We present a new model for pricing quanto CDS where the FX could be strongly dependent on the credit reference. The model assumes lognormal hazard rate and deterministic FX local volatility where the FX spot can jump at time of default of the credit reference. We present the model, the...

This article tries to solve the portfolio inflation hedging problem by introducing a new class of dynamic trading strategies derived from classic portfolio insurance techniques adapted to the real world. These strategies aim at yielding higher returns on a risk-adjusted basis than regular...

This article tries to solve the portfolio inflation hedging problem by introducing a new class of dynamic trading strategies derived from classic portfolio insurance techniques adapted to the real world. These strategies aim at yielding higher returns on a risk-adjusted basis than regular...

Under the background of the electronic security trading platform Xetra operated by Frankfurt Stock Exchange, we consider the Xetra auction market system (XAMS) from `bottom-up', which the interaction among heterogeneous traders and Xetra auction market mechanism generates non-equilibrium price...

This article tries to solve the portfolio inflation hedging problem by introducing a new class of dynamic trading strategies derived from classic portfolio insurance techniques adapted to the real world. These strategies aim at yielding higher returns on a risk-adjusted basis than regular...

Excerpt: Worldwide, governments are growingly focusing on free and open source software (FOSS) as a move toward transparency and the freedom to run, copy, study, change and improve the software. The European Commission (EC) is also supporting the development of FOSS [.]. In addition to the...

Excerpt: Interfacing science and policy raises challenging issues when large spatial-scale (regional, continental, global) environmental problems need transdisciplinary integration within a context of modelling complexity and multiple sources of uncertainty. This is characteristic of...

Excerpt: Computational aspects increasingly shape environmental sciences. Actually, transdisciplinary modelling of complex and uncertain environmental systems is challenging computational science (CS) and also the science-policy interface. Large spatial-scale problems falling within this...

This set of three volumes argues that the mind – human consciousness – may be measured by considering mathematically the aggregate of that consciousness, i.e. social history. From this beginning theme of discussion three questions must arise. 1. How might this measurement be made? 2. Of what...

I argue that a form of consciousness may be found in American economic history, one which is both mathematically demonstrable and important. In this book I present a model of economic and political growth based upon systematic addition. We begin with a philosophic model of trade (pp. 34-46);...