526 research outputs found
Monte Carlo Greeks in the lognormal Libor market model
No full textGreeks are sensitivities of option prices with respect to certain parameters. The calculation of Greeks is needed for hedge strategies and to manage or measure risk. As the underlying models get more complicated, the calculation of these Greeks can become far more difficult than the pricing of options. In this thesis we consider the Greeks of both European- and Bermudan-style Libor rate contracts. To model forward Libor rates we use the lognormal forward Libor market model. Because of the dimensionality of the model, only Monte Carlo methods are capable to estimate these Greeks. Therefore various Monte Carlo methods to estimate the Greeks will be considered and adjusted to our model settings. The methods are tested and compared, and if possible, improved. We improve the likelihood ratio method for the Greeks of Bermudan-style options by the use of a predictor-corrector scheme. Another succesful method which can be used for Greek calculations is given by the pathwise sensitivity method.Numerical analysisApplied mathematicsElectrical Engineering, Mathematics and Computer Scienc
Modelling the Libor transition: Implementing and extending the generalized forward market model
No full textInterbank-offered-rates play a critical role in the hedging processes of banks, hedge funds or institutional investors. However, the financial stability board recommended to replace these rates by alternative risk-free-rates at the end of 2021. The new rates will be backward-looking rates and therefore, the payoff definitions of interest rate derivatives will change and the currently used Libor Market model to price exotic interest rate derivatives is no longer feasible. This thesis examines a new type of model, the forward market model, which is able to generate both the new backward-looking rates as the current forward-looking rates under the same stochastic process. Besides, contrary to the Libor Market Model, the dynamics under the risk-neutral measure can obtained. Consequently, the new forward market model should always be chosen over the Libor market model. Two issues regarding the forward market model are also considered in this thesis. First of all, the forward market model cannot deal with negative interest rate, this is solved by implementing a shifted version of the log-normal model. Second, a log-normal model is unable to reproduce the implied volatility smile which is present in the market. We solve this issue by combining the forward market model together with the SABR model. Under a few assumptions we derive the shifted SABR forward market model which hasn't been derived in the literature. The model is validated by pricing a new type of caplet that will be present in the post-Libor world, where the payoff won't be known until the payment date. We find that the implementation of this new shifted SABR-FMM can accurately price zero-coupon bonds and caplets in the market. Therefore, we conclude that this new type of model is a possible solution to price exotic interest rate derivatives in the post-Libor world.Applied Mathematic
Protection against improper conduct of a contracting authority
No full textAutor se v této práci zabývá otázkou prostředků ochrany proti nesprávnému postupu zadavatele veřejné zakázky, především pak problematikou námitkového řízení a řízení o přezkoumání úkonů zadavatele před Úřadem pro ochranu hospodářské soutěžeObhájenoIn this work author focuses on the means of protection against improper conduct of contracting authority
On the pricing of Bermudan swaptions in the multi-curve LIBOR Market Model
No full textThe aim of this research is to extend the classical LMM to a multi-curve framework and to analyze the impact of this extended model on the most liquid exotic interest rate derivatives. A possible parametrization for the instantaneous volatility and correlation structure is presented and the (log-)normal dynamics of the OIS rates under different measures are obtained. The forward LIBOR rates are modeled at a constant additive spread over the OIS curve. An analytical closed-form approximation of the European swaption volatility in the multi-curve framework is derived and its accuracy is verified by comparing the Monte Carlo prices of a set of European swaptions with the corresponding prices obtained using the approximation. It is demonstrated that the approximation reaches the highest accuracy for swaptions characterized by short underlying tenors and strikes close to the swap rate. The multi-curve LIBOR Market Model is calibrated to the swaption market applying this approximation. Using the calibrated model distinct Bermudan swaptions are priced by means of Monte Carlo. These prices are compared to the corresponding prices obtained using the one-factor Hull-White model and the impact of the model selection is analyzed.Electrical Engineering, Mathematics and Computer ScienceDelft Institute of Applied MathematicsApplied Probabilit
L^2-theoretical study of the relation between the LIBOR market model and the HJM model
No full textIn previous works, the author introduced metric spaces of term structure models to study the relation between the LIBOR market model and the HJM model. However that framework is not comprehensive, nor does it admit an extendable structure. This paper introduces a new metric space to better develop the perspective argument. A metric space is naturally constructed on the set of bond price processes such that the space allows many types of term structure models. This metric presents a general view on the relation between the LIBOR market model and the HJM model. Consequently, the LIBOR market model is placed at the boundary of the HJM model set.MI: Global COE Program Education-and-Research Hub for Mathematics-for-IndustryグローバルCOEプログラム「マス･フォア･インダストリ教育研究拠点
L^2-theoretical study of the relation between the LIBOR market model and the HJM model
No full textMI: Global COE Program Education-and-Research Hub for Mathematics-for-IndustryグローバルCOEプログラム「マス･フォア･インダストリ教育研究拠点」In previous works, the author introduced metric spaces of term structure models to study the relation between the LIBOR market model and the HJM model. However that framework is not comprehensive, nor does it admit an extendable structure. This paper introduces a new metric space to better develop the perspective argument. A metric space is naturally constructed on the set of bond price processes such that the space allows many types of term structure models. This metric presents a general view on the relation between the LIBOR market model and the HJM model. Consequently, the LIBOR market model is placed at the boundary of the HJM model set
The role of bilirubin in diabetes, metabolic syndrome, and cardiovascular diseases
No full textBilirubin belongs to a phylogenetically old superfamily of tetrapyrrolic compounds, which have multiple biological functions. Although for decades they were believed to be only a waste product of the heme catabolic pathway at best, and a potentially toxic compound at worst; recent data has convincingly demonstrated that mildly elevated serum bilirubin levels are strongly associated with a lower prevalence of oxidative stress-mediated diseases. Indeed, serum bilirubin has been consistently shown to be negatively correlated to cardiovascular diseases (CVD), as well as to CVD-related diseases and risk factors such as arterial hypertension, diabetes mellitus, metabolic syndrome, and obesity. In addition, the clinical data are strongly supported by evidence arising from both in vitro and in vivo experimental studies. This data not only shows the protective effects of bilirubin per se; but addionally, of other products of the heme catabolic pathway such as biliverdin and carbon monoxide, as well as its key enzymes (heme oxygenase and biliverdin reductase); thus, further underlining the biological impacts of this pathway. In this review, detailed information on the experimental and clinical evidence between the heme catabolic pathway and CVD, and those related diseases such as diabetes, metabolic syndrome, and obesity is provided. All of these pathological conditions represent an important threat to human civilization, being the major killers in developed countries, with a steadily increasing prevalence. Thus, it is extremely important to search for novel markers of these diseases, as well as for novel therapeutic modalities to reverse this unfavorable situation. The heme catabolic pathway seems to fulfill the criteria for both diagnostic purposes as well as for potential therapeutical interventions
O potrzebie socjologii snów słów kilka
No full textThe article by Grzegorz Libor treating about the need of creating the sociology of
dreams, a new branch in sociology, constitutes an intellectual provocation. The author, in his considerations, moves from an individual dimension of the notion of a dream to the social one, and explains how the dream is interpreted in the Biblical tradition, psychology, psychoanalysis, cognitivism, as well as popular culture. The researcher also outlines the methodology of studies in the sociology of dreams thanks to the proposal of realizing traditional questionnaires and conducting Internet analysis. For example social portals where people share their dream experiences
LIBOR Fallback and Quantitative Finance
No full textWith the expected discontinuation of the LIBOR publication, a robust fallback for related financial instruments is paramount. In recent months, several consultations have taken place on the subject. The results of the first ISDA consultation have been published in November 2018 and a new one just finished at the time of writing. This note describes issues associated to the proposed approaches and potential alternative approaches in the framework and the context of quantitative finance. It evidences a clear lack of details and lack of measurability of the proposed approaches which would not be achievable in practice. It also describes the potential of asymmetrical information between market participants coming from the adjustment spread computation. In the opinion of this author, a fundamental revision of the fallback’s foundations is required
Complement landscape problems in document Politika územního rozvoje on the basis compare landscape problems in Czech republic and Great Britain
No full textThis thesis is to evaluate and compare some approach of the solution spatial aspects of landscape problems among choose Czech and Britain documents. This study is oriented on Czech policy dokument Politika územního rozvoje (2008 {--} 2012) and other similar document of the single regions Great Britain. Partial goals of thesis have to been searched out the documents for planning in Czech republic and Great Britain, explored and described hierarchy of planning of both countries. Subsequently compare similar documents accordance with degree attention, which devote the define spatial aspects of landscape problems. Primary objective have to been determined poorly places in solution landscape problems in document Politika územního rozvoje and propose their inclusion for up-dating document in 2012
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