EURO STOXX 50® Total Return Futures
... The handling of Total Return Futures is similar to basis trading as the order entry, execution and settlement is based on the TRF Spread (i.e. financing cost / Repo), expressed as an annualised rate in +/- basis points*. The main steps regarding the trade and post-trade workflow are the following: ...
... The handling of Total Return Futures is similar to basis trading as the order entry, execution and settlement is based on the TRF Spread (i.e. financing cost / Repo), expressed as an annualised rate in +/- basis points*. The main steps regarding the trade and post-trade workflow are the following: ...
Regulatory Capital Requirements under FTK and
... The focus of chapter 6 is on the Global Asset Model (GAM model). This model is the ALM model which has been developed by Towers Watson. First, we describe the GAM model. Second, we present the data which is used for simulation. The chapter continues with a description of the simulation process and f ...
... The focus of chapter 6 is on the Global Asset Model (GAM model). This model is the ALM model which has been developed by Towers Watson. First, we describe the GAM model. Second, we present the data which is used for simulation. The chapter continues with a description of the simulation process and f ...
Amorphous Data-parallelism - UT Computer Science
... new way of thinking about irregular algorithms, which we call the operator formulation of algorithms, and introduces an associated data-centric abstraction [39] called the halograph. Our point of departure is Niklaus Wirth’s aphorism “Program = Algorithm + Data Structure” [68]; instead of measuring ...
... new way of thinking about irregular algorithms, which we call the operator formulation of algorithms, and introduces an associated data-centric abstraction [39] called the halograph. Our point of departure is Niklaus Wirth’s aphorism “Program = Algorithm + Data Structure” [68]; instead of measuring ...
Global Diffusion via Cascading Invitations
... Many of the world’s most popular websites catalyze their growth through invitations from existing members. New members can then in turn issue invitations, and so on, creating cascades of member signups that can spread on a global scale. Although these diffusive invitation processes are critical to t ...
... Many of the world’s most popular websites catalyze their growth through invitations from existing members. New members can then in turn issue invitations, and so on, creating cascades of member signups that can spread on a global scale. Although these diffusive invitation processes are critical to t ...
trends in south african agricultural land prices
... enters the political and economic equations for which reason they are important subjects for research as well as developmental interventions. Despite the implementation of far-reaching governance reforms and agricultural restructuring over the past 12 years, no recent model of farmland prices has ex ...
... enters the political and economic equations for which reason they are important subjects for research as well as developmental interventions. Despite the implementation of far-reaching governance reforms and agricultural restructuring over the past 12 years, no recent model of farmland prices has ex ...
TVN plc – the meaning behind the IPO
... bond issue had an effect of hiding the parties financing TVN and ITI. In case of credits and loans hiding would have been much harder, even more so in cases of a variety of links between the creditor and the issuer, such as the former being an important shareholder of the latter. The nonexistent liq ...
... bond issue had an effect of hiding the parties financing TVN and ITI. In case of credits and loans hiding would have been much harder, even more so in cases of a variety of links between the creditor and the issuer, such as the former being an important shareholder of the latter. The nonexistent liq ...
Herman J. Bierens - Personal.psu.edu
... conditional variance specification for rebalanced credit spread portfolios is not plausible because of the vanishing memory. For this reason, we adopt an ARCH specification with limited memory. Empirical studies have provided ample evidence that the GARCH type specification is generally insufficient ...
... conditional variance specification for rebalanced credit spread portfolios is not plausible because of the vanishing memory. For this reason, we adopt an ARCH specification with limited memory. Empirical studies have provided ample evidence that the GARCH type specification is generally insufficient ...
Practical lock-freedom - Cambridge Computer Lab
... interconnect traffic, even when the lock protects read-only data. In looking for solutions to these problems, interest has developed in lock-free data structures. By eschewing mutual exclusion it is hoped that more efficient and robust systems can be built. Unfortunately the current reality is that ...
... interconnect traffic, even when the lock protects read-only data. In looking for solutions to these problems, interest has developed in lock-free data structures. By eschewing mutual exclusion it is hoped that more efficient and robust systems can be built. Unfortunately the current reality is that ...
Accelerating Online LCA with Functional Data Structures
... We have exactly one shape for a given number of elements, so we can walk the spine of the two random access lists at the same time in lock-step. This lets us, modify this algorithm to work with a pair of paths, because the shapes agree. (~=) is monotone given using globally unique IDs. ...
... We have exactly one shape for a given number of elements, so we can walk the spine of the two random access lists at the same time in lock-step. This lets us, modify this algorithm to work with a pair of paths, because the shapes agree. (~=) is monotone given using globally unique IDs. ...
Document
... Before and after deletion of “Perryridge” from earlier example Parent of leaf containing Perryridge became underfull, and borrowed a ...
... Before and after deletion of “Perryridge” from earlier example Parent of leaf containing Perryridge became underfull, and borrowed a ...
Estimating lost future earnings using the new worklife tables
... value of "expected" earnings of $332,913, by the worklife table estimate of 29 .2 years of remaining worklife for the entire population . Using Nelson's 31 .5 years to final separation criterion, the present value of "expected" earnings is $341,857 . Boudreaux's 7.3-percentage reduction criterion dr ...
... value of "expected" earnings of $332,913, by the worklife table estimate of 29 .2 years of remaining worklife for the entire population . Using Nelson's 31 .5 years to final separation criterion, the present value of "expected" earnings is $341,857 . Boudreaux's 7.3-percentage reduction criterion dr ...
Investor Sentiment and the Mean
... Previous studies have found that empirical conclusions on the mean–variance tradeoff rely heavily on the conditional variance models selected, which leads the overall evidence to be inconclusive. French, Schwert, and Stambaugh (1987), Bailie and De Gennaro (1990), Campbell and Hentschel (1992), Ghys ...
... Previous studies have found that empirical conclusions on the mean–variance tradeoff rely heavily on the conditional variance models selected, which leads the overall evidence to be inconclusive. French, Schwert, and Stambaugh (1987), Bailie and De Gennaro (1990), Campbell and Hentschel (1992), Ghys ...
Commodity-Derivatives
... As the delivered price of physicals depends greatly upon the cost of transport, there is a demand to hedge freight rates. The Baltic Exchange in London a centre for arranging bulk shipping, produces indexes of bulk maritime shipping rates, but Euronext ceased trading a futures contract on the Baltic ...
... As the delivered price of physicals depends greatly upon the cost of transport, there is a demand to hedge freight rates. The Baltic Exchange in London a centre for arranging bulk shipping, produces indexes of bulk maritime shipping rates, but Euronext ceased trading a futures contract on the Baltic ...
Financial Accounting and Accounting Standards
... options at any time within the next 10 years. The option price per share is ¥6,000, and the market price of the shares at the date of grant is ¥7,000 per share. Under the fair value method, the company computes total compensation expense by applying an acceptable fair value option-pricing model. The ...
... options at any time within the next 10 years. The option price per share is ¥6,000, and the market price of the shares at the date of grant is ¥7,000 per share. Under the fair value method, the company computes total compensation expense by applying an acceptable fair value option-pricing model. The ...
struct node - Information Service at Internet Computing Lab
... 12.4 Linked Lists (Cont.) • Figure 12.5 illustrates the insertion of a node containing the character 'C' into an ordered list. • Part (a) of the figure shows the list and the new node just before the insertion. • Part (b) of the figure shows the result of inserting the new node. • The reassigned po ...
... 12.4 Linked Lists (Cont.) • Figure 12.5 illustrates the insertion of a node containing the character 'C' into an ordered list. • Part (a) of the figure shows the list and the new node just before the insertion. • Part (b) of the figure shows the result of inserting the new node. • The reassigned po ...
space-efficient data structures for collections of textual data
... formats, such as JSON and XML, by storing separately a compact description of their parse trees, hence avoiding the need to re-parse the documents every time they are read. For string dictionaries, we describe a data structure based on a path decomposition of the compacted trie built on the string s ...
... formats, such as JSON and XML, by storing separately a compact description of their parse trees, hence avoiding the need to re-parse the documents every time they are read. For string dictionaries, we describe a data structure based on a path decomposition of the compacted trie built on the string s ...
Double-Ended Priority Queues
... When n > 1, the minimum element is in the left child of the root and the maximum is in the right child of the root. So the getM in and getM ax operations take O(1) time. It is easy to see that an n + 1-node complete binary tree with an empty root and one element in every other node is an SMMH iff the ...
... When n > 1, the minimum element is in the left child of the root and the maximum is in the right child of the root. So the getM in and getM ax operations take O(1) time. It is easy to see that an n + 1-node complete binary tree with an empty root and one element in every other node is an SMMH iff the ...
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.