This study aimed to analyze the mediating effect of tolerance of uncertainty and trait anxiety on future self-continuity and intention to use Internet wealth management systems. A questionnaire survey was distributed online and a total of 388 participants completed questionnaire, The questionnaire included the following scales: Chinese version of the FSC, Intention to Use the Internet Wealth Management, TU, and TA. Pearson correlation was used to investigate the correlation coefficient between variables while the sequential regression method was used to analyze (...) relationship between variables. To analyze the collected data, the SPSS 26.0 was used. A two-step procedure was applied to analyze the mediation effect. Confirmatory factor analysis was conducted to test the measurement model. Afterward, the Maximum Likelihood method was used for path analysis, and the Bias-corrected Bootstrap method was used to investigate determine the estimated value and confidence interval of the mediating effect. To analyze the mediation effect, the Mplus 7.0 was used. The results showed that FSC positively predicted individuals’ Internet wealth management systems. Furthermore, TU and TA played complete serial multiple mediating roles between FSC and IUIWM. The role of TA and TU have negative impact on intention to use. This study provides a theoretical basis in personality psychology that Internet financial product suppliers can use to improve the attractiveness of their products. Product managers can subdivide users according to these personality traits to provide customized products. (shrink)

With the rapid development of information technology, the electricity consumption of Internet Data Centers (IDCs) increases drastically, resulting in considerable carbon emissions that need to be reduced urgently. In addition to the introduction of Renewable Energy Sources (RES), the joint use of the spatial migration capacity of IDC workload and the temporal flexibility of the demand of Electric Vehicle Charging Stations (EVCSs) provides an important means to change the carbon footprint of the IDC. In this paper, a sustainability improvement strategy (...) for the IDC carbon emission reduction was developed by coordinating the spatial-temporal dispatch flexibilities of the IDC workload and the EVCS demand. Based on the Minkowski sum algorithm, a generalized flexible load model of the EVCSs, considering traffic flow and Road Impedance (RI) was formulated. The case studies show that the proposed method can effectively increase the renewable energy consumption, reduce the overall carbon emissions of multi-IDCs, reduce the energy cost of the DCO, and utilize the EV dispatching potential. Discussions are also provided on the relationship between workload processing time delay and the renewable energy consumption rate. (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)

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

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.

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)

Comparative philosophy between two disparate cultural-philosophic traditions, such as Western and Chinese philosophy, has become a new trend of philosophical fashion in the late twentieth and early twenty-first centuries. Having learned from the past, contemporary comparative philosophers cautiously safeguard their comparative studies against two potential pitfalls, namely cultural universalism and cultural relativism. The Orientalism that assumed the superiority of the Occidental has become a memory of the past. The historical pendulum has apparently swung to the other extreme. The more recent (...) "reverse Orientalism" has started to reclaim the superiority of the Oriental. We have even been told that the twenty-first... (shrink)

The human faculty of moral judgment is not well suited to address problems, like climate change, that are global in scope and remote in time. Advocates of ‘moral bioenhancement’ have proposed that we should investigate the use of medical technologies to make human beings more trusting and altruistic, and hence more willing to cooperate in efforts to mitigate the impacts of climate change. We survey recent accounts of the proximate and ultimate causes of human cooperation in order to assess the (...) prospects for bioenhancement. We identify a number of issues that are likely to be significant obstacles to effective bioenhancement, as well as areas for future research. (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)

Di er ci Qimeng (The second Enlightenment), by Wang Zhihe and Fan Meijun, is a timely book in Chinese about constructing a philosophical and practical way to contend with China's postmodernization. It combines Whitehead's process philosophy with a focus on Chinese modernity in order to map out a desirable postmodern society. It addresses the problem on several dimensions from policy making to basic value systems. The range of themes can be seen from the topics of the book's twelve chapters: (...) (1) Reverence for Land—Toward a Constructive Postmodern Agriculture; (2) Becoming Fully Human—Toward a Postmodern Organic Education; (3) Survival of the Harmonious-Toward a Constructive Postmodern Harmonious Culture; (4) Beauty .. (shrink)

Some of our beliefs are institutional; that is, beliefs whose content is to a large extent shaped by institutions, such as beliefs about intellectual property, trade policy, or traffic rules. In this chapter, we propose a novel account of institutional beliefs, as we call them. In particular, we argue that institutional beliefs are primarily attributable to social entities, such as groups or collectives, and only secondarily to individual agents. This is because institutional beliefs respond to specific problems that, in principle, (...) only collectives face. However, existing methodology in behavioural science primarily relies on eliciting beliefs through individual choice data, which presents challenges for empirically modelling our proposed concept of institutional beliefs. To address this challenge, we propose to speak of institutional beliefs attributable to individual agents as ‘qua beliefs’. That is, institutional beliefs attributable to individual agents acting qua members of certain institutionally shaped groups. Within this framework, individuals’ qua actions occur in a shared realm of problems that can only be addressed through collective efforts. The relationship between individuals and their groups can be rendered tractable under formalised conditions. Under these conditions, choice data collected from individuals need not obstruct the elicitation of institutional beliefs for empirical study at both the collective and the individual level. We refer to these conditions as “IS conditions”, which are developed based on the synthesis between an interpretationist understanding of mental states and standard models of revealed preference theory as used in experimental economics. For an illustration of how this approach can be operationalised experimentally, we direct our readers to chapter 10 of this volume, where an experimental study applied our account of institutional beliefs. (shrink)

This paper reconciles an inconsistency between the benefits of mind wandering and a prominent conception of attention in philosophy and cognitive psychology, namely, the prioritization view. Since we prioritize the information in a task less if we are doing it while mind wandering compared to solely concentrating on it, why does our performance in the task sometimes improve when we are mind wandering? To explain this, we offer a conception of diffuse attention that generalizes from external to internal forms of (...) attention and captures deep commonalities between the two (Chun et al. 2011). We conceptualize mind wandering as an instance of internal diffuse attention that also induces diffuse attention in other concurrent tasks. Moreover, pace the prioritization view, certain tasks are in fact better performed with diffuse attention, which prioritizes information less than focused attention. Our account of mind wandering as an instance of the more general category of diffuse attention improves upon current leading philosophical views of mind wandering (such as Irving 2016) by better explaining the interaction between mind wandering and other tasks. (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)

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.

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 development of artificial perception technologies has surpassed the limitations of human natural senses, expanding humanity's perspectives on the world and self-awareness. However, it has simultaneously introduced new ethical challenges. These emerging challenges necessitate a philosophical reexamination of concepts such as 'nature,' 'artificial,' and ' invasiveness ' to better address associated issues. The advancement of artificial perception technologies not only involves scientific and practical applications but also profoundly influences human values, social ethics, and the future trajectory of human civilization. Amidst (...) the current transformation and transition in modes of cognition, reevaluating the relationship between technology and humanity becomes a crucial task. (shrink)

Numerous societal issues, from climate change to pandemics, require public engagement with scientific research. Such engagement reveals challenges that can arise when experts communicate with laypeople. One of the most common frameworks for framing these communicative interactions is the deficit model of science communication, which holds that laypeople lack scientific knowledge and/or positive attitudes towards science, and that imparting knowledge will fill knowledge gaps, lead to desirable attitude/behavior changes, and increase trust in science. §1 introduces the deficit model in more (...) detail and shows that adhering to this model often fails to achieve its aims, which motivates the main question of this chapter: how can Ludwik Fleck’s theory of thinking collectives address the persistent problem of deficit approaches in science communication? I suggest that it can do so by exposing the deficit model’s implicit assumption of an expert-lay divide. Accordingly, §2 lays out Fleck’s theory and §3 contrasts it with contemporary debates about science communication. Following this descriptive work, §4 draws on Fleck’s ideas to make four concrete suggestions for further questioning the expert-lay divide. (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)

By rethinking the meaning of a central idiom in the Great Learning, this essay intends to open up a new horizon for the hermeneutics of early Confucian thinking, which has little to do with metaphysics. Through a careful etymological study of ge wu and a dialogue between the Great Learning and Heidegger's phenomenology of human affection, I demonstrate the critical position of the human heart in early Chinese thinking. This new interpretation of early Confucian moral teachings also recovers an invigorating (...) possibility for contemporary discourse on the question of ethics. (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 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)

The model of language can relatively concretely reveal the mechanism of the epistemology, which is extended by the ontology that takes “person” as the unit. It unveils an intuitable dimension to represent the epistemolog’s paradigm and limitations. Deriving from the inherent relation between epistemology and ontology, the retrospection of the epistemology’s ontological origin can be actualized by locating or grasping the epistemological first person’s ontological essence. Hence, the illusional and frail essence of the ontology behind this epistemology would be uncovered. (...) “Person” is not a stable unit in the ontological world, since the application of this unit stimulates the development of the operating style of the epistemology which relies on the supplement of paradox. After this study that intends to get the epistemological and ontological truth of the current using nominative, the new era of one or more unknown but solid epistemology and its ontology will be gradually recognized. Furthermore, the circumstance of past and current philosophical study is going to be changed. (shrink)

In the first Critique, Kant famously holds a novel practical notion of Belief (Glauben) as assent justified not by evidence but by practical considerations. This paper examines the early development of Kant’s practical notion of Belief prior to the first Critique. It aims to make clear what prompted Kant to develop this notion in the first place, and how this notion came to assume its crucial role in Kant’s critical system. This development, I argue, has two main steps. The first (...) is his introduction of a practical notion of Belief in mid-to-late 1760s. I argue that he did so because he regards this notion as a useful tool to get ordinary people to justifiably commit to the existence of God and an after-life. The second step is Kant’s abandonment of the objective validity of his logical proof of God around 1772. This step elevated Belief from a merely useful means to the only justified way to commit to the existence of God and an after-life. This second step, I argue, is closely connected to Kant’s pivot to the view that the objective validity of concepts requires sensibly given objects, and it is motivated by Kant’s concern with subject-cancelling real repugnance. (shrink)

By laying bare the philosophical prejudices underlying certain modern deprecations of Confucianism, this article defends the integrity of Confucian civilization and reclaims its significance for the modern world. Taking on a typical criticism of Confucian Ethics by Alsadire MacIntyre, I argue that the ideal of Confucian self can be defined neither in terms of Western concepts of autonomy nor heteronomy; it consists rather in a kind of virtuosity as inspired by the empathetic openness of the self. Through a comparative study (...) of Confucian and typical Western ethical theories, I will demonstrate further how the empathetic embodiment of the Confucian self informs an order of ritual that may still be relevant for the modern world in promoting harmonious social and political orders that can elevate the conventional and current power hierarchies into the virtuous rule of benefaction. (shrink)

本文从意识本质、显意识主观内容理解系统分析以及意识智能的本质三个方面对意识现象进行深入分析。首先，本文探讨意识的本质，提出主体角度理论框架，指出意识是主体角度出现的内容变化，这种内容变化与实体的结构变 化一一对应。然后，本文通过具体的实例，如动物显意识神经网络，详细阐述了意识是如何与主体结构、神经网络结构以及客观世界相互关联的。最后，本文对意识智能的本质进行探讨，指出意识智能是多细胞协同整体反馈记录 自然变化数据并且形成数据结构模型，从而可以通过数据结构模型推理提前预测变化趋利避害的模式。.

Vibration, especially basic vibration, may cause loose contacts, open circuits, or other contact problems, which account for a large proportion of system failure causes. Due to the complexity of the chassis structure used in the biomedical motors, the vibration analysis of a single component cannot solve the vibration problems encountered in the work of the system. Therefore, it is necessary to use system simulation and experiments to monitor and enhance the health of the structure. Finite element method is used to (...) carry out the dynamic analysis from the component to the system, and calculate the natural frequency, modal shape and harmonic response. Then, the effectiveness and accuracy of the analysis results are verified by experiments through simulation and experiments. The results show that the measures taken have effectively reduced the vibration of the chassis equipment and improved its safety for better health safety of patients. There is just a 2% variation between the natural frequencies acquired from the experiment and the simulation computation. In terms of natural frequency, the first 6-order natural frequencies all have errors of less than 10%, and the natural frequency error is comparable to that of fireproof board. (shrink)

Various theorists have endorsed the “communication argument”: communicative capacities are necessary for morally responsible agency because blame aims at a distinctive kind of moral communication. I contend that existing versions of the argument, including those defended by Gary Watson and Coleen Macnamara, face a pluralist challenge: they do not seem to sit well with the plausible view that blame has multiple aims. I then examine three possible rejoinders to the challenge, suggesting that a context-specific, function-based approach constitutes the most promising (...) modification of the communication argument. (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)

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)

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)

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.

It has been argued that non-epistemic values have legitimate roles to play in the classification of psychiatric disorders. Such a value-laden view on psychiatric classification raises questions about the extent to which expert disagreements over psychiatric classification are fueled by disagreements over value judgments and the extent to which these disagreements could be resolved. This paper addresses these questions by arguing for two theses. First, a major source of disagreements about psychiatric classification is factual and concerns what social consequences a (...) classification decision will have. This type of disagreement can be addressed by empirical research, although obtaining and evaluating relevant empirical evidence often requires interdisciplinary collaboration. Second, there is also a type of disagreement over value judgments; namely, disagreements over which aims of psychiatric classification should be prioritized. To address this type of value disagreement, it is helpful to develop a plurality of different psychiatric classification systems, each targeted toward satisfying a different subset of stakeholder aims. (shrink)

A fundamental entity is an entity that is ‘ontologically independent’; it does not depend on anything else for its existence or essence. It seems to follow that a fundamental entity is ‘modally free’ in some sense. This assumption, that fundamentality entails modal freedom (or ‘FEMF’ as I shall label the thesis), is used in the service of other arguments in metaphysics. But as I will argue, the road from fundamentality to modal freedom is not so straightforward. The defender of FEMF (...) should provide positive reasons for believing it, especially in light of recent views that are incompatible with it. I examine both direct and indirect routes to FEMF. (shrink)

John Harris recently argues that the moral bioenhancement proposed by Persson and Savulescu can damage moral agency by depriving the recipients of their freedom to fall (freedom to make wrongful choices) and therefore should not be pursued. The link Harris makes between moral agency and the freedom to fall, however, implies that all forms of moral enhancement, including moral education, that aim to make the enhancement recipients less likely to “fall” are detrimental to moral agency. In this paper, I present (...) a new moral agency-based critique against the moral bioenhancement program envisaged by Persson and Savulescu. I argue that the irresistible influences exerted by the bioenhancement program harms our capabilities for conducting accurate self-reflection and forming decisions that truly express our will, which subsequently undermine our moral agency. (shrink)

It is widely agreed that reactive attitudes play a central role in our practices concerned with holding people responsible. However, it remains controversial which emotional attitudes count as reactive attitudes such that they are eligible for this central role. Specifically, though theorists near universally agree that guilt is a reactive attitude, they are much more hesitant on whether to also include shame. This paper presents novel arguments for the view that shame is a reactive attitude. The arguments also support the (...) view that shame is a reactive attitude in the sense that concerns moral accountability. The discussion thereby challenges both the view that shame is not a reactive attitude at all, suggested by philosophers such as R. Jay Wallace and Stephen Darwall, and the view that shame is a reactive attitude but does not concern moral accountability, recently defended by Andreas Carlsson and Douglas Portmore. (shrink)

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 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)

The discussion of collective agency involves the reduction problem of the concept of a collective. Individualism and Cartesian internalism have long restricted orthodox theories and made them face the tension between an irreducible concept of a collective and ontological reductionism. Heterodox theories as functionalism and interpretationism reinterpret the concept of agency and accept it as realized on the level of a collective. In order to adequately explain social phenomena that have relations as their essence, in this paper we propose a (...) relational, holistic account of collective agency and argue that functionalism and interpretationism can be integrated into such an account. (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)

Love is often seen as the most intimate aspect of our lives, but it is increasingly engineered by a few programmers with Artificial Intelligence (AI). Nowadays, numerous dating platforms are deploying so-called smart algorithms to identify a greater number of potential matches for a user. These AI-enabled matchmaking systems, driven by a rich trove of data, can not only predict what a user might prefer but also deeply shape how people choose their partners. This paper draws on Jürgen Habermas’s “colonization (...) of the lifeworld” thesis to critically explore the insidious influence of delegating romantic decision-making to an algorithm. The love lifeworld is colonized inasmuch as online dating algorithms encroach into our romantic relations to the extent that communicative action within romance is replaced by the technocratic rules of an algorithm. (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)

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 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)