Derivative

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  • Finance is one of the fastest growing areas in the modern banking and corporate world. This, together with the sophistication of modern financial products, provides a rapidly growing impetus for new mathematical models and modern mathematical methods. Indeed, the area is an expanding source for novel and relevant "real-world" mathematics. In this book, the authors describe the modeling of financial derivative products from an applied mathematician's viewpoint, from modeling to analysis to elementary computation.

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  • Nordic Fixed Income Derivatives are traded and cleared in a unique market structure. Trades in fixed income derivatives are reached through bilateral negotiations between buyers and sellers, and reported to NASDAQ OMX Derivatives Markets for central counterparty clearing. NASDAQ OMX Derivatives Markets becomes the counterparty to both the buyer and seller, i.e. central counterparty (CCP) clearing. This structure combines the advantages of a cleared market, with the flexibility and the secured liquidity of a market maker driven market....

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  • The credit derivatives market is booming and, for the first time, expanding into the banking sector which previously has had very little exposure to quantitative modeling. This phenomenon has forced a large number of professionals to confront this issue for the first time. Credit Derivatives Pricing Models provides an extremely comprehensive overview of the most current areas in credit risk modeling as applied to the pricing of credit derivatives.

    pdf400p tdh186 09-05-2012 177 82   Download

  • World Map Financial Derivatives Financial derivatives are financial instruments that are linked to a specific financial instrument or indicator or commodity, and through which specific financial risks can be traded in financial markets in their own right. Transactions in financial derivatives should be treated as separate transactions rather than as integral parts of the value of underlying transactions to which they may be linked. The value of a financial derivative derives from the price of an underlying item, such as an asset or index.

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  • A derivative is a contract that is used to transfer risk. There are many different underlying risks, ranging from fluctuations in energy prices to weather risks. Most derivatives, however, are based on financial securities such as common stocks, bonds and foreign exchange instruments.

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  • The increasing globalisation of financial markets led companies in many countries to apply from 2005 the IFRS principles. The main goal of IFRS is to safeguard investors by achieving uniformity and transparency in the accounting principles. One of the most challenging aspects of the IFRS rules is the accounting treatment of derivatives, a challenge that has strengthened the relationship between risk management and accounting.

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  • This dissertation addresses how the weather derivative hedges the corporate risk, how to price the indexed derivative as an exotic derivative instrument, and the implications of basis risk. These topics are summarized in an expanded uncertainty model. Under this framework, different hedging instruments for studying the optimal hedging portfolios are compared.

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  • In organic chemistry, a carbonyl group is a functional group composed of a carbon atom double-bonded to an oxygen atom: C=O. It is common to several classes of organic compounds, as part of many larger functional groups. The term carbonyl can also refer to carbon monoxide as a ligand in an inorganic or organometallic complex. Other organic carbonyls are urea and the carbamates, the derivatives of acyl chlorides chloroformates and phosgene, carbonate esters, thioesters, lactones, lactams, hydroxamates, and isocyanates.

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  • This book uses a blend of theory and practice to deliver the derivatives analysis portion of the CPA Candidate Body of Knowledge curriculum. The CBOK is the result of an extensive job analysis conducted periodically, most recently during 2000.

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  • Tài liệu tham khảo về thuật toán tính Derivation of Delta Rules

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  • ESSAYS ON PRICING FIXED INCOME DERIVATIVES AND RISK MANAGEMENT Moreover, voucher programs that encourage the entry of new competitors may produce more options for parents than even the most decentralized of district governance structures, reducing the potential for coordination failures and increasing the probability that even parents who value the peer group highly will choose effective schools.

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  • CORPORATE HEDGING: CURRENCY DERIVATIVES AND INTEREST RATE DERIVATIVES USE BEFORE AND AFTER SFAS 133 Market equilibrium is defined as a set of housing prices and a rule assigning families to districts on the basis of their income that is consistent with individual family preferences, taking all other families’ decisions as fixed:

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  • To verify hardware designs by model checking, circuit specifications are commonly expressed in the temporal logic CTL. Automatic conversion of English to CTL requires the definition of an appropriately restricted subset of English. We show how the limited semantic expressibility of CTL can be exploited to derive a hierarchy of subsets. Our strategy avoids potential difficulties with approaches that take existing computational semantic analyses of English as their starting point--such as the need to ensure that all sentences in the subset possess a CTL translation. ...

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  • In this paper, we present a novel approach which incorporates the web-derived selectional preferences to improve statistical dependency parsing. Conventional selectional preference learning methods have usually focused on word-to-class relations, e.g., a verb selects as its subject a given nominal class.

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  • In this study, a novel approach to robust dialogue act detection for error-prone speech recognition in a spoken dialogue system is proposed. First, partial sentence trees are proposed to represent a speech recognition output sentence. Semantic information and the derivation rules of the partial sentence trees are extracted and used to model the relationship between the dialogue acts and the derivation rules.

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  • In this paper, we show that local features computed from the derivations of tree substitution grammars — such as the identify of particular fragments, and a count of large and small fragments — are useful in binary grammatical classification tasks. Such features outperform n-gram features and various model scores by a wide margin. Although they fall short of the performance of the hand-crafted feature set of Charniak and Johnson (2005) developed for parse tree reranking, they do so with an order of magnitude fewer features. ...

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  • This work introduces a new approach to checking treebank consistency. Derivation trees based on a variant of Tree Adjoining Grammar are used to compare the annotation of word sequences based on their structural similarity. This overcomes the problems of earlier approaches based on using strings of words rather than tree structure to identify the appropriate contexts for comparison. We report on the result of applying this approach to the Penn Arabic Treebank and how this approach leads to high precision of error detection. ...

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  • We investigate full-scale shortest-derivation parsing (SDP), wherein the parser selects an analysis built from the fewest number of training fragments. Shortest derivation parsing exhibits an unusual range of behaviors. At one extreme, in the fully unpruned case, it is neither fast nor accurate. At the other extreme, when pruned with a coarse unlexicalized PCFG, the shortest derivation criterion becomes both fast and surprisingly effective, rivaling more complex weighted-fragment approaches.

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  • Since Kimball (73) parsing preference principles such as "Right association" (RA) and "Minimal attachment" (MA) are often formulated with respect to constituent trees. We present 3 preference principles based on "derivation trees" within the framework of LTAGs. We argue they remedy some shortcomings of the former approaches and account for widely accepted heuristics (e.g. argument/modifier, idioms...).

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  • The precise formulation of derivation for treeadjoining grammars has important ramifications for a wide variety of uses of the formalism, from syntactic analysis to semantic interpretation and statistical language modeling. We argue that the definition of tree-adjoining derivation must be reformulated in order to manifest the proper linguistic dependencies in derivations. The particular proposal is both precisely characterizable, through a compilation to linear indexed grammars, and computationally operational, by virtue of an efficient algorithm for recognition and parsing. ...

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