Sentence examples for valuation of the contract from inspiring English sources

When studying valuation of the contract (mathcal {C}^{t}) for a fixed t, we will typically assume that the hedger's endowment x t is given and we will search for the range of hedger's fair prices p t for (mathcal {C}^{t}).

where Q is the Credit Support Annex (CSA) closeout valuation process of the contract A, ΔA τ =A τ −Aτ− is the jump of A at τ corresponding to a (possibly null) promised bullet dividend at τ, and C τ is the value of the collateral process C at time τ.

In Bichuch et al. (2018) and Dumitrescu et al. (2017), the authors focus on valuation of the full contract, whereas Crépey (2015a, b) examines the problem of the approximate additivity for the credit valuation adjustments.

That is why the valuation of these contracts is of such concern to some participants.

Austin had been widely expected to leave Loftus Road at the end of last season, but remained after QPR stood firm on their £15m valuation of the forward, whose contract was due to expire at the end of this season.

It is unlikely that this procedure would result in an overall arbitrage-free valuation of the counterparty risky contract in a nonlinear framework since, as we argue in Section 6, the additivity of ex-dividend prices obtained by solving nonlinear BSDEs fails to hold, in general.

This paper addresses the optimal design of uptime-guarantee contracts for the service provider when the customer's valuation of a contract with a given guaranteed uptime level has an Increasing Generalized Failure Rate (IGFR) distribution.

We then proceed to the issue of unilateral fair valuation of a given contract by the hedger who is endowed with an initial capital.

We begin by comparing the effects on valuation of variations in contract design, such as the differences between specifying log returns or actual returns and incorporating caps on the level of realized volatility.

We then introduce the modeling of default probabilities and unwinding of CDS positions before discussing the valuation of CDS contracts.

An analytical framework for the valuation of option contracts for physical delivery that enable risk-sharing among market participants is developed in [18].