth view into …

Persistent link: https://www.econbiz.de/10013212741

Understanding big data : data calculus in the digital era

Bolton, Patrick; Holmström, Bengt; Maskin, Eric; … - 2021 - This version is updated on February 5, 2021

Information processing has been defined as “the change (processing) of information in any manner detectable by an observer, a process that describes everything that happens in the universe, from the falling of a rock to the printing of a text file from a digital computer system.” Human...

Persistent link: https://www.econbiz.de/10012593928