Can we conceive of disorder in a positive sense? We organize our desks, we discipline our children, we govern our polities--all with the aim of reducing disorder, of temporarily reversing the entropy that inevitably asserts itself in our lives. Going all the way back to Hesiod, we see chaos as a cosmogonic state of utter confusion inevitably reigned in by laws of regularity, in a transition from fearful unpredictability to calm stability. In contrast to a similar early Chinese notion of (...) chaotic disorder (luan), early Daoists posit a type of chaos that is to be cultivated rather than feared. This chaos is a primal disorder, akin to Hesiod's, but rather than threatening disruption, it is replete with creative potential and through spontaneous action yields orderly processes that proceed from the concretion of things to their dissolution and back, in a complex web of relations. This processional activity, although taken in one sense as cosmogonic, in a more important sense is immanent at every moment of activity. This article identifies terms of chaos, such as dun dun 沌 沌, hundun 渾 沌, and xingming 涬 溟 in Laozi and Zhuangzi and examines the passages in which they occur. Analyzing these passages brings us to a better understanding of "chaos" in a Chinese sense and to a familiarity with related terms in its semantic field, such as xuan 玄 (dark, mysterious), miao 妙 (subtle/profound), wei 微 (minute/inchoate), xiao 小 (small/minute), and pu 樸 (uncarved block). We see that the Daoist ideal is to return to a chaotic inchoateness by melding with the cosmos and there finding a repository of creative potential. This notion of chaos as the inchoate is used a springboard into understanding the origins of Daoist spontaneity. (shrink)

Introduction: The development of advanced sewage technologies empowers the industry to produce high-quality recycled water, which greatly influences human’s life and health. Thus, this study investigates the mechanism of individuals’ adoption of recycled water from the technology adoption perspective. -/- Methods: Employing the mixed method of structural equation modeling and artificial neural network analysis, we examined a research model developed from the extended Unified Theory of Acceptance and Use of Technology (UTAUT2) framework. To examine the research model, this study employs (...) a leading web-survey company (Sojump) to collect 308 valid samples from the residents in mainland China. -/- Results: The structural equation modeling results verified the associations between the six predictors (performance expectancy, effort expectancy, social influence, facilitating conditions, environmental motivation, and price value), individuals’ cognitive and emotional attitudes, and acceptance intention. The artificial neural network analysis validates and complements the structural equation modeling results by unveiling the importance rank of the significant determinants of the acceptance decisions. -/- Discussion: The study provides theoretical implications for recycled water research and useful insights for practitioners and policymakers to reduce the environmental hazards of water scarcity. (shrink)

Ratio, Volume 34, Issue 4, Page 303-311, December 2021.

In this paper, the author will explore the relationship between agency and intentionality of the artificial agent in the following seven ways.

Michael Weisberg’s account of scientific models concentrates on the ways in which models are similar to their targets. He intends not merely to explain what similarity consists in, but also to capture similarity judgments made by scientists. In order to scrutinize whether his account fulfills this goal, I outline one common way in which scientists judge whether a model is similar enough to its target, namely maximum likelihood estimation method. Then I consider whether Weisberg’s account could capture the judgments involved (...) in this practice. I argue that his account fails for three reasons. First, his account is simply too abstract to capture what is going on in MLE. Second, it implies an atomistic conception of similarity, while MLE operates in a holistic manner. Third, Weisberg’s atomistic conception of similarity can be traced back to a problematic set-theoretic approach to the structure of models. Finally, I tentatively suggest how these problems might be solved by a holistic approach in which models and targets are compared in a non-set-theoretic fashion. (shrink)

This article proposes a term structure model for dual-currency interest rate markets. The model assumes that volatility is a deterministic function of time alone. This volatility structure can reduce the dimension of the required state variables. An important special case is presented, which corresponds essentially to a Vasicek/Hull-White yield curve model in each currency. The model is very useful for pricing cross-currency derivatives.

This paper examines Aristotle’s vocabulary of pain, that is the differences and relations of the concepts of pain expressed by synonyms in the same semantic field. It investigates what is particularly Aristotelian in the selection of the pain-words in comparison with earlier authors and specifies the special semantic scope of each word-cluster. The result not only aims to pin down the exact way these terms converge with and diverge from each other, but also serves as a basis for further understanding (...) Aristotle’s philosophical conception of pain. (shrink)

This essay develops an inferential account of model explanation, based on Mauricio Suárez’s inferential conception of scientific representation and Alisa Bokulich’s counterfactual account of model explanation. It is suggested that the fact that a scientific model can explain is essentially linked to how a modeler uses an established model to make various inferences about the target system on the basis of results derived from the model. The inference practice is understood as a two-step activity, with the first step involving making (...) counterfactual statements about the model itself and the second step involving making hypothetical statements transferring over claims derived from the model onto the target. To illustrate how this two-step activity proceeds, an agent-based simulation model is discussed. (shrink)

I propose a dynamic causal approach to characterizing the notion of a mechanism. Levy and Bechtel, among others, have pointed out several critical limitations of the new mechanical philosophy, and pointed in a new direction to extend this philosophy. Nevertheless, they have not fully fleshed out what that extended philosophy would look like. Based on a closer look at neuroscientific practice, I propose that a mechanism is a dynamic causal system that involves various components interacting, typically nonlinearly, with one another (...) to produce a phenomenon of interest. (shrink)

Polger and Shapiro argue that their official recipe, a criterion for judging when the phenomenon of multiple realization exists, renders MR less widespread than its proponents have assumed. I argue that, although Polger and Shapiro’s criterion is a useful contribution, they arrive at their conclusion too hastily. Contrary to Polger and Shapiro, I claim that the phenomenon of multiple realization in the biological world, judged by their criterion, is not as scarce as they suggest. To show this, an updated official (...) recipe, namely a multiple mechanistic realization thesis, integrating Polger and Shapiro’s criterion with a compositional conception of realization, is developed. Then, three examples of varied kinds are examined, showing that cases of MR are not so hard to find in the biological world. (shrink)

Imagine that only the state can meet the need for housing but decides not to do so. Unsurprisingly, participants in a vignette experiment deem this scenario unjust. Hence, justice ratings increase when the living situation improves. To a lesser extent, this also holds beyond the need threshold, understood as the minimum amount necessary for a decent life. Surprisingly, however, the justice evaluation function is highly convex below this point. The resulting S-shaped curve is akin to the value function in prospect (...) theory, with the need threshold providing the point of reference and inflection. A control treatment without needs-information supports this interpretation. Needs-information furthermore compresses the perceived injustice of arbitrary inequality. As in prospect theory, such reference dependency suggests biases in judgment and decision making. A consequence may be that the lot of the poorest in society does not receive the attention it would otherwise get. (shrink)

Lack of a historical sense is the hereditary defect of philosophers. … So what is needed from now on is historical philosophizing, and with it the virtue of modesty.

This paper reexamines Theophrastus’ Metaphysics 11a18–26, an obscure testimony about Speusippus, the second head of the Platonic Academy. As opposed to the traditional interpretation, which takes this passage as Theophrastus’ polemic against Speusippus’ doctrine of value, I argue that he here dialectically takes advantage of, rather than launches an attack on, the Platonist. Based on this new reading, I further propose a revision and a reassessment of the ‘gloomy metaphysics’ of Speusippus which will shed new light on his ethics.

The debate over the value of pleasure among Eudoxus, Speusippus, and Aristotle is dramatically documented by the Nicomachean Ethics, particularly in the dialectical pros-and-cons concerning the so-called argument from contraries. Two similar versions of this argument are preserved at EN VII. 13, 1153b1–4, and X. 2, 1172b18–20. Many scholars believe that the argument at EN VII is either a report or an appropriation of the Eudoxean argument in EN X. This essay aims to revise this received view. It will explain (...) why these two arguments differ in premises, contents and purposes, and why these distinctions matter for a proper assessment of Aristotle’s understanding of pleasure and pain in general and his dialectical art in particular. (shrink)

E. Husserl’s reflections in Logical Investigations on “intentional feelings” and “non-intentional feelings” are significant in both his later ethical explorations and M. Scheler’s thought on ethics. Through the incorporation of the views of Husserl and Scheler, we find that the phenomenology of the intentional feeling-acts is not only the foundation of the non-formal ethics of values in Scheler’s phenomenology, but also at least the constitutive foundation of the ethics of Husserl’s first orientation.

Both motivational internalism and externalism need to explain why sometimes moral judgments tend to motivate us. In this paper, I argue that Dreier’ second-order desire model cannot be a plausible externalist alternative to explain the connection between moral judgments and motivation. I explain that the relevant second-order desire is merely a constitutive requirement of rationality because that desire makes a set of desires more unified and coherent. As a rational agent with the relevant second-order desire is disposed towards coherence, she (...) will have some motivation to act in accordance with her moral judgments. Dreier’s second-order desire model thus collapses into a form of internalism and cannot be a plausible externalist option to explain the connection between moral judgments and motivation. (shrink)

This paper presents a Least Square Monte Carlo approach for accurately calculating credit value adjustment (CVA). In contrast to previous studies, the model relies on the probability distribution of a default time/jump rather than the default time itself, as the default time is usually inaccessible. As such, the model can achieve a high order of accuracy with a relatively easy implementation. We find that the valuation of a defaultable derivative is normally determined via backward induction when their payoffs could be (...) positive or negative. Moreover, the model can naturally capture wrong or right way risk. (shrink)

Plato’s nephew Speusippus has been widely accepted as the historical person behind the mask of the anti-hedonists in Phlb. 42b–44c. This hypothesis is supported by, inter alia, the link between Socrates’ char- acterization of them as δυσχερεῖς and the frequent references of δυσχέρεια as ἀπορία to Speusippus in Aristotle’s Metaphysics MN. This study argues against assigning any privileged status to Speusippus in the assimilation of δυσχέρεια with ἀπορία. Instead, based on a comprehensive survey of how δυσχερ- words were used in (...) classical antiquity, the semantic shift of δυσχέρεια can be explained in an alternative way. (shrink)

In this thesis, I explore motivational internalism and externalism, which concern the relationship between moral judgments and motivation. I first introduce the basic terms and different forms of internalism and externalism, including the externalist objections to internalism based on the famous counterexamples. I then argue against externalism by defending and developing Michael Smith’s fetishism argument. I not only respond to the externalist objections to the fetishism argument but also further argue against different externalist explanations of moral motivation that intend to (...) avoid the fetishism charge. Finally, I re-examine different forms of internalism in order to argue for a new form of internalism that can better preserve our internalist intuitions whilst accommodating the externalist counterexamples. My ultimate conclusion will be that the most plausible form of internalism to accept is constitutional, unconditional, relatively strong, direct internalism that is formulated in terms of dispositional desires. (shrink)

Based on the dispute between Protagoras and Socrates on the origin of ethics, one can ask the question of whether the principle of ethics is reason orfeeling/emotion, or whether ethics is grounded on reason or feeling/emotion. The development of Kant’s thoughts on ethics shows the tension between reason and feeling/emotion. In Kant’s final critical ethics, he held to a principle of “rational a priori.” On the one hand, this is presented as the rational a priori principle being the binding principle (...) of judgment. On the other hand, it is presented as the doctrine of “rational fact” as the ultimate argument of his ethics. Husserl believed that Kant’s doctrine of a rational a priori totally disregarded the a priori essential laws of feeling. Like Husserl, Scheler criticized Kant’s doctrine of a rational a priori, and therefore developed his own theory of an “emotional a priori”. Both of them focused their critiques on the grounding level of ethics. Scheler, however, did not follow Husserl all the way, but criticized him and reflected on his thoughts. At last, he revealed the primary status of a phenomenological material ethics of value. (shrink)

This paper aims to clarify Plato’s notions of the natural and the neutral state in relation to hedonic properties. Contra two extreme trends among scholars—people either conflate one state with the other, or keep them apart as to establish an unsurmount- able gap between both states, I argue that neither view accurately reflects Plato’s position because the natural state is real and can coincide with the neutral state in part, whereas the latter, as an umbrella term, can also be realized (...) in a non-natural condition. The clarification of the relation between the two states will shed light on the degree to which Plato admits and constrains the hedonic value for a good human life; further, this will call attention to some (not well explored) parallel thoughts in the medical tradition to which Plato is indebted. (shrink)

This study aims to provide a coherent new interpretation of the notorious anti-hedonism of Speusippus, Plato’s nephew and the second scholarch of the Academy, by reconsidering all the relevant sources concerning his attitude toward pleasure—sources that seem to be in tension or even incompatible with each other. By reassessing Speusippus’ anti-hedonism and Aristotle’s response, it also sheds new light on the Academic debate over pleasure in which he and Aristotle participated: This debate is not merely concerned with the truth and (...) credibility of the arguments for or against hedonism; there are also notable differences among the participants in their understanding of the practical significance of evaluating hedonic experiences. This new interpretation allows us to better understand Aristotle’s selective representation of the intra-school debate and some neglected features of his responses to different interlocutors. (shrink)

Les questions les plus fondamentales de la phénoménologie du sentir de Max Scheler concernent la place de l’intentionnalité dans la phénoménologie du sentir et la structuration de la sphère émotionnelle. Dans la première section, nous nous focaliserons avant tout sur la différence entre les sentiments non intentionnels et le sentir intentionnel, en comparant sur ce point les positions de Scheler et de Husserl. En effet, Scheler critique ces deux thèses fondamentales de Husserl: 1) les actes affectifs et leurs corrélats (« (...) valeurs ») doivent être associés aux représentations et à leurs corrélats (« choses », Sachen ); 2) les actes affectifs, en tant qu’actes non objectivants, sont fondés dans les actes objectivants. D’une part, pour Scheler, la valeur est un objet unique en son genre du sentir des valeurs, et le sentir intentionnel est donc un acte indépendant. D’autre part, Scheler a d’abord entrepris de dépasser la séparation entre acte objectivant et acte non objectivant. Dans ce contexte, la recherche actuelle consacrée à Scheler se heurte à de nombreuses difficultés relatives à la structuration de la sphère émotionnelle en rapport avec la hiérarchie des modalités axiologiques et avec l’a priori corrélationnel. Dans la deuxième section, nous expliquerons d’abord les idées de Scheler, puis en discuterons les difficultés. C’est par le « commerce vivant » avec le monde dans le sentir intentionnel et dans les actes émotionnels intentionnels, par les corrélats intentionnels (valeurs matérielles), que Scheler se sépare du formalisme en éthique. A travers un « apriorisme matériel » qui présente trois espèce d’a priori (a priori axiologique, a priori émotionnel et a priori corrélationnel), l’éthique matérielle phénoménologique des valeurs de Sche­ler est guidée par l’esprit d’un « objectivisme et absolutisme éthique rigoureux ». (shrink)

The LIBOR Market Model has become one of the most popular models for pricing interest rate products. It is commonly believed that Monte-Carlo simulation is the only viable method available for the LIBOR Market Model. In this article, however, we propose a lattice approach to price interest rate products within the LIBOR Market Model by introducing a shifted forward measure and several novel fast drift approximation methods. This model should achieve the best performance without losing much accuracy. Moreover, the calibration (...) is almost automatic and it is simple and easy to implement. Adding this model to the valuation toolkit is actually quite useful; especially for risk management or in the case there is a need for a quick turnaround. (shrink)

Equity-linked securities with a guaranteed return become popular in a volatile market environment. This paper presents a new model for valuing guaranteed equity-linked notes. We consider a security whose value depends on the performance of a basket of equities averaged over certain points in time, but that is floored by a guaranteed amount. We show that the security’s price is given by the sum of the guaranteed amount plus the price of an Asian style option on the basket above. The (...) model provides analytical formulas for the security’s price as well as for corresponding hedge ratios; these respective formulas appear to be accurate over a wide range of underlying security parameter values, based on numerical testing against a Monte Carlo benchmark, Finally, we apply our method to value a type of segregated fund with a maturity guarantee. (shrink)

Nearly thirty years ago, Robert Alexy in his book The Concept and Validity of Law as well as in other early articles raised non-positivistic arguments in the Continental European tradition against legal positivism in general, which was assumed to be held by, among others, John Austin, Hans Kelsen and H.L.A. Hart. The core thesis of legal positivism that was being discussed among contemporary German jurists, just as with their Anglo- American counterparts, is the claim that there is no necessary connection (...) between law and morality. Robert Alexy has argued, however, that the law, besides consisting conceptually of elements of authoritative issuance and social efficacy, necessarily lays a claim to substantial correctness, which is derived from analytical arguments. Furthermore, if this claim to substantial correctness necessarily requires the incorporation of moral elements into law, then the ‘necessary connection thesis’, as defended by non-positivism, can be justified. Some of the most significant objections to this sort of claim, stemming from the Anglo-American world, are those introduced by Joseph Raz. In his ‘Reply’ to Robert Alexy, Raz raises at least three interesting criticisms, including, first, the ambiguity of ‘legal theory in the positivistic tradition’, second, the indeterminate formulations of the ‘separation thesis’, and, third, the necessary claim of law to legitimate authority as a moral claim. As a point of departure, I will argue that Raz’s three criticisms are misleading. For they do not enhance our understanding of the genuine compatibility or incompatibility between legal positivism and non-positivism. Despite the frequently reformulated theses of legal positivism and the various kinds of opponents responding thereto, the essential divergence between legal positivism and non-positivism was and remains the answer to the question of the relation between law and morality. Furthermore, I will clarify that in the strictest sense there can be three and only three logically possible positions concerning the relation between law and morality: the connection between them is either necessary, or impossible (i. e. they are necessarily separate), or contingent (i. e. they are neither necessarily connected nor necessarily separate). The first position is non-positivistic, while the latter two positions are, indeed, both positivistic, but in different forms: one may be called ‘exclusive’ legal positivism, the other ‘inclusive’ legal positivism. I will continue by showing that these three positions stand to one another in the relation of contraries, not contradictories, and that, taken together, they exhaust the logically possible positions concerning the relation between law and morality, never mind the tradition or authority from which these positions are derived. Raz mentions, however, many changeable formulations of the separation thesis, which even leads him to acknowledge ‘necessary connections between law and morality’. One who is trying to understand legal positivism would no doubt be puzzled by this claim. Nevertheless, I will argue that this is an alternative strategy of legal positivism, and it points to naturalistically oriented view. Although this necessary separation between law and morality, understood naturalistically, strikes one as strengthening the separation, in the end it leads to a weakened notion of necessity. This weakened necessary separation thesis, however, cannot be justified through the so-called claim of the law to legitimate authority, defended by Raz, for it is difficult to answer the question of whether a normally justified but factual authority can gain legitimate authority. Finally, the necessary connection between law and morality in a strong sense can still be justified by the claim of law to correctness, as per Alexy’s argument. (shrink)

The concept of human dignity has been criticized as either too thick or too thin. However, according to the non-positivistic standpoint, the legal normativity of human dignity can be justified and thus strengthened by means of its moral correctness. From the individual perspective, Mencius’ understanding of human dignity as an intrinsic value and Kant’s formula of ‘man as an end in itself’ can be adequately understood based on the differentiation of, as well as the connection between, principium diiudicationis and principium (...) executionis, between will and choice, and between homo phaenomenon and homo noumenon (that is, ‘humanity in the personality’). From the social perspective, since the dual dimensions of the individual and the social person are both fictive constructions, even Radbruch, once as a supporter of social law, has not replaced the concept of ‘legal person’ and, in the post-War period, acknowledges individualistic human dignity as the criterion for applying the famous ‘disavowal formula’. On the one hand, human dignity shows at least a weak normative character, which requires, firstly, balancing between the exercise of state powers and the constitutional review under the guidance of the dual dimensions of man and, secondly, optimization of the principle of human dignity in individual cases. On the other hand, through the necessary connection between the concept of dignity and that of personality, human dignity can exhibit a strong normative character, which unavoidably requires a metaphysical justification. (shrink)

El concepto de dignidad humana ha sido considerado o demasiado denso o demasiado delgado. Sin embargo, desde el punto de vista del no-positivismo, la normatividad jurídica de la dignidad humana puede ser justificada y reforzada por medio de su corrección moral. Desde una perspectiva individual, la comprensión de Mencio sobre la dignidad humana como un valor intrínseco y el imperativo categórico de Kant (el ser humano como un fin en sí mismo) podrían ser adecuadamente comprendidos con base en la diferencia (...) (así como la conexión) entre el principium diiudicationis y el principium executionis, entre voluntad y “elección”; así como entre homo phaenomenon y homo noumenon (es decir, humanidad en la persona de los seres humanos). Desde una perspectiva social, las dimensiones del individuo y la persona social son construcciones ficticias; inclusive Radbruch -alguna vez defensor del derecho social- no remplazó el concepto de “persona jurídica” y, en el periodo de posguerra, reconoció la dignidad humana individual como el criterio para aplicar su famosa “fórmula de Radbruch". Por una parte, la dignidad humana muestra cuando menos un carácter normativo débil, el cual requiere, primero, ponderar entre el ejercicio de los poderes estatales y el control de constitucionalidad bajo la guía de la dimensión dual del ser humano y, segundo, la optimización del principio de la dignidad humana en casos particulares. Por otra, a través de la conexión necesaria entre el concepto de dignidad y personalidad, la dignidad humana puede exhibir un carácter normativo fuerte, el cual requiere inevitablemente una justificación metafísica. (shrink)

Die Disziplin, die als „Juristische Methodenlehre“ bezeichnet wird, ist gegenwärtig chinesischen Juristen nicht fremd, sie stammt aber ursprünglich aus dem deutschen Sprachraum. In der Literatur finden sich auch verwandte Ausdrücke wie „Juristische Methodologie“, „Juristische Methodik“ bzw.„Methodenlehre der Rechtswissenschaft“. Seit Anfang des 21. Jahrhunderts wurde ihre Rezeption in China durch zwei Übersetzungen gekennzeichnet, nämlich die „rechtswissenschaftliche Methodenlehre“ (faxue fangfalun) und die „rechtliche Methodenlehre“ (falü fangfalun). Neben der herkömmlichen Methodenlehre entwickelte sich auch eine jüngere Theorie der juristischen Argumentation, die die weltweite Aufmerksamkeit (...) sogar außerhalb Deutschlands auf sich lenken konnte und deren Bestand in China einen ganz selbständigen Abschnitt verdient. Als Hintergrund dafür soll von vornherein ein Blick auf die Entwicklungen der chinesischen Rechtstheorie und Rechtsphilosophie nach 1978 und demzufolge auf die Entstehung der Methodenfrage in der chinesischen Rechtswissenschaft geworfen werden. (shrink)

A combinatorial analysis of intrinsicality takes intrinsic properties to be independent of accompaniment: a property is intrinsic only if it is possible for a lonely or an accompanied thing to have it or lack it (I). Cameron argues that the combinatorial analysis in Langton & Lewis (1998) faces an epistemic circularity, which makes (I) suspicious. In this paper, I examine two approaches to free the combinatorial analyses from the circularity and find them all fail. Then I provide an outline of (...) an argument for (I) by appealing to the grounding analyses of intrinsicality, which shows an advantage of the grounding analyses over the combinatorial ones. (shrink)

This article presents a new methodology for pricing and hedging commodity derivatives. A generic model calibration is provided. The calibration procedure consists of an offline step where the mean reversion rates, the ratio of the long and short factor volatilities and the correlation between the long and short factors are determined via historical analysis. This offline step is performed relatively infrequently. There’s also an online step of the calibration which happens every time the model is used to price an option (...) or to simulate price paths. Empirical study shows that the model is quite accurate. (shrink)

Chinese international students who studied in the United States received “double stigmatization” from American and Chinese authorities because of the “political othering” tactic during COVID-19. The research used a phenomenological approach to examine why and how specifically the transnational identity of Chinese international students in the United States shifted during the double stigmatization. The researcher conducted a total of three rounds of interviews with 15 Chinese international students who studied in the United States and returned to China between 2018 and (...) 2020, which culminated in 45 interviews through a longitudinal study to probe the transnational identities of this population before and during the double stigmatization; the study also examined how the mindsponge mechanism worked during the identity shifts and the interplay among stigmatization, transnational identity shifts, and the mindsponge mechanism. The study concluded that before COVID-19, Chinese international students had been stigmatized in both China and the United States. (shrink)

This article argues for the explanatory autonomy of psychology drawing on cases from the multilevel modeling practice. This is done by considering a multilevel linear model in personality and social psychology, and discussing its philosophical implications for the reductionism debate in philosophy of psychology. I argue that this practice challenges the reductionist position in philosophy of psychology, and supports the explanatory autonomy of psychology.

The one-side defaultable financial derivatives valuation problems have been studied extensively, but the valuation of bilateral derivatives with asymmetric credit qualities is still lacking convincing mechanism. This paper presents an analytical model for valuing derivatives subject to default by both counterparties. The default-free interest rates are modeled by the Market Models, while the default time is modeled by the reduced-form model as the first jump of a time-inhomogeneous Poisson process. All quantities modeled are market-observable. The closed-form solution gives us a (...) better understanding of the impact of the credit asymmetry on swap value, credit value adjustment, swap rate and swap spread. (shrink)

This paper attempts to assess the economic significance and implications of collateralization in different financial markets, which is essentially a matter of theoretical justification and empirical verification. We present a comprehensive theoretical framework that allows for collateralization adhering to bankruptcy laws. As such, the model can back out differences in asset prices due to collateralized counterparty risk. This framework is very useful for pricing outstanding defaultable financial contracts. By using a unique data set, we are able to achieve a clean (...) decomposition of prices into their credit risk factors. We find empirical evidence that counterparty risk is not overly important in credit-related spreads. Only the joint effects of collateralization and credit risk can sufficiently explain unsecured credit costs. This finding suggests that failure to properly account for collateralization may result in significant mispricing of financial contracts. We also analyze the difference between cleared and OTC markets. (shrink)

During the lifetime of a structured product, payment events and cancellation events mainly affect the value of the option. This article presents a model for pricing generic cancellable option. The model is used to build most common kinds of cancellation schedules and compute the cancellation probability.

This paper argues that the reduced-form jump diffusion model may not be appropriate for credit risk modeling. To correctly value hybrid defaultable financial instruments, e.g., convertible bonds, we present a new framework that relies on the probability distribution of a default jump rather than the default jump itself, as the default jump is usually inaccessible. As such, the model can back out the market prices of convertible bonds. A prevailing belief in the market is that convertible arbitrage is mainly due (...) to convertible underpricing. Empirically, however, we do not find evidence supporting the underpricing hypothesis. Instead, we find that convertibles have relatively large positive gammas. As a typical convertible arbitrage strategy employs delta-neutral hedging, a large positive gamma can make the portfolio highly profitable, especially for a large movement in the underlying stock price. (shrink)

This article presents a new model for valuing a credit default swap (CDS) contract that is affected by multiple credit risks of the buyer, seller and reference entity. We show that default dependency has a significant impact on asset pricing. In fact, correlated default risk is one of the most pervasive threats in financial markets. We also show that a fully collateralized CDS is not equivalent to a risk-free one. In other words, full collateralization cannot eliminate counterparty risk completely in (...) the CDS market. (shrink)

This paper presents a new model for valuing hybrid defaultable financial instruments, such as, convertible bonds. In contrast to previous studies, the model relies on the probability distribution of a default jump rather than the default jump itself, as the default jump is usually inaccessible. As such, the model can back out the market prices of convertible bonds. A prevailing belief in the market is that convertible arbitrage is mainly due to convertible underpricing. Empirically, however, we do not find evidence (...) supporting the underpricing hypothesis. Instead, we find that convertibles have relatively large positive gammas. As a typical convertible arbitrage strategy employs delta-neutral hedging, a large positive gamma can make the portfolio highly profitable, especially for a large movement in the underlying stock price. (shrink)

This paper presents an analytical model for valuing interest rate swaps, subject to bilateral counterparty credit risk. The counterparty defaults are modeled by the reduced-form model as the first jump of a time-inhomogeneous Poisson process. All quantities modeled are market-observable. The closed-form solution gives us a better understanding of the impact of the credit asymmetry on swap value, credit value adjustment, swap rate and swap spread.

Objectives: The growing rate of retraction of scientific publications has attracted much attention within the academic community, but there is little knowledge about the nature of such retractions in schizophrenia-related research. This study aimed to analyze the characteristics of retractions of schizophrenia-related publications.

In this essay, we will follow Tang Junyi’s lead in exploring issues related to Chinese diaspora and Chinese philosophy. While we largely endorse Tang’s call for overseas Chinese to establish themselves in their adopted lands, we will argue for a more nuanced view on the identity of Chinese people outside China: they are not marginalized individuals scattered out of “homeland” China, rather they are people legitimately established in their own respective countries. In this connection, we will also advance a view (...) of future Chinese philosophy as a world philosophy that takes roots in China as well as in the world at large. In our view, although Chinese immigrant thinkers in the past century have played a major role in promoting Chinese philosophy outside China, the importance of such a role is likely to decline along with the success of Chinese philosophy becoming a world philosophy. (shrink)