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Macroeconomic impact assessment of OTC derivatives regulatory
Macroeconomic impact assessment of OTC derivatives regulatory

Dynamic 3-sided planar range queries with expected - delab-auth
Dynamic 3-sided planar range queries with expected - delab-auth

Excel Models for Business and Operations Management
Excel Models for Business and Operations Management

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Advances in Ethernet

...  Addresses must usually be unique (end-to-end principle)  Hosts usually have a single IP address, routers have many addresses  It is the responsibility of a service provider (SP) to allocate addresses IP addresses are not arbitrary, like Ethernet MAC addresses The fifth principle is that IP addre ...
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Download attachment
Download attachment

... instrument on the asset side of the balance sheet (Vogel & Hayes III, 1998). Every contract benchmarked with LIBOR inherits the possibility that in the future the LIBOR rates will rise and that the issuer, on the asset side, will not have made as much profit as future market conditions might dictate ...
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Chapter 7: Relational Database Design

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Analyzing Yield, Duration and Convexity of Mortgage Loans under

... Under the contingent-claim approach, researchers use the option pricing theory to investigate the premiums of prepayment and default. They argue that borrowers are endowed with the option to prepay (call) or default (put) the mortgage contract. The values of prepayment and default options are calcu ...
TOPICS IN ALGORITHMS
TOPICS IN ALGORITHMS

... We show a general connection between a data structure for the tree color problem and the tree inclusion problem. To achieve subquadratic running time we divide T into small trees or forests, called micro trees or clusters, of logarithmic size which overlap with other micro trees in at most two nodes ...
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Proof of Freshness: How to efficiently use an online single secure

... In our system, we place a small TCB at a server for maintaining certificates of global counters for timestamping to allow clients to immediately detect misbehavior, including replay attacks. This allows us to prevent forking attacks and guarantee the freshness, integrity, and consistency of data. Ou ...
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... metro stations in the memory using a two-dimensional array.  Write a function to find all the stations directly connected to a station given by its name. ...
Structured Language Models for Statistical Machine Translation
Structured Language Models for Statistical Machine Translation

... its structural context is smoothed using the well-established smoothing techniques developed for n-gram models. Because x-gram language model is simple and robust, it can be easily scaled up to larger data. This thesis studies both semi-supervised structure and unsupervised structure. In semi-superv ...
Filed pursuant to Rule 424(b)(5) Registration No. 333
Filed pursuant to Rule 424(b)(5) Registration No. 333

Dynamic Network Evolution: Models, Clustering, Anomaly Detection
Dynamic Network Evolution: Models, Clustering, Anomaly Detection

... molecular compounds are the vertices and the reactions connecting these molecules are the edges in metabolic networks. Like collaboration networks, these graphs can be represented with the informative bipartite graphs but in practice the less informative one-mode projects have been used. A substrate ...
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Unimodal Regression via Prefix Isotonic

Risk premiums in NIBOR and other countries` interbank lending rates
Risk premiums in NIBOR and other countries` interbank lending rates

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ISSUE OF DEBENTURES A debenture is a written

Document
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... • Vertical B-tree query: O(log B ( N B log B N ))  O( N B ) • Query of all kdB-trees in leaves of two horizontal B-trees: O( N B log B N )  O( B log 2B N B  TB )  O( N B  TB ) • Query O( N B log B N ) horizontal B-trees: O( N B log B N )  O(log B ( N B log B N ))  O( N B ) • Query 2  O( N B ...
ACCOUNTING FOR FINANCIAL INSTRUMENTS
ACCOUNTING FOR FINANCIAL INSTRUMENTS

Longenbaugh ethesis
Longenbaugh ethesis

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BARCLAYS BANK PLC /ENG/ (Form: 424B2, Received: 12

... the Initial Valuation Date. The Reference Asset with the lowest Reference Asset Return on a Valuation Date will be deemed the Lowest Performing Reference Asset and the corresponding Closing Value of such Reference Asset on the related Valuation Date will be evaluated relative to the Coupon Barrier L ...
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Tree Adjoining Grammar at the Interfaces

Self-Study Guide to Hedging with Grain and Oilseed
Self-Study Guide to Hedging with Grain and Oilseed

... that to hedge is “to try to avoid or lessen a loss by making counterbalancing investments ...” In the context of futures trading, that is precisely what a hedge is: a counterbalancing transaction involving a position in the futures market that is opposite one’s current position in the cash market. S ...
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Estimating the Gains from Trade in Limit

index of defined terms
index of defined terms

< 1 ... 6 7 8 9 10 11 12 13 14 ... 166 >

Lattice model (finance)



For other meanings, see lattice model (disambiguation)In finance, a lattice model [1] is a technique applied to the valuation of derivatives, where, because of path dependence in the payoff, 1) a discretized model is required and 2) Monte Carlo methods fail to account for optimal decisions to terminate the derivative by early exercise. For equity options, a typical example would be pricing an American option, where a decision as to option exercise is required at ""all"" times (any time) before and including maturity. A continuous model, on the other hand, such as Black Scholes, would only allow for the valuation of European options, where exercise is on the option's maturity date. For interest rate derivatives lattices are additionally useful in that they address many of the issues encountered with continuous models, such as pull to par.
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