This sixth volume of Collected Papers includes 74 papers comprising 974 pages on (theoretic and applied) neutrosophics, written between 2015-2021 by the author alone or in collaboration with the following 121 co-authors from 19 countries: Mohamed Abdel-Basset, Abdel Nasser H. Zaied, Abduallah Gamal, Amir Abdullah, Firoz Ahmad, Nadeem Ahmad, Ahmad Yusuf Adhami, Ahmed Aboelfetouh, Ahmed Mostafa Khalil, Shariful Alam, W. Alharbi, Ali Hassan, Mumtaz Ali, Amira S. Ashour, Asmaa Atef, Assia Bakali, Ayoub Bahnasse, A. A. Azzam, Willem K.M. Brauers, Bui (...) Cong Cuong, Fausto Cavallaro, Ahmet Çevik, Robby I. Chandra, Kalaivani Chandran, Victor Chang, Chang Su Kim, Jyotir Moy Chatterjee, Victor Christianto, Chunxin Bo, Mihaela Colhon, Shyamal Dalapati, Arindam Dey, Dunqian Cao, Fahad Alsharari, Faruk Karaaslan, Aleksandra Fedajev, Daniela Gîfu, Hina Gulzar, Haitham A. El-Ghareeb, Masooma Raza Hashmi, Hewayda El-Ghawalby, Hoang Viet Long, Le Hoang Son, F. Nirmala Irudayam, Branislav Ivanov, S. Jafari, Jeong Gon Lee, Milena Jevtić, Sudan Jha, Junhui Kim, Ilanthenral Kandasamy, W.B. Vasantha Kandasamy, Darjan Karabašević, Songül Karabatak, Abdullah Kargın, M. Karthika, Ieva Meidute-Kavaliauskiene, Madad Khan, Majid Khan, Manju Khari, Kifayat Ullah, K. Kishore, Kul Hur, Santanu Kumar Patro, Prem Kumar Singh, Raghvendra Kumar, Tapan Kumar Roy, Malayalan Lathamaheswari, Luu Quoc Dat, T. Madhumathi, Tahir Mahmood, Mladjan Maksimovic, Gunasekaran Manogaran, Nivetha Martin, M. Kasi Mayan, Mai Mohamed, Mohamed Talea, Muhammad Akram, Muhammad Gulistan, Raja Muhammad Hashim, Muhammad Riaz, Muhammad Saeed, Rana Muhammad Zulqarnain, Nada A. Nabeeh, Deivanayagampillai Nagarajan, Xenia Negrea, Nguyen Xuan Thao, Jagan M. Obbineni, Angelo de Oliveira, M. Parimala, Gabrijela Popovic, Ishaani Priyadarshini, Yaser Saber, Mehmet Șahin, Said Broumi, A. A. Salama, M. Saleh, Ganeshsree Selvachandran, Dönüș Șengür, Shio Gai Quek, Songtao Shao, Dragiša Stanujkić, Surapati Pramanik, Swathi Sundari Sundaramoorthy, Mirela Teodorescu, Selçuk Topal, Muhammed Turhan, Alptekin Ulutaș, Luige Vlădăreanu, Victor Vlădăreanu, Ştefan Vlăduţescu, Dan Valeriu Voinea, Volkan Duran, Navneet Yadav, Yanhui Guo, Naveed Yaqoob, Yongquan Zhou, Young Bae Jun, Xiaohong Zhang, Xiao Long Xin, Edmundas Kazimieras Zavadskas. (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)

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

By separating the general concept of truth into syntactic truth and semantic truth, this article proposes a new theory of truth to explain several paradoxes like the Liar paradox, Card paradox, Curry’s paradox, etc. By revealing the relationship between syntactic /semantic truth and being-nothing-becoming which are the core concepts of dialectical logic, it is able to formalize dialectical logic. It also provides a logical basis for complexity theory by transferring all reasoning into a directed (cyclic/acyclic) graph which explains both paradoxical (...) and paradox-free reasoning. The different structure between cyclic graphs and acyclic graphs is the key to understanding paradoxes. By explaining the immanent between logic, paradox, and cellular automata, it also illustrates dialectical logic as ontology. (shrink)

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.

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)

Machery et al. presented data suggesting the existence of cross-cultural variation in judgments about the reference of proper names. In this paper, we examine a previously overlooked confound in the subsequent studies that attempt to replicate the results of Machery et al. using East Asian languages. Machery et al. and Sytsma et al. claim that they have successfully replicated the original finding with probes written in Chinese and Japanese, respectively. These studies, however, crucially rely on uses of articleless, ‘bare noun (...) phrases’ in Chinese and Japanese, which according to the linguistic literature are known to be multiply ambiguous. We argue that it becomes questionable whether the extant studies using East Asian languages revealed genuine cross-cultural variation when the probes are reevaluated based on a proper linguistic understanding of Chinese and Japanese bare noun phrases and English definite descriptions. We also present two experiments on native Japanese speakers that controlled the use of ambiguous bare noun phrases, the results of which suggest that the judgments of Japanese speakers concerning the reference of proper names may not diverge from those of English speakers. (shrink)

It may be a deep, yet often ignored, human need for a human being to have value. In this paper, I firstly point out the problem of value, which is, roughly, how to find a way for a human being to have value. Then, I point out the problem of existence, which is a related problem, which is, roughly, how to affirm existence in an absolute manner. After that, I propose a solution to the problem of existence, which is a (...) new way of thinking, which starts with a pure concept of existence, or in other words, a pure concept of "there be". This new way of thinking itself may be worthy of further philosophical research, especially metaphysical research. Finally, in this new way of thinking, I propose a solution to the problem of value, of which the main part is a metaphysical argument for that every entity has value. This paper may help to address the deep, yet often ignored, human need for a human being to have value. (shrink)

Most research on image schema examined the meaning configuration of words connotation. However, previous studies of adjectives are meaningful in cognitive linguistics because they provide insight into how those adjectives are involved with psychological movement. In this sense, from the perspective of cognitive linguistics, one’s conceptualization and cognition are closely associated with their bodily experience and surroundings; adjectives are no exception. The varieties of transformations of image schemas lay the foundation for the conception and perception. Accordingly, this study is an (...) investigation into the perception of adjectives and psychological activities associated with image schema. Data in this study come from adjectives in the novel The Great Gatsby, which were tagged and calculated with the help of software Python and the NLTK package. The results demonstrate that a significant amount of adjectives were used in the novel. Moreover, Nick’s psychological activities changed significantly from the SOURCE to the DESTINATION schematic stage, which is uncovered by his expression of adjectives. Finally, the results further suggest that transformations of image schema as BALANCE, CONTAINER, and PATH work together to motivate one’s linguistic expression of adjectives. The present findings have several implications for research on lexicons and literacy interpretation from cognitive linguistics. (shrink)

Many actions have instrumental aims, in which we move our bodies to achieve a physical outcome in the environment. However, we also perform actions with epistemic aims, in which we move our bodies to acquire information and learn about the world. A large literature on action recognition investigates how observers represent and understand the former class of actions; but what about the latter class? Can one person tell, just by observing another person’s movements, what they are trying to learn? Here, (...) 5 experiments explore epistemic action understanding. We filmed volunteers playing a ‘physics game’ consisting of two rounds: Players shook an opaque box and attempted to determine (i) the number of objects hidden inside, or (ii) the shape of the objects inside. Then, independent subjects watched these videos and were asked to determine which videos came from which round: Who was shaking for number and who was shaking for shape? Across several variations, observers successfully determined what an actor was trying to learn, based only on their actions (i.e., how they shook the box)—even when the box’s contents were identical across rounds. These results demonstrate that humans can infer epistemic intent from physical behaviors, adding a new dimension to research on action understanding. (shrink)

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)

Ang papel ay paglalagom ng itinuturing na pinakamahalagang yugto ng buhay ni José Rizal—ang kanyang pagkakatapon sa Dapitan, sa lente ng konseptong “bagani” ng ating mga ninuno. Sa pagbanggit sa lang nauna nang pag-aaral ukol kay Rizal, ipapakitang kung papaanong ang yugto sa Dapitan ay ang katuparan ng kanyang mga layunin sa La Liga Filipina, na kanyang isinabuhay kasama ang bayan. Sa lente ng kasalukuyang pandemyang COVID 19, makikita natin na tila naranasan din ni Rizal sa kanyang pagkakatapon ang ilang (...) bagay na ating dinaranas ngayon, na tila siya isang frontliner na nasa lockdown, inilagay sa kuwarentena, nag-homeschooling, nagkaroon ng lockdown sickness at namahagi ng ayudang pangkabuhayan sa mga mamamayan ng isang natutulog na bayan upang ito ay sumiglang muli. Nawa ay maging inspirasyon sa bayan na anuman ang hamon at mga balakid, walang makapipigil sa isang Pilipino na magsilbi sa bayan gamit ang kanyang mga talento at manatiling liwanag ng katotohanan at kaalaman. (shrink)

Introduction: How enterprises should practice digitalization transformation to effectively improve green innovation performance is related to the sustainable development of enterprises and the economy, which is an important issue that needs to be clarified. -/- Methods: This research uses the perspective of production and operation to deconstruct the digitalization of industrial listed enterprises from 2016 to 2020 into six features. A variety of machine learning methods are used, including DBSCAN, CART and other algorithms, to specifically explore the complex impact of (...) enterprise digitalization feature configuration on green innovation performance. -/- Conclusions: (1) The more advanced digitalization transformation the enterprises have, the more possibly the high green innovation performance can be achieved. (2) Digitalization innovation is the digitalization element with the strongest influence ability on green innovation performance. (3) As the advancement of digitalization transformation, enterprises should also focus on digitalization innovation input and digitalization operation output, otherwise they should pay attention to digitalization management and digitalization operation output. -/- Discussion: The conclusions of this research will help enterprises understand their digitalization competitiveness and how to practice digitalization transformation to enhance green innovation performance, and also help the government to formulate policies to promote the development of green innovation in the digital economy era. (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)

This paper explores the connections between being Chinese in various senses and the study of Chinese philosophy.

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)

Reading have always been a very important activity, which further paves the way for excellence in life both academically and non-academically. It is a fundamental skill that unlocks learning and provides individual’s benefits. Reading habit and attitude become an interest topic to discuss because it can be the key success in learning. This study aimed to examine the reading habits and attitudes of big city residents in Pakistan towards books with Chinese themes, available in Chinese, English, or Urdu language. Using (...) a survey design and simple random sampling, data was collected from 300 respondents through a pre-tested questionnaire based on Smith's (1991) Adult Survey of Reading Attitude. The study analyzed data from 11 online bookstores and publishers in Pakistan used to provide recent insights. We used two keywords (China, Chinese: چائ نا , چائ ن یز ) to collect data from online bookstores. The results of the study, with a reliability test score of 0.79, showed that the participants had a positive attitude towards reading Chinese themed books. The findings of this study can inform the development of educational programs to enhance reading skills and cultural understanding for users of Chinese-themed books in Pakistan. (shrink)

Many moral error theorists reject moral realism on the grounds that moral realism implies the existence of categorical normativity, yet categorical normativity does not exist. Call this the Metaphysical Argument. In response, some moral realists have emphasized a parity between moral normativity and epistemic normativity. They argue that if one kind of normativity is rejected, then both must be rejected. Therefore, one cannot be a moral error theorist without also being an epistemic error theorist. Call this the Parity Argument. In (...) this paper, we address three possible responses to the Parity Argument from moral error theorists: (1) accept the parity but still reject epistemic error theory, (2) reject the parity, (3) accept the parity and defend epistemic error theory. We argue that there are problems with each of these responses, so the Parity Argument stands as a strong counterargument to the Metaphysical Argument. We conclude by drawing some lessons for any future challenges to the Parity Argument. (shrink)

This paper presents a new model for pricing OTC derivatives subject to collateralization. It allows for collateral posting adhering to bankruptcy laws. As such, the model can back out the market price of a collateralized contract. This framework is very useful for valuing outstanding derivatives. Using a unique dataset, we find empirical evidence that credit risk alone is not overly important in determining credit-related spreads. Only accounting for both collateral arrangement 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 derivatives. We also empirically gauge the impact of collateral agreements on risk measurements. Our findings indicate that there are important interactions between market and credit risk. (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)

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 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)

This article presents a comprehensive framework for valuing financial instruments subject to credit risk. In particular, we focus on the impact of default dependence on asset pricing, as correlated default risk is one of the most pervasive threats in financial markets. We analyze how swap rates are affected by bilateral counterparty credit risk, and how CDS spreads depend on the trilateral credit risk of the buyer, seller, and reference entity in a contract. Moreover, we study the effect of collateralization on (...) valuation, since the majority of OTC derivatives are collateralized. The model shows that a fully collateralized swap is risk-free, whereas a fully collateralized CDS is not equivalent to a risk-free one. (shrink)

Objective: This study aimed to investigate and compare the effects of tubular gastroesophageal anastomosis and traditional gastroesophageal supra-arch anastomosis on the postoperative lung function of patients with esophageal carcinoma. -/- Methods: A total of 90 patients with middle-lower segmental esophageal cancer admitted in our hospital from August 2014 to August 2016 were recruited to our study. They were randomly divided into two groups. The observation group underwent tubular gastroesophageal anastomosis, whereas the control group underwent traditional gastroesophageal supra-arch anastomosis. Changes in (...) the postoperative pulmonary function were compared between the two groups. -/- Results: The numbers of CD4 cells (27.45 ± 5.48), CD8 cells (35.97 ± 7.16), and natural killer cells (20.79 ± 2.49), as well as the CH4/CD8 ratio (0.69 ± 0.18), of the patients in the observation group were significantly higher than the (38.45 ± 5.98), (20.45 ± 6.41), (39.44 ± 3.49), and (1.31 ± 0.48), respectively, of the patients in the control group. The differences between the two groups were statistically significant (P<0.05). By contrast, the preoperative forced expiratory volume in 1 s (FEV1), forced vital capacity (FVC), and maximum voluntary ventilation (MVV) did not significantly differ between the two groups (P>0.05). The FEV1 (1.76 ± 0.41 L), FVC (2.33 ± 0.32 L), and MVV (33.7 ± 5.2 L/min) of the observation group were significantly higher than those of the control group (P<0.05). Meanwhile, the complication rate of the observation group was 42.2%, which was significantly lower than that of the control group (75.6%) (P<0.05). -/- Conclusion: Tubular gastroesophageal anastomosis can benefit patients with esophageal cancer by significantly reducing the adverse effects on their postoperative pulmonary function and control the occurrence of postoperative complications. (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)

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)

The No-Miracle Argument (NMA) is one of the main argumentation frameworks of scientific realism. Many rebuttals have been offered by antirealists around NMA, the important of which are the Pessimistic Meta-induction (PMI), the Circular Argument, and the Underdetermination of Theory by Evidence. This essay attempts to defend NMA and scientific realism by refuting these three major refutations.

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)

Since the mid to late 1970s, the traditional paradigm of cognitive theory has been increasingly questioned in the fields of philosophy, psychology, cognitive science, and artificial intelligence. With the rise of embodied cognition, psychologists have begun to understand conceptual representation in terms of embodiment, emphasizing the role of the subject's sensorimotor system and bodily experience in conceptual representation. Although there is a large body of empirical research to support the theory of embodied cognition, it still fails to provide a reasonable (...) account of the representation of abstract concepts. Recent empirical studies have shown that concrete concepts and abstract concepts involve different forms of conceptual representation. Thus, it appears that the mechanism of concept representation is multiple. Although the multiple representation hypotheses have shown more plausibility and theoretical potential beyond the reach of embodied theory, there are still many problems with the theory that need further exploration. (shrink)

This article discusses a crucial question through an analysis of Adorno's critique of Kant's moral philosophy: can human beings live a good life? Kant optimistically argues that human beings as rational beings have transcendental freedom and can autonomously formulate and follow universal moral laws without any empirical conditions. Therefore, human beings can always act morally and live a good life. Adorno, on the other hand, argues that there is no right life in a wrong life. Adorno, who was at a (...) different time in history from Kant, criticized Kant's philosophy of transcendental freedom, moral imperative, and identity, and proposed new moral imperatives. I think Adorno's critique of Kant's conception of freedom failed, but his critique of the moral imperatives and identity shows a complex and profound philosophical reflection and practical concern. (shrink)

Species is one of the most basic concepts for almost all branches of biology, and it is also one of the most controversial concepts. An important aspect of "the species problem" is the question of "what the ontological status of species is". Traditionally, the answer to the issue about "the ontological status of species" is biological essentialism. Biological essentialism claims that species is a "natural kind", which argues that all and only the members of a species have a common essence. (...) Each species is separated from all others by a sharp discontinuity. However, Darwin's evolutionary theory argues that species are gradual, and the boundaries between species are vague. This view conflicts with biological essentialism. With the continuous transmission of Darwin's theories, biological essentialism was gradually abandoned by philosophers and scientists. In recent years, some philosophers try to resurrect biological essentialism by using new biological resources. Their theories are known as New Biological Essentialism, which mainly includes three different approaches: The Barcode Theory of DNA, Relational Essentialism, and HPC Theory. However, there are so many defects in their theories that they don't provide a successful defense for biological essentialism. By analyzing these theories, I try to point out that the dilemma and failure of new biological essentialism dues to the conflict between its ontological presupposition and modern biological practice. The conflict leads to the tension between essentialism and biology. Further, I argue that the best way to eliminate the tension between biology and essentialism is to regard species as “heterogeneous kinds”. This new understanding of species abandons biological essentialism at the ontological level but retains the value of epistemology of regarding the species as “natural kinds”. (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 generic model for pricing financial derivatives subject to counterparty credit risk. Both unilateral and bilateral types of credit risks are considered. Our study shows that credit risk should be modeled as American style options in most cases, which require a backward induction valuation. To correct a common mistake in the literature, we emphasize that the market value of a defaultable derivative is actually a risky value rather than a risk-free value. Credit value adjustment (CVA) is also (...) elaborated. A practical framework is developed for pricing defaultable derivatives and calculating their CVAs at a portfolio level. (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 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)

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)

This article presents a new model for valuing financial contracts subject to credit risk and collateralization. Examples include the valuation of a credit default swap (CDS) contract that is affected by the trilateral credit risk 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)

The incremental risk charge (IRC) is a new regulatory requirement from the Basel Committee in response to the recent financial crisis. Notably few models for IRC have been developed in the literature. This paper proposes a methodology consisting of two Monte Carlo simulations. The first Monte Carlo simulation simulates default, migration, and concentration in an integrated way. Combining with full re-valuation, the loss distribution at the first liquidity horizon for a subportfolio can be generated. The second Monte Carlo simulation is (...) the random draws based on the constant level of risk assumption. It convolutes the copies of the single loss distribution to produce one year loss distribution. The aggregation of different subportfolios with different liquidity horizons is addressed. Moreover, the methodology for equity is also included, even though it is optional in IRC. (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.

This article provides a comprehensive conceptual analysis of information. It begins with a folk notion that information is a tripartite phenomenon: information is something carried by signals about something for some use. This suggests that information has three main aspects: structural, referential, and normative. I analyze the individually necessary and jointly sufficient conditions for defining these aspects of information and consider formal theories relating to each aspect as well. The analysis reveals that structural, referential, and normative aspects of information are (...) hierarchically nested and that the normative depends on the referential, which in turn depends on the structural. (shrink)

The thesis of relation between observation and theory is one of the basic important issues in philosophy of science and scientific epistemology. However, the mechanistic processes of theory- ladenness of observation have rarely been discussed. Current research in cognitive science on thought processes provides powerful analytical tools and empirical support for this problem. In the light of the perception-based knowledge representation of Barsolou, this paper attempts to give a representation-based explanation for theory- laden mechanism in virtue of constraints on production (...) and explanation of representation. If representational mechanism in observation is not an absolutely subjective but a constraint construction, it will give the reliability of observation a rational support. (shrink)

Mathematical cognition is one of the most important cognitive functions of human beings. The latest brain and cognitive research have shown that mathematical cognition is a system with multiple components and subsystems. It has phylogenetic root, also is related to ontogenetic development and learning, relying on a large-scale cerebral network including parietal, frontal and temporal regions. Especially, the parietal cortex plays an important role during mathematical cognitive processes. This indicates that language and visuospatial functions are both key to mathematical cognition. (...) All of those advances have important implications for basic mathematical education. (shrink)