A mixed PDE-Monte Carlo approach for pricing credit default index swaptions

Abstract The problem of numerically pricing credit default index swaptions on a large number of names is considered. We place ourselves in a stochastic intensity framework, where Ornstein-Uhlenbeck-type correlated processes are used to model both firms’ distance to default and a macroeconomic state variable. Here the default of the firms’ follows the reduced-form approach and the (random) intensity of the default depends on the behavior of the diffusion processes. We propose here a numerical method based on both a Monte Carlo and a deterministic approach for solving PDEs by finite differences. Numerical tests demonstrate the efficiency and the robustness of the proposed procedure.     

Gaussian process regression for pricing variable annuities with stochastic volatility and interest rate

Decisions in Economics and Finance - In this paper, we investigate value and Greeks computation of a guaranteed minimum withdrawal benefit (GMWB) variable annuity, when both stochastic volatility...     

Fashionable subjects and complicity resistance: power,subjectification, and bounded resistance in the context of plus-size consumers

ABSTRACT

The relationship between consumer governability and consumer resistance has received increasing attention in consumer research, especially with regard to consumers’ physical bodies. However, a deeper understanding of how consumers juxtapose different forms and strategies of governability with respect to which discourses they embody or resist is necessary. Through an analysis of various sources of data, including interviews, fashion blogs, an online retailer’s website, and a fashion magazine, we explore the nuances between processes of subjectification and resistance in the fashion field by considering the multiple powers that act on overweight female consumers’ bodies. We demonstrate the complicated process by which these vulnerable consumers attempt to establish themselves as fashionable subjects as they move between adherence to expectations (biopower and subjectification) and resistance when faced with the impossibility of subjectification in a creative-agentic manner. Finally, we propose the idea of complicit resistance. This resistance only partially confronts the strategies of biopower in the process of subjectification because it is limited by a threshold imposed by biopower.     

Pricing Ratchet Equity-Indexed Annuities with Early Surrender Risk in a CIR++ Model

In this article we propose a lattice algorithm for pricing simple Ratchet equity-indexed annuities (EIAs) with early surrender risk and global minimum contract value when the asset value depends on the CIR++ stochastic interest rates. In addition we present an asymptotic expansion technique that permits us to obtain a first-order approximation formula for the price of simple Ratchet EIAs without early surrender risk and without a global minimum contract value. Numerical comparisons show the reliability of the proposed methods.     

Looking good or feeling good? The dual role of the body in the taste transformation process

ABSTRACT

This paper investigates the process of taste transformation in body-centered consumption fields and the role of the body in this process. Although previous studies have investigated taste acquisition, the body is still commonly understood only as the enactor of the practices in this process. By analyzing the context of healthy living, this study identifies the body as a lived-in trigger of taste transformation and the main place where change unfolds. It demonstrates how, after taste transformation, the body becomes a lived-in enactor of practices that display mastery of the tenets of a taste regime but is still captured in normative systems that animate the desire for change. The findings reveal that the body is both situated in normative beauty systems and an embodied enactor of practices and that by unveiling its dual role, it allows individuals to navigate distinction-over and distinction-between.     

Pricing American barrier options with discrete dividends by binomial trees

We are concerned with the problem of pricing plain-vanilla and barrier options with cash dividends in a piecewise lognormal model. In the plain-vanilla case, we offer a method with provides thin upper and lower bounds of the exact binomial price. In the barrier case, we provide an efficient algorithm based on suitable interpolation techniques. As by-product, we provide a new method for pricing American barrier options with continuous dividends.     

From the corset to Spanx: shapewear as a marketplace icon

This article presents the marketplace icon of shapewear—clothing that changes the shape of the human body by compressing or enhancing it. The trajectory of shapewear from the highly structured corset of the sixteenth century to the elastic Spanx of the 2000s evidences how this marketplace icon has come into being. Shapewear has materialized many evolving forms of beauty standards and gender roles as it participates in body-centered market assemblages. Market actors, such as manufacturers, designers, media, celebrities, activists, physicians, and consumers, translate shapewear to materialize intentions in the female body, shaping it accordingly. Whether promoting female autonomy or oppression, shapewear stands as a marketplace icon because it has maintained stable market appeal across time and body-centered market assemblages: it shapes the female body while symbolically articulating women’s roles.     

A moments and strike matching binomial algorithm for pricing American Put options

This paper is dedicated to a new binomial lattice method called Moments and Strike Matching (MSM) consistent with the Black–Scholes model in the limit of an infinite step number and such that the Strike K is equal to one of the final nodes of the tree. The method is very easy to implement, since the parameters are explicitly given. Asymptotic expansions are obtained for the MSM European Put price and delta, which motivates the use of Richardson extrapolation. A numerical comparison with the best lattice based numerical methods known in literature, shows the efficiency of the proposed algorithm for pricing and hedging American Put options.