Results 121 to 130 of about 137,784 (303)
Pricing a Bermudan Swaption with a Short Rate Lattice Method [PDF]
This paper presents the tree construction approach to pricing a Bermudan swaption. The Bermudan swaption is an option, which at each date in a schedule of exercise dates gives the holder the right to enter an interest swap, provided that this right has ...
Yasuhiro Tamba
core
Arthritis Care &Research, Accepted Article.Objective The goal was to assess the diagnostic performance of three novel autoantibodies (NA) for Sjögren's disease (SjD) by comparing NA prevalence in patients with SjD, other autoimmune rheumatic diseases (ARDs), nonspecific chronic sialadenitis (CS), and controls.
Chadwick R. Johr +5 more
wiley +1 more source
AN INVESTIGATION INTO THE LINKAGES BETWEEN EURO AND STERLING SWAP SPREADS [PDF]
This paper examines the causal relationship between euro and sterling swap spreads during the period January, 1999 to March, 2003. The absence of any correlation between changes in the two swap spreads would indicate that credit risk factors are country ...
Somnath Chatterjee
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A Q‐Learning Algorithm to Solve the Two‐Player Zero‐Sum Game Problem for Nonlinear Systems
International Journal of Adaptive Control and Signal Processing, Volume 39, Issue 3, Page 566-581, March 2025.A Q‐learning algorithm to solve the two‐player zero‐sum game problem for nonlinear systems. ABSTRACT This paper deals with the two‐player zero‐sum game problem, which is a bounded L2$$ {L}_2 $$‐gain robust control problem. Finding an analytical solution to the complex Hamilton‐Jacobi‐Issacs (HJI) equation is a challenging task.
Afreen Islam +2 more
wiley +1 more source
The cost of counterparty risk and collateralization in longevity swaps [PDF]
Derivative longevity risk solutions, such as bespoke and indexed longevity swaps, allow pension schemes and annuity providers to swap out longevity risk, but introduce counterparty credit risk, which can be mitigated if not fully eliminated by ...
Biffis, Enrico +3 more
core +1 more source
Adaptable Tile‐Based Pneumatic Origami through Structurally Coupled Localized Actuation
Advanced Engineering Materials, EarlyView.This article presents tile‐based pneumatic origami structures with rigid tiles and flexible fabric creases, achieving adaptable properties including morphing shape, selective multistability, and tunable stiffness. Independently pressurized folding bladders at each crease enable structurally coupled localized actuation of origami structures.
Tiantian Li, Jonathan Luntz, Diann Brei
wiley +1 more source
RisksCarbon risk, a type of climate risk, is expected to have a crucial impact, especially on high-carbon-emitting, “polluting” firms as opposed to less carbon-intensive, “clean” ones.
Aimee Jean Batoon, Edit Rroji
doaj +1 more source
An Empirical Comparison of Default Swap Pricing Models [PDF]
In this paper we compare market prices of credit default swaps with model prices. We show that a simple reduced form model with a constant recovery rate outperforms the market practice of directly comparing bonds' credit spreads to default swap premiums.
Patrick Houweling, Ton Vorst
core +3 more sources
Advanced Engineering Materials, EarlyView.An idea of designing novel sensors is proposed by creating appropriate Schottky barriers and vacancies between isomorphous Core‐CuOii/ Shell‐CuOi secondary microspheres and enhancing catalytic and spill‐over effects, and electronegativity via spontaneous biphasic separation, self‐assembly, and trace‐Ni‐doping.
Bala Ismail Adamu +8 more
wiley +1 more source
Libor and Swap Market Models for the Pricing of Interest Rate Derivatives: An Empirical Analysis [PDF]
In this paper we empirically analyze and compare the Libor and Swap Market Models, developed by Brace, Gatarek, and Musiela (1997) and Jamshidian (1997), using paneldata on prices of US caplets and swaptions.A Libor Market Model can directly be ...
Driessen, J.J.A.G. +2 more
core +1 more source